Why has it taken another crisis to
recognise the benefits of managed futures?
Category
Alternatively - Alternatives
Company
Man Investments
Research
Paper
The recent market turmoil has highlighted the
time-varying nature of asset class correlations and
their propensity to increase during periods of
market stress. Managed futures has been a shining
light through the crisis, reinforcing its status as
a form of ‘portfolio insurance’. This research paper
outlines the nature of investing in managed futures,
including the underlying investment philosophies and
processes, and portfolio construction. The paper
analyses the dynamic investment exposures within
managed futures and how this contributes to
risk-adjusted returns, before testing a portfolio
allocation to managed futures and the potential
benefits for a balanced portfolio.