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Diversification Benefits Of Managed Futures
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Book Synopsis Diversification Benefits of Managed Futures by : Thomas Schneeweis
Download or read book Diversification Benefits of Managed Futures written by Thomas Schneeweis and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under the Commodity Exchange Act, all individuals and firms (with certain exceptions) that intend to do business as futures professionals must register with the Commodity Futures Trading Commission (CFTC). The commission has authorized the National Futures Association (NFA), a self-regulatory organization, to receive and review applications and grant registrations. The following are two categories of futures professionals that must register: Commodity trading adviser (CTA) -- A person, who, for compensation or profit, directly or indirectly advises others as to the advisability of buying or selling commodity futures or option contracts. Commodity pool operator (CPO) -- An individual or firm that operates a commodity pool. A commodity pool is an investment trust, syndicate, or similar form of enterprise operated for the purpose of trading commodity futures or options contracts. Many hedge funds, particularly those that trade futures, are registered as CTAs and even CPOs. CTAs generally can be classified as currency, financials, equity, physicals, and diversified. Most are classified as diversified (they trade several markets) and fewer are classified as physicals (they exclusively trade nonfinancial markets such as energy, metals, softs, etc.). In this article, we examine the diversification benefits of managed futures. We examine alternative ways of investing in managed futures, discuss data sources as well as the impact of survivorship bias, and present our results as they relate to the diversification benefits of managed futures.
Book Synopsis Trend Following with Managed Futures by : Alex Greyserman
Download or read book Trend Following with Managed Futures written by Alex Greyserman and published by John Wiley & Sons. This book was released on 2014-08-25 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Book Synopsis High-Performance Managed Futures by : Mark H. Melin
Download or read book High-Performance Managed Futures written by Mark H. Melin and published by John Wiley & Sons. This book was released on 2010-08-13 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: A provocative and insightful look at using managed futures to diversify investment portfolios Financial advisors have long ignored managed futures. Yet, in the past thirty years, managed futures have significantly outperformed traditional stock and bond investments. In High-Performance Managed Futures: The New Way to Diversity Your Portfolio, author Mark H. Melin advises investors to question the commonly held belief of stocks and bonds, buy and hold. The first book of its kind, Melin advances a Nobel Prize winning investment method that’s been updated for today’s world to describe how managed futures can be used to design portfolios independent of the ups and downs of the stock market. The book: • Details a new path for managing investments that’s not entirely dependent on the economy at large • Describes meaningful asset diversification, while exposing Wall Street myths on the subject Many of today’s investor’s are betrayed by either short-term thinking or the now outdated buy and hold investing philosophy. High-Performance Managed Futures details how to develop a stock market neutral investment portfolio designed for success in the long-term.
Book Synopsis The Handbook of Managed Futures by : Carl C. Peters
Download or read book The Handbook of Managed Futures written by Carl C. Peters and published by McGraw Hill Professional. This book was released on 1997 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the role of managed futures in the asset allocation process. Highlights recent innovations in managed futures product development. Examines current research into the nature of market inefficiencies.
Download or read book Managed Futures written by and published by . This book was released on 1996 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trend Following with Managed Futures by : Alex Greyserman
Download or read book Trend Following with Managed Futures written by Alex Greyserman and published by John Wiley & Sons. This book was released on 2014-08-26 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Book Synopsis Managed Futures for Institutional Investors by : Galen Burghardt
Download or read book Managed Futures for Institutional Investors written by Galen Burghardt and published by John Wiley & Sons. This book was released on 2011-04-06 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to institutional investing success Managed Futures for Institutional Investors is an essential guide that walks you through the important questions that need to be addressed before investing in this asset class and contains helpful direction for investors during the investing process. Backed by years of institutional experience, the authors reveal the opportunities offered by managed futures. They also include information on practices in the managed futures area and present the various analytical tools and building blocks required to use managed futures effectively. The book also contains insight on the issues that must be addressed when building and evaluating portfolios. Shows where to find data to evaluate managed futures and explains how managed futures are regulated Offers guidance on how to apply classic portfolio construction tools to managed futures Reveals how managed futures investments can help investors evaluate and meet risk, return, and liquidity objectives Managed Futures for Institutional Investors provides all the practical information to manage this type of investment well.
Book Synopsis Managed Futures in the Institutional Portfolio by : Charles B. Epstein
Download or read book Managed Futures in the Institutional Portfolio written by Charles B. Epstein and published by John Wiley & Sons. This book was released on 1992-08-04 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides practical, comprehensive information and strategies for using managed futures successfully. Clearly explains the benefits of managed futures and their role in a traditional portfolio. Uses case studies and firsthand reports to show how corporations are using managed futures. Written by over a dozen top experts in the fields of futures fund and portfolio management.
Book Synopsis CTAs - How Managed Futures Manage the Future by : Fabian Dori
Download or read book CTAs - How Managed Futures Manage the Future written by Fabian Dori and published by . This book was released on 2014 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, the CTA industry has experienced significant growth in assets under management. This impressive growth has two main drivers: first, renowned CTA benchmarks show that CTA strategies can generate an attractive, risk-adjusted return in the long term; and second, CTAs have proven to be highly attractive thanks to their outstanding diversification characteristics. This paper examines these characteristics and provides possible foundations thereof. It is shown that their low and asymmetric correlations to traditional asset classes - and also particularly in relative comparison to other hedge fund strategies - make them suitable for diversifying a broad range of portfolios. The key to the success of CTAs lies in their broad investment universe and their ability to symmetrically take long and short positions in liquid futures markets. While the long side of a CTA strives to profit continually from long-term positive risk premiums, the short side acts more as a type of insurance than a source of systematic returns. As a consequence, CTAs have the potential to generate positive returns during extreme market movements, and thus provide substantial diversification benefits to an investor's portfolio.
Book Synopsis Managed Futures and Their Role in Investment Portfolios by : Don Chance
Download or read book Managed Futures and Their Role in Investment Portfolios written by Don Chance and published by Wiley. This book was released on 1991-01-15 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the many advantages managed futures offer is that their returns have low correlations with the returns of other traditional asset classes-even though they can entail significant costs. This monograph provides an overview of the industry, discusses the advantages and disadvantages of managed futures, reviews their historical performance record, presents a method for evaluating their performance in a portfolio, and lays out how to establish a managed futures program.
Book Synopsis Commodity Trading Advisors by : Greg N. Gregoriou
Download or read book Commodity Trading Advisors written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-09-02 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
Book Synopsis Managed Futures and the AC-DC Effect, Or, Highway to Prosperity? by : Urs Schubiger
Download or read book Managed Futures and the AC-DC Effect, Or, Highway to Prosperity? written by Urs Schubiger and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent developments have not only driven numerous financial markets to record highs, but also significantly increased the correlations between various asset classes. Following one of the longest bull markets in history, current price levels and the co-movement behaviours of traditional asset classes suggest reduced expected returns and diversification benefits in future. The question, therefore, is whether there exist investment strategies that still provide an attractive risk/return profile and consistent diversification benefits.The hypothesis and aim of this paper is to demonstrate that the unambiguous answer is yes! The risk premia of as well as correlations between asset classes are time varying, and strategies that dynamically adjust to changing attractiveness and co-movements are able to harvest positive returns in various market environments. However, these strategies inherently need to be highly liquid in order to allow for dynamic exposure management. One type of alternative strategy that combines liquidity with adaptiveness is a managed futures strategy. Accordingly, this paper elaborates on the differences in the risk/return profiles of traditional balanced mandates and a long-only risk-balanced managed futures strategy. It shows that the latter is well suited to withstand adverse bond or equity market conditions. We call this the asset class diversification contribution (AC-DC) effect of long-only managed futures strategies. This relatively robust risk/return profile is mainly attributable to its broad and adaptively weighted investment universe, as well as a systematically managed total exposure.
Book Synopsis Understanding Managed Futures by : Hilary Till
Download or read book Understanding Managed Futures written by Hilary Till and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Managed futures strategies are a niche-within-a-niche in the capital markets. Despite this status, managed futures have become of particular interest to hedge fund investors. This paper will discuss why this has become the case by focusing on this strategy's unique diversification properties. We will also briefly cover the main characteristics of this investment category, its underlying sources of return, and alternative statistical measures that are appropriate for comparing managed futures investments with hedge fund investments. We will rely on leading-edge academic and practitioner research in covering each of these topics.
Book Synopsis Alternative Investments: A Primer for Investment Professionals by : Donald R. Chambers
Download or read book Alternative Investments: A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
Book Synopsis The Alternative Answer by : Bob Rice
Download or read book The Alternative Answer written by Bob Rice and published by Harper Collins. This book was released on 2013-05-14 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book to explain the new world of alternative investing, showing how anyone can use nontraditional options to significantly increase returns and lower risks The world's elite investors have long relied on alternative investments to produce superior returns. Until now, these strategies were the exclusive purview of institutions and the superwealthy, but today any informed investor can play the same game. A rainbow of investment options—timber, start-ups, master limited partnerships (MLPs), hedged strategies, managed futures, infrastructure, peer-to-peer lending, farmland, and dozens of other nontraditional strategies—can provide dramatically better gains, with less total risk, than the standard choices. In The Alternative Answer, Bob Rice, Bloomberg TV's Alternative Investments Editor, leads an entertaining and easy- to-understand tour of this world, and suggests specific alternative investments for all four key "jobs" of a portfolio: safely generating more current income, decreasing risks of economic shocks, significantly increasing long-term profits, and protecting purchasing power over time. Regardless of experience or net worth, readers will learn exactly how to substantially improve investment performance—in the same way that the world's best investors already do. Stocks and bonds alone aren't nearly enough. Investors need an alternative answer and now they have it.
Book Synopsis Managed Futures and the Kiss Effect, Or, Who's Afraid of Pricey Markets? by : Fabian Dori
Download or read book Managed Futures and the Kiss Effect, Or, Who's Afraid of Pricey Markets? written by Fabian Dori and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent developments have not only driven numerous financial markets to record highs, but also significantly increased the correlations between various asset classes. Following one of the longest bull markets in history, current price levels and the co-movement behaviours of traditional asset classes suggest reduced expected returns and diversification benefits in the future. The question, therefore, is whether there exist investment strategies that still provide an attractive risk/return profile and consistent diversification benefits.The hypothesis and aim of this paper is to demonstrate that the unambiguous answer is yes! The risk premia of as well as correlations between asset classes are time varying, and strategies that dynamically adjust to changing attractiveness and co-movements are able to harvest positive returns in various market environments. However, these strategies inherently need to be highly liquid in order to allow for dynamic exposure management. One type of alternative strategy that combines liquidity with adaptiveness is a managed futures strategy. Accordingly, this paper elaborates on the differences in the risk/return profiles of traditional balanced mandates and a long-short risk-balanced CTA strategy. It shows that the latter is not only well suited to withstand adverse bond or equity market conditions, but it may even find attractive return opportunities in turbulent times. We call this the king in stress scenarios (KISS) effect of long-short managed futures strategies. This robust and diversifying risk/return profile is mainly attributable to its broad and adaptively weighted investment portfolio, as well as the possibility of taking on short positions.
Book Synopsis The Market Impact of Managed Futures by : Derek Karl Berwald
Download or read book The Market Impact of Managed Futures written by Derek Karl Berwald and published by . This book was released on 2001 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
