Portfolio Construction Technique: Overlay / Underlay Alternatives Blend

  • 31 Dec 2010
  • By Edgar Lobachevskiy and Ranjan Bhaduri

This paper illustrates the portfolio construction technique of blending managed futures with other types of hedge fund strategies. It furnishes evidence that the benefit of including managed futures with other types of hedge fund strategies makes for a superior risk adjusted return when compared to non-CTAs alone.

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