A Quantitative Analysis of Managed Futures for Plan Sponsors, Endowments and Foundations
CME Group is pleased to announce that it has updated the original “Linter Revisited” whitepaper to better highlight the opportunities in the managed futures space for pension plan sponsors, endowments and foundations seeking to create well-diversified, liquid, transparent, alpha generating portfolios.
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.
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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.
