Demystifying Managed Futures

Brian Hurst,, Yao Hua Ooi, Lasse Heje Pedersen

Publikation: Bidrag til tidsskriftTidsskriftartikelpeer review

Abstrakt

We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high R-squares with Managed Futures indices and individual manager returns, including the largest and most successful managers. While the largest Managed Futures managers have realized significant alphas to traditional long-only benchmarks, controlling for time series momentum strategies drives the alphas of the most managers to zero. We consider a number of implementation issues relevant to time series momentum strategies, including risk management, risk allocation across asset classes and trend horizons, portfolio rebalancing frequency, transaction costs, and fees.
OriginalsprogEngelsk
TidsskriftJournal of Investment Management
Vol/bind11
Udgave nummer3
Sider (fra-til)42-58
ISSN1545-9144
StatusUdgivet - 2013

Emneord

  • Managed futures
  • Time series momentum
  • Trends
  • Commodity Trading Advisor (CTA)
  • Hedge funds
  • Trading strategies

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