In 1983 Harvard professor John Lintner published a seminal paper illustrating how an allocation to managed futures could dramatically improve the risk adjusted returns of an investment portfolio. Twenty-seven years later managed futures has become an investment vogue and allocations to the strategy are growing at a spectacular pace.
Commodity trading advisers (CTAs) running managed futures programs experienced record inflows in 2010, according to data from BarclayHedge. Combined assets managed by
The week on Risk.net, March 10-16 2018Receive this by email