We study the role of managed futures in long-term asset allocation portfolios. We begin by determining whether managed futures returns can be replicated through investing in broadly diversified stock and bond indices. Next, we investigate whether adding managed futures funds improves the risk-return tradeoff for long-term asset allocation portfolios.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.