BROWSE

Managed Futures

Definition

A managed futures account or managed futures fund is a type of alternative investment in the US in which trading in the futures markets is managed by another person or entity, rather than the fund's owner. Managed futures accounts include, but are not limited to, commodity pools. These funds are operated by commodity trading advisors or commodity pool operators, who are generally regulated in the United States by the Commodity Futures Trading Commission and the National Futures Association., the assets under management held by managed futures accounts totaled $340 billion.

What are 'Managed Futures'

Managed futures are part of an alternative investment strategy in which professional portfolio managers use futures contracts as part of their overall investment strategy. Managed futures provide portfolio diversification among various types of investment styles and asset classes to help mitigate portfolio risk in a way that is not possible in direct equity investments.

Explaining 'Managed Futures'

Professional money managers, known as commodity trading advisors, typically monitor managed futures accounts. These accounts can have various weights in stocks and derivative investments. A diversified managed futures account will generally have exposure to a number of markets such as commodities, energy, agriculture and currency. Introducing futures into a portfolio reduces risk because of the negative correlation between asset groups.


Further Reading


Hedge funds versus managed futures as asset classes
jod.pm-research.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

Managed futures, positive feedback trading, and futures price volatilityManaged futures, positive feedback trading, and futures price volatility
onlinelibrary.wiley.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

Do managed futures make good investments?Do managed futures make good investments?
search.proquest.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

Volatility filters for asset management: An application to managed futuresVolatility filters for asset management: An application to managed futures
link.springer.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

The effect of downside risk reduction on UK equity portfolios included with Managed Futures FundsThe effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds
www.sciencedirect.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

Performance persistence for managed futuresPerformance persistence for managed futures
jai.pm-research.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

Tactical asset allocation and commodity futuresTactical asset allocation and commodity futures
jpm.pm-research.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …

Time variation in the benefits of managed futuresTime variation in the benefits of managed futures
jai.pm-research.com [PDF]
… look-back straddles are not implementable as they use data from future time periods … strategies—specifically time series momentum strategies—can explain the returns of Managed Futures funds … We provide a detailed analysis of the economics of these strategies and apply them …


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