22. An Overview of Managed Futures' Performance: 1983 to Post-2008 Credit Crisis

  1. H. Kent Baker and
  2. Greg Filbeck
  1. Kai-Hong Tee

Published Online: 2 APR 2013

DOI: 10.1002/9781118656501.ch22

Alternative Investments: Instruments, Performance, Benchmarks, and Strategies

Alternative Investments: Instruments, Performance, Benchmarks, and Strategies

How to Cite

Tee, K.-H. (2013) An Overview of Managed Futures' Performance: 1983 to Post-2008 Credit Crisis, in Alternative Investments: Instruments, Performance, Benchmarks, and Strategies (eds H. K. Baker and G. Filbeck), John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118656501.ch22

Author Information

  1. Senior Lecturer in Finance, Loughborough University

Publication History

  1. Published Online: 2 APR 2013
  2. Published Print: 18 MAR 2013

ISBN Information

Print ISBN: 9781118241127

Online ISBN: 9781118656501

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Keywords:

  • managed futures;
  • Chicago Mercantile Exchange;
  • market timing; performance persistence;
  • post-2008 crisis;
  • diversification benefits;
  • correlations;
  • allocation mechanism

Summary

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.