The Advantages of Managed Futures
Whitepapers and Webinar Presentations
“The inclusion of managed futures in an institutional portfolio leads to better risk-adjusted performance (either through the mean-variance framework, or through the more modern Omega analysis). The results are so compelling that the board of any institution, along with the portfolio manager, should be forced to articulate in writing their justification in not having an allocation to the liquid alpha space of managed futures.” Lintner Revisited
Lintner Revisited: A Quantitative Analysis of Managed Futures in an Institutional Portfolio (June 2014)
Ryan Abrams, Portfolio Manager, Wisconsin Alumni Research Foundation, Ranjan Bhaduri, PhD, Chief Research Officer, Sigma Analysis & Management Ltd,
Elizabeth Flores, Executive Director, CME Group
An update to Dr. John Lintner's seminal paper, which describes the diversification benefits that managed futures strategies can bring over the long-term to an equity/fixed income/hedge fund portfolio. The authors use data through 2014 to show that Lintner's general conclusions have stood the test of time for long-term investors seeking diversification, despite highly challenging conditions over the last four years.
Frequently Asked Questions About Managed Futures
Individual and institutional investors are increasingly including Managed Futures as part of a diversified investment portfolio as they search for alternative or non-traditional investment opportunities. This piece outlines frequently asked questions about Managed Futures.
In Search of Crisis Alpha: A Short Guide to Investing in Managed Futures
Kathryn M. Kaminski, Ph.D. Senior Investment Analyst, RPM Risk & Portfolio Management
Since Managed Futures strategies tend to be trend following and deliver crisis alpha, they will make substantial returns when equity markets are down significantly. When equity markets trend strongly upwards, there will be upward trends which Managed Futures strategies can also participate in. This explains why Managed Futures can look similar to an equity straddle without the upfront costs required for investing in options.
Tales for the Downside: Risk Reduction Strategies
Hewitt Ennisknupp, an Aon Company
“Managed futures and global macro hedge fund strategies have desirable downside risk protection characteristics combined with positive returns and alpha for skilled investors. Clients can increase their downside protection by allocating part of their hedge fund or opportunistic asset category to managed futures and global macro strategies.”
A Former Institutional Investor's Perspective on Managed Futures
By Tom O’Donnell, Principal & Director of Global Business Development of The Bornhoft Group Corporation, talks about his twenty plus years of experience with managed futures and includes experiences at well-known Commodity Trading Advisor, Futures Commission Merchant, and his current work with a Multiple CTA Portfolio Specialist.