Managed Futures and the Kiss Effect, or, Who's Afraid of Pricey Markets?

2017 ◽  
Author(s):  
Fabian Dori ◽  
Egon Ruetsche ◽  
Urs Schubiger
Keyword(s):  
Managed Futures

Managed Futures and Hedge Fund Investment for Downside Equity Risk Management

CFA Digest ◽  
1997 ◽  
Vol 27 (2) ◽  
pp. 54-56
Author(s):  
Johann de Villiers
Keyword(s):  
Risk Management ◽  
Hedge Fund ◽  
Managed Futures ◽  
Equity Risk ◽  
Fund Investment

scholarly journals Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 86
Author(s):  
Renata Guobužaitė ◽  
Deimantė Teresienė
Keyword(s):  
Financial Markets ◽  
Risk Premium ◽  
Trading Strategies ◽  
Economic Factors ◽  
Momentum Strategies ◽  
New Approach ◽  
Managed Futures ◽  
Asset Classes ◽  
Momentum Trading ◽  
Insight Into

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but short-lived impact on financial markets, and therefore gives a unique insight into momentum strategies’ performance during such critical moments of market stress. We offer a new approach to implementing momentum strategies by adding macroeconomic variables to the model. We test a managed futures strategy’s performance with a well-diversified futures portfolio across different asset classes. The research concludes that constructing a portfolio based on academically/economically sound momentum signals with its allocation timing based on broader economic factors significantly improves managed futures strategies and adds significant diversification benefits to the investors’ portfolios.

Using Trend-Following Managed Futures to Increase Expected Withdrawal Rates

2017 ◽  
Author(s):  
Andrew K. Miller
Keyword(s):  
Managed Futures

Managed Futures: A Composite CTA Performance Review

2013 ◽  
Author(s):  
Thomas Schneeweis ◽  
Richard Spurgin ◽  
Edward Szado
Keyword(s):  
Managed Futures ◽  
Performance Review

Managed Futures: A Zero-Sum Game?

2015 ◽  
pp. 101-131
Keyword(s):  
Managed Futures ◽  
Zero Sum

Managed Futures Research: A Composite CTA Performance Review

2012 ◽  
Vol 15 (3) ◽  
pp. 32-61 ◽  
Author(s):  
Thomas Schneeweis ◽  
Richard Spurgin ◽  
Edward Szado
Keyword(s):  
Managed Futures ◽  
Performance Review ◽  
Futures Research

So passen Managed Futures in ein traditionelles Portfolio

2009 ◽  
pp. 89-108
Author(s):  
Yasin Sebastian Qureshi ◽  
Maria Katharina Heiden
Keyword(s):  
Managed Futures

So erwirtschaften Managed Futures Renditen

2009 ◽  
pp. 47-72
Author(s):  
Yasin Sebastian Qureshi ◽  
Maria Katharina Heiden
Keyword(s):  
Managed Futures

Managed Futures:

2015 ◽  
pp. 208-230
Author(s):  
DAVID HARDING ◽  
LASSE HEJE PEDERSEN
Keyword(s):  
Managed Futures
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