The arguments against managed futures should also be addressed:
One of the most interesting arguments presented against managed futures as an acceptable investment is that their development in the US simply reflects American insularity. Read more »
Posted: January 29th, 2008 under Commodities Futures, Managed Futures.
Comments: 3
There has, as yet, been little research into European CTAs as a separate phenomenon. However, Lois Peltz, managing editor of Mar, has undertaken some recent studies into the European managed futures industry and the CTAs covered by Mar’s database, and has found some evidence that European traders have a low correlation with the Mar CTA Index. This is because: Read more »
Posted: January 29th, 2008 under Managed Futures.
Comments: 3
In 1992, it was easy to forget that managed futures do achieve above-average performance: the industry saw one of its worst years so far, with average performance for managed futures funds languishing at a loss of 7.90 per cent at the end of June. However, by September 1992, it was clear that generally June, July and August were good months, while the volatility of September’s markets - particularly with the currency crisis-had caused havoc with performance figures generally.
The year before, 1991, was not a lot better, languishing over the year with lacklustre performance and then finally and suddenly putting on a spurt of performance in December. By 1993, performance had improved somewhat, with average CTA performance to August 1993 showing an increase of 15 per cent over the year, according to TASS Management. The key reason for this somewhat erratic performance pattern is that most CTAs are trend-followersand recently the markets have not been forming trends, tending rather to drift.
The key point about performance in managed futures is that, in contrast to more traditional asset classes, performance can be achieved whether the underlying markets are going up or down. The clearest and most dramatic example of this is the period October/November 1987 when the world’s equity markets collapsed. During these two months, Credit Lyonnais Rouse’s Systemtrend fund achieved 14 per cent growth, and the managed futures industry’s average performance was 60.97 per cent.
Posted: January 29th, 2008 under Future Fund, Managed Futures.
Comments: 4
Peters found that most of the researchers he was looking at found evidence that managed futures could significantly improve portfolio performance.
Risk was reduced at all levels of return, and return levels were increased for all levels of risk, when managed futures were added. Investors would therefore have benefited, no matter their return-risk preferences.
Posted: January 29th, 2008 under Future Fund, Managed Futures.
Comments: 4
Using the work of Zvi Bodie, Lintner, Orr, Irwin and Brorsen, Irwin and Diego
Landa and Elton, Gruber and Rentzler, which covered data drawn from 1950 to 1987, Peters found a clear affirmative to this question.
The answer is clearly ‘yes’ . . . all of the research results except one found that futures, and managed futures, performed better during periods of inflation. This confirms the theoretical idea that inflation (and possibly deflation) should lead to patterns Read more »
Posted: January 29th, 2008 under Future Fund, Futures Prices, Managed Futures.
Comments: 5
The managed futures industry is a very young industry and gaining enough perspective on its performance to satisfy the requirements of academic study is difficult, even now.
The researchers who pushed on with Lintner’s work found that when they expanded the sample and changed the time periods or the computation of performance, Lintner’s original theories were largely upheld. Read more »
Posted: January 29th, 2008 under Future Fund, Future Trading, Managed Futures.
Comments: 4
