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, December 9–15 2017Receive this by email