This paper applies real-world constraints in its quantitative analysis of hedge fund investments, and concludes that equal-risk portfolios perform better than equivalent minimum-risk approaches. According to the study's results, investments in Managed Futures will always improve an investor's performance.

More in Performance & Risk


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

CME Group is the world’s leading 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.

© 2025 CME Group Inc. All rights reserved.