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Portfolio Investment Opportunities in Managed Futures

Portfolio Investment Opportunities in Managed Futures

David M. Darst

ISBN: 978-1-118-50294-5

Mar 2013

68 pages

Select type: E-Book



New research and investment strategies for asset managers in managed futures

In this handy new e-book, bestselling author David M. Darst provides the latest information on managed futures and their appropriate role within investment portfolios. The first section of the e-book covers select investment advantages and potential risks of managed futures, including historical background on futures, their advantages, risks involved, and key trends and drivers. The second section offers a summary of managed futures investment performance and correlation, including the performance of the major futures indices. The remaining sections provide an overview of the current investment landscape, a glossary of available indices, and important sources of further information. Portfolio Investment Opportunities in Managed Futures gives investors the information they need to make intelligent investment decisions in this important asset class.

  • Covers key factors investors need to know about managed futures, including advantages, risks, and investment performance
  • Written by David M. Darst, CFA, the bestselling author of The Little Book That Saves Your Assets
  • Perfect for individual investors, financial advisors, and CFAs interested in how managed futures can meaningfully improve the risk-reward profile of their portfolios
About the Author vii

Introduction ix

1: Select Investment Advantages and Potential Risks of Managed Futures 1

Historical Background on Futures and Managed Futures 1

Distinguishing between Physical Commodities, Futures, and Managed Futures 2

Select Advantages of Managed Futures 3

Potential Investment Risks of Managed Futures Funds 5

Placing Managed Futures in an Investment Context 6

Essential Differences between Managed Futures and Other Asset Classes 8

Select Risk Management Strategies Pursued by Managed Futures Advisers 9

Special Considerations Associated with Managed Futures Funds 10

Fees and Expenses Associated with Managed Futures Funds 11

Investment Approaches of Managed Futures Funds 12

Select Insights into Managed Futures Returns Patterns 13

Managed Futures Funds Compared with Hedge Funds 15

Trend Characteristics and Underlying Drivers of Managed Futures 16

Evolution of the Futures Markets 16

Actively Traded Futures and Options Contracts in the United States 16

2: Summary of Managed Futures Investment Performance and Correlation 21

Select Managed Futures Indices’ Performance 21

Managed Futures Returns during Financial Market Dislocations 25

The Barclay CTA Index and Survivorship Bias 26

Patterns of Managed Futures Returns 27

The CISDM CTA Equal-Weighted Index 32

Analysis of Select Asset Class Returns 35

3: Overview of the Investment Landscape 39

Global Futures Exchanges and Clearinghouses 41

4: Glossary of Indexes 45

5: Select Information Sources 49

Acknowledgments 51