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Title: An overview of managed futures' performance: 1983 to post-2008 credit crisis
Authors: Tee, Kai-Hong
Keywords: Allocation mechanism
Chicago Mercantile Exchange
Correlations
Diversification benefits
Managed futures
Market timing; performance persistence
Post-2008 crisis
Issue Date: 2013
Publisher: © John Wiley and Sons
Citation: TEE, K.-H., 2013. An overview of managed futures' performance: 1983 to post-2008 credit crisis. IN: Baker, H.K. and G. Filbeck, G. (eds.) Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. Hoboken, NJ: John Wiley & Sons, Inc., pp. 437 - 452.
Series/Report no.: Robert W. Kolb Series;
Abstract: The growth of the managed futures industry increased dramatically in the late 1970s after the introduction of the world's first financial futures contracts (foreign currency futures) by the Chicago Mercantile Exchange in 1972. The first published academic research on the performance of managed futures appeared in the 1980s. Researchers who adopted similar performance metrics to assess managed futures in different time periods reached similar conclusions as earlier studies about the benefits of managed futures. Some recent studies address the issues of performance persistence and market-timing ability of managed futures traders. Following the onset of the financial crisis of 2007-2008, researchers also reassessed the diversification benefits of managed futures and the low correlations of their returns with those of stocks and bonds. Evidence reaffirmed that the favorable characteristics of managed futures investments were useful for investors looking for a "crisis alpha" for their portfolios in periods with high market volatility. © 2013 John Wiley & Sons, Inc. All rights reserved.
Description: This is the peer reviewed version of the following article: TEE, K.-H., 2013. An overview of managed futures' performance: 1983 to post-2008 credit crisis. IN: Baker, H.K. and G. Filbeck, G. (eds.) Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. Hoboken, NJ: John Wiley & Sons, Inc., pp. 437 - 452, which has been published in final form at http://dx.doi.org/10.1002/9781118656501.ch22 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving [© 2013 John Wiley & Sons, Inc.]
Version: Accepted for publication
DOI: 10.1002/9781118656501.ch22
URI: https://dspace.lboro.ac.uk/2134/17101
Publisher Link: http://dx.doi.org/10.1002/9781118656501.ch22
ISBN: 9781118241127
Appears in Collections:Book Chapters (Business School)

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