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Managed Futures

In: Advances In International Investments Traditional and Alternative Approaches

Author

Listed:
  • Aysegul Ates

    (Department of Economics, Akdeniz University, Dumlupinar Bulvari Kampüs, 07058, Antalya, Turkey)

  • George H. K. Wang

    (School of Management, George Mason University, 4400 University Drive, MS 5F5, Fairfax, VA 22030, USA)

Abstract

Managed futures refers to the trading of futures and forward contracts on commodities and financial instruments by professional money managers who are either commodity trading advisors (CTAs) or commodity pool operators (CPOs). In this chapter, we first describe the managed futures industry and explain the roles of CTAs and CPOs. Next, we explain three ways of investing in managed futures: investing in public managed futures funds (and funds of funds), private commodity pools, and separate managed accounts managed by CTAs. We then discuss how the managed futures industry is regulated by the Commodity Futures Trading Commission (CFTC), National Futures Association (NFA) and Securities and Exchange Commission (SEC). We explain the systematic and discretionary trading strategies used by CTAs. Finally, we present and discuss the results of previous studies on the performance of managed futures. In general, results on the usefulness of managed futures as a stand-alone investment are mixed. Results are in general more favorable when managed futures were evaluated as part of a well-diversified portfolio with stocks and bonds. Portfolios including managed futures had higher returns and lower volatility than portfolios which were comprised of either stocks, bonds, or stocks and bonds. The diversification benefit of managed futures to a portfolio combining with stocks and bonds comes from the low or negative correlation of managed futures with traditional assets.

Suggested Citation

  • Aysegul Ates & George H. K. Wang, 2008. "Managed Futures," World Scientific Book Chapters, in: Hung-Gay Fung & Xiaoqing Eleanor Xu & Jot Yau (ed.), Advances In International Investments Traditional and Alternative Approaches, chapter 9, pages 211-228, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770363_0009
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    Cited by:

    1. Cécile Ayerbe & Sandra Dubouloz & Sophie Mignon & Marc Robert, 2020. "Management Innovation and Open Innovation: For and Towards Dialogue," Post-Print hal-02985953, HAL.
    2. Șupeală Doru, 2018. "Inspire to Hire and Win the War for Talents," Marketing – from Information to Decision Journal, Sciendo, vol. 1(2), pages 54-66, December.
    3. Fontip Leesatapornwongsa & Natcha Thawesaengskulthai & Ronnakorn Vaiyavuth, 2023. "Developing a Sustainability Measurement for Innovation Performance for the Food Industry," Sustainability, MDPI, vol. 15(24), pages 1-15, December.

    More about this item

    Keywords

    Global Investment; Traditional and Alternative Investments; Equity Investments; Fixed Income Investments; Portfolio Management; Derivatives; Risk Management;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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