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.