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An overview of managed futures' performance: 1983 to post-2008 credit crisis

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posted on 25.03.2015, 09:10 by Kai-Hong TeeKai-Hong Tee
The growth of the managed futures industry increased dramatically in the late 1970s after the introduction of the world's first financial futures contracts (foreign currency futures) by the Chicago Mercantile Exchange in 1972. The first published academic research on the performance of managed futures appeared in the 1980s. Researchers who adopted similar performance metrics to assess managed futures in different time periods reached similar conclusions as earlier studies about the benefits of managed futures. Some recent studies address the issues of performance persistence and market-timing ability of managed futures traders. Following the onset of the financial crisis of 2007-2008, researchers also reassessed the diversification benefits of managed futures and the low correlations of their returns with those of stocks and bonds. Evidence reaffirmed that the favorable characteristics of managed futures investments were useful for investors looking for a "crisis alpha" for their portfolios in periods with high market volatility. © 2013 John Wiley & Sons, Inc. All rights reserved.

History

School

  • Business and Economics

Department

  • Business

Published in

Alternative Investments: Instruments, Performance, Benchmarks, and Strategies

Pages

437 - 452

Citation

TEE, K.-H., 2013. An overview of managed futures' performance: 1983 to post-2008 credit crisis. IN: Baker, H.K. and G. Filbeck, G. (eds.) Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. Hoboken, NJ: John Wiley & Sons, Inc., pp. 437 - 452.

Publisher

© John Wiley and Sons

Version

AM (Accepted Manuscript)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Publication date

2013

Notes

This is the peer reviewed version of the following article: TEE, K.-H., 2013. An overview of managed futures' performance: 1983 to post-2008 credit crisis. IN: Baker, H.K. and G. Filbeck, G. (eds.) Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. Hoboken, NJ: John Wiley & Sons, Inc., pp. 437 - 452, which has been published in final form at http://dx.doi.org/10.1002/9781118656501.ch22 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving [© 2013 John Wiley & Sons, Inc.]

ISBN

9781118241127

Book series

Robert W. Kolb Series;

Language

en