Learn More About Managed Futures
Academic Studies
Commodities and Equities: A Market of One? Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The Commodity Futures Trading Commission's (CFTC) Office of the Chief Economist recently released a study that examines the relationship between returns on benchmark commodity and equity investments. Researchers Bahattin Büyüksahin, Michael S. Haigh and Micheal Robe provided evidence that the relationship between the prices of, and the returns on, investable commodity and U.S. equity indices has not changed significantly in the last 15 years. There was little statistical evidence that daily, weekly, or monthly returns on commodities and equities have been moving in sync. In sum, commodity markets seem to have retained their role as a portfolio diversification tool.
Facts and Fantasies about Commodity Trading. Yale International Center for Finance Working Paper No. 04-20. Gary Gorton of The Wharton School, University of Pennsylvania and the National Bureau of Economic Research and K. Geert Rouwenhorst of the Yale University School of Management, International Center for Finance, examined the properties of commodity futures as an asset class by constructing an equally weighted index of commodity futures and analyzing their monthly returns over the period from July 1959 to March 2004.
Go to http://papers.ssrn.com/sol3/papers.cfm?abstract_id=560042 and click on SSRN New York, USA under the SSRN Electronic Paper Collection heading.
The Benefits of Managed Futures. Burak Cerrahoglu, Isenberg School of Management at the University of Massachusetts. This study states: “in contrast to most stock and bond investment vehicles as well as many hedge fund strategies, managed futures offer unique return opportunities…in different economic environments.”
Go to http://cisdm.som.umass.edu/research/managed_futures.shtml to access this research piece.
Articles
Making the Move to Managed Futures: Factors to Consider
If you are exploring an investment in futures for the first time, you might not know all the alternatives available to you. Perhaps you've considered trading yourself, but have decided you'd rather let a professional money manger take the reins—and make the day-to-day decisions for you. You have many choices to make when selecting the right managed futures program for you, including the right commodity trading advisor (CTA), the professional who runs it. Lind-Waldock can help. In this article, read more about some of the factors to consider when choosing a CTA.
Brochures
CBOT Managed Futures: Portfolio Diversification Opportunities (PDF). This article by the Chicago Board of Trade explores how managed futures provide inherent diversification opportunities for investors. Commodity trading advisors have access to over 150 different commodity futures and options markets worldwide, and many managed funds further diversify by mixing different trading advisors and/or different trading strategies. Managed futures can provide many benefits within a well-balanced, diversified portfolio, including the opportunity for reduced portfolio volatility risk and enhanced returns. Research demonstrates portfolios including managed futures can have less risk and greater returns than portfolios comprised of only stocks or stocks and bonds.
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