Revisiting Kat's Managed Futures and Hedge Funds

  • 30 Sep 2012
  • By Red Rock Capital

 In this paper, we revisit and update Kat’s original work. Using similar data for the period June 2001- December 2011, we find that his observations continue to hold true more than 10 years later. During the subsequent 10 years, a highly volatile period that included separate stock market drawdowns of 36% and 56%, managed futures have continued to provide more effective and more valuable diversification for portfolios of stocks and bonds than have hedge funds.

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