Managed futures are investments run by professional money managers, who use futures contracts, commodity options, and swaps to actively trade commodity interests. Managed futures strategies serve as diversification tools and are sought by investors as a valuable component of a broader investment portfolio, because, generally, managed futures strategies have exhibited very low correlation to traditional investments. Individual investors, pension funds, foundations, and university endowments have about $337 billion invested in managed futures.
Check back in the near future, as academic research related to managed futures will be posted on this page.
Demystifying Managed Futures, Brian Hurst, Yao Hua Ooi, and Lasse Heje Pedersen; October 2013
CTAs – How Managed Futures Manage the Future, Fabian Dori, Manuel Krieger, and Urs Schubiger; May 2013
A Quantitative Analysis of Managed Futures, Ryan Abrams; Ranjan Bhaduri, PhD, CFA, CAIA; Elizabeth Flores, CAIA; May 2012
Manager Survey: State of the Industry, CTA Intelligence; June 2013
Managed Futures and Volatility: Decoupling a “Convex” Relationship with Volatility Cycles, Kathryn Kaminski; April 2012
Managed Futures: A Composite CTA Performance Review, Thomas Schneeweis, Richard Spurgin, and Edward Szado; January 2013
Risk Return Contribution of Managed Futures to Traditional Portfolios, Christophe Govaert; 2011-2012
Strategy Diversification: Combining Momentum and Carry Strategies Within a Foreign Exchange Portfolio, Francis Olszweski and Guofu Zhou, Ph.D.; July 2013
An Overview of Managed Futures’ Performance: 1983 to Post-2008 Credit Crisis, H. Kent Baker, Greg Filbeck, and Kai-Hong Tee; April 2013
Managed Futures Strategies, Amira Roula; February 2013
Managed Futures: Portfolio Diversification, CME Group; September 2012