Lintner Revisited: A Quantitative Analysis of Managed Futures

  • 31 Aug 2015
  • By Ryan Abrams, Liz Flores and Ranjan Bhaduri

This paper revisits John Lintner’s classic 1983 paper, “The Potential Role of Managed Commodity-Financial Futures Accounts (and/or Funds) in Portfolios of Stocks and Bonds,” which explored the substantial diversification benefits that accrue when managed futures are added to institutional portfolios.

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