Managed Futures And Their Role In Investment Portfolios (the Research Foundation Of Aimr And Blackwell Series In Finance)

E-Book Overview

One of the many advantages managed futures offer is that their returns have low correlations with the returns of other traditional asset classes-even though they can entail significant costs. This monograph provides an overview of the industry, discusses the advantages and disadvantages of managed futures, reviews their historical performance record, presents a method for evaluating their performance in a portfolio, and lays out how to establish a managed futures program.

E-Book Content

Don M. Chance, CFA Centerfor the Study of Futures and Options Markets The R.B. Pamplin College of Business Virginia Polytechnic Institute and State University Managed Futures and Their Role in Investment Portfolios The Research Foundation of The Institute of Chartered Financial Analysts Managed Futures and Their Role in Investment [email protected] Research Foundation Publications Active Currency Management bv Murali Ramaswami Canadian Stocks, Bonds, Bills, and Inflation: 1950-1987 by James E. Hatch and Robert E. White Closed-Form Duration Measures and Strategy Applications by Nelson J. Lacey and Sanjay K. Nawalkha Corporate Bond Rating Drif: An Examination of Credit Quality Rating Changes Over Time by Edward I. Altman and Duen Li Kao Default Risk, Mortality Rates, and the Performance of Cornrate Bonds by2EdwardI. Altman Durations of Nondefault-Free Securities by Gerald 0. Bierwag and George G. Kaufman Earnings Forecasts and Share Price Reversals by Werner F.M. De Bondt The Efect of Illiquidity on Bond Price Data: Some Symfitoms and Remedies by Oded Sarig and Arthur Warga Equity Trading Costs by Hans R Stoll Ethics, Fairness, EfFciency, and Financial Markets , by Hersh Shefrin and Meir Statman Ethics in the Investment Profession: A Survg, by E. Theodore Veit, CFA, and Michael R Murphy, CFA The Founders of Modem Finance: Their Prize-Winning Concepts and 1990 Nobel Lectures Franchise Value and the Price/Earnings Ratio by Martin L. Leibowitz and StanleyKogelman Fundamental Considerationsin Cross-Border Investment: The Eurobean View by Bruno Solnik Global Asset Management and Pe~ormance Attribution by Denis S. Karnosky, Ph.D., and Brian D. Singer, CFA Initial Public Oferings: The Role of Venture Capitalists by Joseph T. Idm and Anthony Saunders The Modern Role of Bond Covenants by Ileen B. Malitz A New Method for Valuing Treasuy Bond Futures Options by Ehud I. Ronn and Robert R Bliss, Jr. A New Perspective on Asset Allocation by Martin L. Leibowitz Options and Futures: A Tutorial by Roger G. Clarke The Poison Pill Anti-TakeoverDefene: The Price of Strategic Deterrence by Robert F. Bruner A Practitioner's Guide to Factor Models Program Trading and Systematic Risk by AJ. Senchack, Jr., and John D. Martin The Role of Risk Tolerance in the Asset Allocation Process: A New Perspective by W.V. Harlow 111, CFA, and Keith C. Brown, CFA Selecting Superior Securities by Marc R Reinganum Stock Market Structure, Volatility,and Volume by Hans R Stoll and Robert E. Whaley Stocks, Bonds, Bilk, and Inflation: Historical Return (1926-1987) by Roger G. Ibbotson and Rex A Siquefield (Published with Irwin Professional Publishing) Managed Futures and Their Role in Investment Portfolios Managed Futures and Their Role in Investment Portfolios O 1994 The Research Foundation of the Institute of Chartered Financial Analysts All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the copyright holder. This publication is designed to provide accurate and authoritative information in regard to the subject matter cover
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