An Overview of Managed Futures' Performance: 1983 to Post‐2008 Credit Crisis

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 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.