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Managed Futures Resource Center
 
If you would like 50 copies or more of any brochure on this page please contact Liam Smith at Liam.Smith@cmegroup.com
 

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 welldiversified portfolio.


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Lintner Revisited: The Benefits of Managed Futures 25 Years Later


Dr. John Lintner, a Harvard Professor, presented the seminal paper entitled "The Potential Role of Managed Commodity – Financial 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.




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Why Managed Futures?

 


Futures have become increasingly popular as risk management and speculative trading tools. But they are not necessarily for amateurs. Some investors have turned to the managed futures industry for trading services offered by skilled professionals.





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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. For the past fifteen plus years




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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, Issues and Insights for Starting a CTA Business, in order to help our clients grow and thrive. It is organized into three sections: Business and Operations, Compliance, and Trading and Risk Management. Each section addresses various items and issues that all CTAs should consider to ensure that they start off on solid footing.







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Lintner Revisited: A Quantitative Analysis of Managed Futures in an Institutional Portfolio


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. As Dr. Lintner did, it analyzes the portfolio benefits that managed futures offer through the mean-variance framework, but it draws on more complete techniques such as the analysis of omega functions to assess portfolio contribution. The paper also conducts a comparative qualitative and quantitative analysis of the risk and return opportunities of managed futures relative to other investments, and includes a discussion as to why managed futures strategies tend to perform well in conditions that are not conducive to other investment strategies.

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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. Read more...