Managed Futures and Hedge Funds

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What are Managed Futures? Some definitions:

  • Public funds, private pools, managed accounts, and other investment entities which invest on a long and/or short basis almost exclusively in exchange traded commodity derivatives and/or financial derivatives (futures, options and warrants).
  • Broadly speaking, managed futures is an investment for the purpose of speculating in futures and options markets. A professional trading advisor…is employed to manage the trading in futures and options markets.
  • Managed Futures refers to professionally managed investments in commodity and financial futures markets.
  • The term managed futures represents an industry comprised of professional money managers known as commodity trading advisors (CTAs) who manage client assets on a discretionary basis, using global futures markets as an investment medium.

Trend Following: Performance, Risk and Correlation Characteristics
by Graham Capital (Ken Tropin).

Managed Futures: A Real Alternative

Managed Futures Trading and Futures Price Volatility
by Scott Irwin and Satoko Yoshimaru, Ohio State University, completed in May 1996.

How Do CTAs’ Return Characteristics Affect Their Likelihood of Survival?
by Fernando Diz, Syracuse University, completed in November 1996.

Managed Futures, Hedge Fund and Mutual Fund Return Estimation: A Multi-Factor Approach
by Thomas Schneeweis and Richard Spurgin, University of Massachusetts, completed in May 1997.

Performance Persistence for Managed Futures
by B. Wade Brorsen, Oklahoma State University, completed in September 1997 and updated April 1998.

Survivorship Bias and Investment Style in the Returns of CTAs: The Information Content of Performance Track Records
by David A. Hsieh with William Fung, Journal of Portfolio Management, 24 (1997), 30-41.

Informational Content in Historical CTA Performance

by Thomas Schneeweis, Richard Spurgin, D. McCarthy, Journal of Futures Markets (May, 1997).

Comparisons of Commodity and Managed Futures Benchmark Indices
by Thomas Schneeweis, Richard Spurgin Journal of Derivatives (Summer, 1997).

Return Interval Selection and CTA Performance Analysis
by D. McCarthy, G. Martin, Derivatives Quarterly (Summer, 1997).

Multi-Factor Models in CTA/Hedge Fund Return Estimation
by T. Schneeweis, R. Spurgin Working Paper, CISDM/SOM, University of Massachusetts, 1996.

Managed Futures and Hedge Fund Investment for Downside Equity Risk Management
by Thomas Schneeweis, Richard Spurgin, M. Potter, Derivatives Quarterly, Vol. 3, No. 1 (Fall, 1996).

Trend Following Products

Review trend following systems and training:

Michael Covel Trend Following Products
Michael Covel Trend Following Products

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