Many of our managed futures brochures are available in print and can be ordered online. If you have ideas for new materials, please contact us.
|UPDATED! Managed Futures: Portfolio Diversification Opportunities
Managed futures have been used successfully by investment management professionals for more than 30 years. Institutional investors looking to maximize portfolio exposure continue to increase their use of managed futures as an integral component of a well diversified portfolio.
|UPDATED! 10 Reasons to Invest in Managed Futures
This is a quick reference guide explaining and comparing managed futures to your traditional investment asset classes, along with a discussion on why managed futures should be part of any investors portfolio.
|Commodities as an Asset Class for Investors in Mexico
The brochure highlights analysis by the CME Group Research and Product Development team that shows how investing in commodities may provide benefits to the risk/return profile of institutional investors in Mexico, especially in terms of risk reduction.
|Issues and Insights for Starting a CTA Business
Being a Commodity Trading Advisor (CTA) requires more than just a successful trading program. In light of this, CME Group has created this guidance document, isuses and insights for Starting a CTA Business, in order to help our clients grow and thrive.
|Frequently Asked Questions About Managed Futures
Individual and institutional investors are increasingly including Managed Futures as part of a diversified investment portfolio as they search for alternative or non-traditional investment opportunities. This piece outlines frequently asked questions about Managed Futures.
|NEW! Kathryn Kaminski on Managed Futures and Volatility
Kathryn M. Kaminski, PhD., Alpha K Capital LLC, April 19, 2011
A closer look at what it means to be long or short volatility, and Managed Futures performance across different regimes in volatility. With schematics.
UPDATED! Lintner Revisited:A Quantitative Analysis of Managed Futures in an Institutional Portfolio
John Lintner: Professor, Harvard University, April 2012
This paper revisits Dr. 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.
The purpose of this snapshot is to call attention to an interesting data set maintained by the Chicago Mercantile Exchange (CME) that affords a unique insight into futures trading costs. As brokers, we use this data to help understand transactions costs and to keep them as low as possible for our clients.
The Experience of Uncorrelated Assets
Ryan Duncan: New Edge Prime Brokerage, January 10, 2011
Much has been written about the low correlation between managed futures strategies and the S&P 500. However, over certain periods, the correlation between the two can be quite high.
The Backfill Effect
Ryan Duncan: New Edge Prime Brokerage, January 24, 2011
When listing programs in a database, managers may choose to delay reporting the returns of a product until it would merit investor interest. This produces the problem of "backfill", which is the portion of the track record that occurred before the performance results were distributed to the industry.
Got Liquidity, Volatility and Low Transaction Costs?
Ryan Duncan: New Edge Prime Brokerage, Lauren Lei: New Edge Prime Brokerage, March 15, 2011
Any market that has these three things is a candidate for trading strategies with short-term holding periods. The frequency with which these strategies enter and exit the market makes it important to have enough volatility to cover the bid-ask spread, which accounts for the majority of transaction costs.
In Search of Crisis Alpha: A Short Guide to Investing in Managed Futures
Kathryn Kaminski: RPM Risk & Portfolio Management, April, 2011
This paper, written by Kathryn Kaminski, is an "investment primer that takes a new approach to explaining managed futures and why they can deliver 'crisis alpha' opportunities for their investors." In Search of Crisis Alpha discusses:
Crisis Alpha and Risk in Alternative Investment Strategies
Kathryn Kaminski: RPM Risk & Portfolio Management, May, 2011
Kathryn Kaminski and Alexander Mende co-author this report to describe the performance of various alternative investment strategies, as executed by different hedge funds and CTAs, in view of the types of risks they take. Both authors describe why some alternative investment strategies provide opportunities in times of crisis alpha while others do not. According to Kaminski and Mende the key lies in understanding the differences found in three kinds of risk: price risk, credit risk and liquidity risk.
Lintner Revisited:The Benefits of Managed Futures 25 Years Later
John Lintner: Professor, Harvard University, July, 2010
Dr. John Lintner, a Harvard Professor, presented the seminal paper entitled "The Potential Role of Managed Commodity-Final Futures Accounts (and/or Funds) in Portfolios of Stocks and Bonds" at the annual conference of the Financial Analysts Federation in Toronto in May 1983.
Macro Investor Sentiment Survey 2011
James Skeggs: New Edge Prime Brokerage, Kirby Daley: New Edge Prime Brokerage, February 9, 2011
It appears that the world has entered a benign phase of recovery post the crisis, with some market participants still worrying about deflation whilst others being of the view that the unprecedented easy monetary policy will lead to inflation, while both of these phenomenon seem to be occurring simultaneously.
How Many Trades are there Currently?
James Skeggs: New Edge Prime Brokerage, February 28, 2011
Using the positioning data available to us through the New Edge Trend Indicator it appears the answer to this question is "Not Many." We observed that for the period 3rd February 2011 to 28th February 2011 there does not appear to be any difference in the direction of positions within each of the asset class sectors for our proxy of long term trend following.
|Why Smart Money Invests in Managed Futures
The managed futures marketplace has become one of the fastest growing areas of the financial industry proving that there are significant advantages to adding managed futures to your portfolio. Join Dave Lerman of CME Group as he outlines 10 Compelling Reasons to Trade Managed Futures including diversification benefits, lowering your overall risk and returns in general.
|A Former Institutional Investor's Perspective on Managed Futures
One of the first things investment professionals learn is the concepts of Modern Portfolio Theory developed by Harry Markowitz in 1952, which quantifies the benefits of diversification.