THE BENEFITS OF MANAGED FUTURES
Managed futures (e.g., Commodity Trading Advisors or CTAs) have grown to over $100 billion in assets and are increasingly becoming a fundamental part of investors’ portfolios. In this annual update, the return and risk characteristics of managed futures strategies are reviewed. Results show that traditional market factors have little correlation with CTA returns and that CTAs may provide return and risk opportunities (e.g. diversification) to portfolios comprised principally of traditional stock and bond investments as well as portfolios comprised of both traditional stocks and bonds as well as traditional alternatives such as private equity, real estate, commodities and hedge funds. Today, passive algorithmic-based models of CTA performance are available which may be regarded as investible benchmarks for certain active CTA based strategies. Therefore, one can think of CTA returns as a combination of manager skill and an underlying return to the CTA strategy or investment style itself. Lastly, the stability of the return and risk parameters over time is analyzed as well as the performance of CTAs in a variety of market conditions.