Futures Strategies Research Articles

Research on the Performance of Hedge Funds with Different Strategies in the 2008 Financial Crisis

The financial crisis of 2008 affected hedge funds of all types and with different strategies to varying degrees. In this article, I will examine the performance of five strategies during the crisis and the reasons for this. In 2008, managed futures strategies returned 19.31% because the futures market mainly deals with commodities, which are highly volatile and trendy, and managed futures strategies, which are mainly trend-based, are more likely to achieve excellent returns in this market. The macro strategy returned 3.34% because the strategy executors focused on the overall economic fundamentals and potential crises. Because the macro strategy has a global coverage of investments and multiple species, there are more options to hedge against risks when they arise. The long/short equity strategy returned -19.26%. The long/short equity strategy is predominantly long, with significant losses on long trades outweighing gains on short positions resulting in an overall negative return. The event-driven strategy returned -20.30%. Major corporate events often suffer from various resistance to proceed correctly in the case of a financial crisis. I hope my research will help investors allocate their investments appropriately according to the characteristics of different strategy funds.

Fungal Phytopathogenic Spore First Assessment in an Olive Orchard of Northwestern Spain

The most common fungal diseases of Olea europaea are olive leaf spot (Fusicladium oleagineum), anthracnose (Colletotrichum spp.) and cercospora leaf spot (Pseudocercospora cladosporioides). To know the fungal load during the vegetative olive cycle, an aerobiological and phenological study was conducted in an olive grove in North-West Spain. For the aerobiological study, the Spanish Aerobiological Network protocol was followed using a Hirst-type spore trap. The goal of the study was to assess the spore concentrations in the atmosphere of the olive grove and their relationship with the meteorological parameters by applying statistical procedures, including a Cluster analysis, Spearman’s correlation test and PCA analysis. The most abundant spores belong to Fusicladium, registering the double of values than Colletotrichum and Pseudocercospora. The hours with the highest spores’ presence were from 11:00 to 12:00 for Fusicladium and Colletotrichum, and from 17:00 to 18:00 for Pseudocercospora. The Spearman’s and PCA test showed a positive association between temperature and relative humidity with the spores’ concentrations. The combination of meteorological, phenological and aerobiological parameters is a useful tool to understand the ecological behavior of the considered phytopathogenic fungal spores in order to develop futures strategies for the integrated management of fungal olive diseases in areas at the limit of this tree distribution.

Queer futuring: an approach to critical futuring strategies for adult learners

PurposeThe purpose of this paper is to develop queer futuring strategies that take into consideration adult learners’ needs in support of transformational and sustainable change for social justice and equity.Design/methodology/approachThis paper develops the construct of queer futuring, which engages queer theory perspectives in a critical futures framework. Adult learning theory informs queer futuring strategies to support adults and inform education to sustain transformational changes for social justice and equity.FindingsWith social justice in mind, queer futuring opens spaces and supports opportunities for adults to engage in learning activities that address historical and layered forms of oppression. Building on learning needs of adults to create meaning and make a difference in the world around them, queer futuring strategies provide tools for activism, advocacy and building new relationships and ways of being-with.Research limitations/implicationsThe sustainability of our current system of growth and financial well-being has already been called into question, and the current pandemic provides tangible evidence of values for contribution, connection and concern for others, even in the midst of political strife and conspiracy theories. These shifting values and values conflict of society point to the questions of equity and narrative inclusivity, challenging and disrupting dominant paradigms and structures that have perpetuated power and authority “over” rather than social participation “with” and harmony. Queer futuring is just the beginning of a bigger conversation about transforming society.Practical implicationsQueering spaces from the perspective of queer futuring keeps the adult learner and queering processes in mind with an emphasis on affiliation and belonging, identity and resistance and politics and change.Social implicationsThe authors suggest queer futuring makes room for opening spaces of creativity and insight as traditional and reified rationality is problematized, further supporting development of emergentist relationships with the future as spaces of possibility and innovation.Originality/valueQueer futuring connects ethical and pragmatic approaches to futuring for creating the kinds of futures needed to decolonize, delegitimize and disrupt hegemonic and categorical thinking and social structures. It builds on queer theory’s critical perspective, engaging critical futures strategies with adult learners at the forefront.

“We’re Still Here”: An Abolition Ecology Blockade of Double Dispossession of Gullah/Geechee Land

Narratives of resilience to sea-level rise too often perpetuate social violence. An abolitionist climate justice praxis necessitates seeing beyond physical inundation to sea-level rise as the sole issue. We argue that sea-level rise is environmental racism, if not always in its racialized outcomes of disproportionate harms, then always in its racialized production of differential value. More than mitigating flood risk when developing Black land futures strategies, to mitigate coastal land loss in the face of rising seas necessitates dismantling “racial regimes of ownership” that are imbued in property relations. Recognizing such, we argue that land futures strategies in the face of rising seas must account for multiple capitalist modes of accumulation but specifically the primitive accumulation process connected to heirs’ property. Here, we argue that racial coastal formations are still underway in how sea-level rise and gentrification are leading to a double dispossession of land and displacing Gullah/Geechee people on Sapelo Island. Although such displacement precipitates loss through harm and violence, in this article we share strategies from abolition ecology praxis to “blockade” these double dispossession processes and, to a degree, even the narrative of loss. To situate the double dispossession narrative within a broader praxis that imagines alternative futures, we till the soil, trace the archives, and tread the marsh and drainage ditches with each other, and in solidarity with other residents, to work toward achieving agricultural revival, property retention, and flood risk mitigation.

“Dyfodol Llwyddiannus” i’n “Dyfodol Byd-eang?” – Goblygiadau Cwricwlwm 2022 ar addysgu a dysgu ieithoedd rhyngwladol.

This article discusses the future of teaching and learning international languages in Welsh schools in light of the changes being introduced by the 2022 curriculum. It is a well-known fact that the numbers studying foreign languages as GCSE and A Level subjects have fallen significantly in recent years. The aim of the government’s Global Futures strategy (Welsh Government: 2015) was to increase these numbers. With this five-year strategy about to come to an end and with preparations for the 2022 curriculum underway, it is timely to ask whether we can anticipate an increase in the number of pupils choosing languages such as French, Spanish and German as a GCSE subject over the next few years. To explore this question, we will look at research into the teaching and learning of foreign languages in primary schools in England and Scotland, and the practical challenges involved (Finch, Theakston & Serratrice, 2018; Holmes & Myles, 2019; Giraud-Johnstone, 2017). Secondly, we discuss the role of motivation in learning a foreign language and argue that the limitations of the option boxes in years 8 or 9 prevent some pupils from choosing a modern language as a GCSE subject (Estyn, 2016; Abrahams, 2018). Thirdly, we elaborate on the widespread view among pupils that learning a foreign language is difficult and challenging (Coleman, Galaczi & Astruc, 2007; Coffey, 2018; Rodeiro, 2017; British Council, 2019). To conclude, some recommendations are proposed on how to ensure the success of the international languages element of the new curriculum to try and address the current shortage of pupils choosing the subject and teachers to teach the subject.

Deepening futures methods to face the civilisational crisis

Richard Slaughter has argued for many years that we face a ‘civilisational crisis’, particularly in the context of climate change and the environment. Slaughter felt that traditional futures methods were too superficial and lacking in depth to address the civilisational challenge ahead of us. He provided frameworks and concepts to deepen futures methods and strategies and to build social foresight capacity. His significant practical contribution was the establishment of the Australian Foresight Institute and postgraduate studies at Swinburne University of Technology in Melbourne. It is suggested that the foresight field in Australia needs to reestablish supportive structures such as these and take steps to obtain social and professional legitimation in order to promote an advanced futures discourse to take us toward better futures.

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

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.

Convert index trading to option strategies via LSTM architecture

AbstractIn the past, most strategies were mainly designed to focus on stocks or futures as the trading target. However, due to the enormous number of companies in the market, it is not easy to select a set of stocks or futures for investment. By investigating each company’s financial situation and the trend of the overall financial market, people can invest precisely in the market and choose to go long or short. Moreover, how to determine the position size of the transaction is also a problematic issue. In the past, many money management theories were based on the Kelly criterion. And they put a certain percentage of their total funds into the market for trading. Nonetheless, three massive problems cannot be overcome. First, futures are leveraged transactions, and extra funds must be deposited as margin. It causes that the position size is hard to be estimated by the Kelly criterion. The second point is that the trading strategy is difficult to determine the winning rate in the financial market and cannot be brought into the Kelly criterion to calculate the optimal fraction. Last, the financial data are always massive. A big data technique should be applied to resolve this issue and enhance the performance of the framework to reveal knowledge in the financial data. Therefore, in this paper, a concept of converting the original futures trading strategy into options trading is proposed. An LSTM (long short-term memory)-based framework is proposed to predict the profit probability of the original futures strategy and convert the corresponding daily take-profit and stop-loss points according to the delta value of the options. Finally, the proposed framework brings the results into the Kelly criterion to get the optimal fraction of options trading. The final research results show that options trading is closer to the optimal fraction calculated by the Kelly criterion than futures trading. If the original futures trading strategy can profit, the benefits after converting to options trading can be further superior.

Antimicrobial resistance: considerations on present and future strategies

Abstract Antimicrobial resistance (AMR) is a global emergency that requires the use of short and long-term strategies. The existence of this phenomenon had been hypothesized by the discoverer of penicillin already in the first years in which this antibiotic drug began to be used, however the historical analysis on the onset and growth of the problem, together with an epistemological approach concerning its possible overcoming, suggest that research and production of new antibiotics cannot be its definitive solution. This may represent the main short-term strategy, to be pursued also thanks to economic incentives in favor of the pharmaceutical industries and privileged institutional pathways in the health sector, but future strategies to combat AMR must be based on an evolutionary vision of biomedicine. Approaches based on the evolutionary mechanisms of natural selection, the fight for existence and biological competition to occupy specific niches, represent the integrative methods of the present and above all the innovative ones of the future. The use of available vaccinations to combat specific bacterial and viral infections, the production of vaccines directed against resistant bacteria, therapies that use specific viruses capable of infecting and killing bacteria (phage therapies), non-chemical but biological sanitation systems of the surfaces in hospital environment (microbiological cleaning), biological therapies with the administration of populations of non-pathogenic bacteria capable of contrasting and eliminating pathogenic bacteria (microbiological therapy), microbiome transplants to transform the microbiological population of man in a means therapeutically useful against resistant bacteria (macrobiome transplant), are the strategies against AMR that will be discussed in this paper. Key messages Promote the production of new antibiotics in the present to win AMR. Evolutionary medicine is the key for futures strategies against AMR.

To Trend or to Revert - A Portfolio Perspective on Time Series Momentum

Time series momentum or trend following strategies have grown in popularity among institutional investors, with over $300 billion assets under management in managed futures strategies. A portfolio approach on recent return history of 60 liquid futures across different asset classes shows that evidence for both time series momentum and its opposite, reversal, is weak. While recent literature highlights evidence for reversal over long time horizons, this study shows reversal is significant even in short time horizons and that there is no clear pattern across asset classes.

An anatomy of commodity futures returns in China

We provide a broad empirical analysis for cross-sectional excess returns in the Chinese commodity futures market. We find two commodity futures strategies, the carry and the momentum, provide significant returns. These two factors, along with a commodity average factor, explain most cross-sectional variations in the Chinese commodity futures market. We then discuss economic interpretations for commodity carry and momentum in China in comparison with their US counterparts. We show that commodity carry in China provides a lower return than the one in the US because it is not compensated by the equity volatility innovation risk. The commodity momentum in China is closely related to the individual investors' behavioural bias of herding effects in the Chinese equity market.

Protecting the Downside of Trend When It Is Not Your Friend

Simple trend-following strategies have been documented as cost-effective, transparent alternatives to the hedge-fund style managed futures strategies. Although largely capturing the returns of the managed futures industry, those simple strategies may periodically suffer significant losses due to oversimplified trend signals and underdiversified portfolio construction. In this article, the authors show that trend-following strategies with moderate sophistication and better diversification can significantly reduce the downside risk of simple trend-following strategies without sacrificing much upside potential. The authors therefore recommend that investors who seek the benefits of cost-effective trend-following strategies consider adding reasonable complexity to the strategies. <b>TOPICS:</b>Real assets/alternative investments/private equity, futures and forward contracts, portfolio construction, risk management

Active Risk Budgeting: A Portfolio Construction Methodology for Futures Strategies

We present a portfolio construction methodology for futures strategies that incorporates active trading and also borrows salient features from the risk-parity methodology. We document the evolution of expected risk and return based portfolio construction methodologies and propose a new methodology which corrects the crucial assumption in risk parity that all investments have similar risk adjusted returns and improves on Grinold and Kahn’s position sizing methodology by using a optimization based framework. We demonstrate a baseline implementation of active risk budgeting that improves upon both mean variance optimization and risk budgeting and document the challenges associated with its implementation for futures trading.

STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS

We study the dynamics of VIX futures and ETNs/ETFs. We find that contrary to classical commodities, VIX and VIX futures exhibit large volatility and skewness, consistent with the absence of cash-and-carry arbitrage. The constant-maturity futures (CMF) term-structure can be modeled as a stationary stochastic process in which the most likely state is contango with VIX [Formula: see text] and a long-term futures price [Formula: see text]. We analyze the behavior of ETFs and ETNs based on constant-maturity rolling futures strategies, such as VXX, XIV and VXZ, assuming stationarity and through a multi-factor model calibrated to historical data. We find that buy-and-hold strategies consisting of shorting ETNs that roll long futures, or buying ETNs that roll short futures, will produce theoretically-sure profits if it is assumed that CMFs are stationary and ergodic. To quantify further, we estimate a 2-factor lognormal model with mean-reverting factors to VIX and CMF historical data from 2011 to 2016. The results confirm the profitability of buy-and-hold strategies, but also indicate that the latter have modest Sharpe ratios, of the order of [Formula: see text] or less, and high variability over 1-year horizon simulations. This is due to the surges in VIX and CMF backwardations which are observed sporadically in the volatility futures market.

Kecerdasan Manajemen dalam Pengelolaan Sekolah Unggulan

In fact, there is a big gap between good and bad educational institutions. Good schools are supported by sufficient funding. Then it is not surprising to graduate from a bad school instead become a problem in society. Accordingly, need improvement of the education system with optimizing teacher capability in the school. The strategic role of human relation organization has grown rapidly because the optimization of people in organizations produced a competitive advantage, good a domestic and international scale. School term, has a meaning print quality graduates. In the middle of building education quality in Indonesia are established effective school. The effective school viewed as one of the alternatives to raise up a competitive advantage of human relations. Nowadays, public interest increase to register his child to school has proven this program was successful. Hence, his articles will discuss the effective school concept. The effective school is an educational institution that has excellence both in terms of knowledge and transmission intensity side -Moslems society-. The implementation of an effective education process is an accumulative product of all school services and the influence of atmosphere, culture, climate pleasurable created by a school. The meaning of smart management in this session is how to build school capacity through institutional reform, curriculum, and methodology. The development of the education management system can be done with continuous evaluation of school performance feasibility. Accordingly requires a good strategy implemented through a creative and innovative management system for that matter. This article tries to draw conclusions in school management effectiveness implementation. The characteristics of smart management implementation among others (1) work with the target (priority scale); (2) develop a futures strategy; (3) managing business networks; (4) managing sustainable change; (5) organizational capacity development; (6) creating characteristics of the peculiarity school which is a superior program.

Statistics of VIX Futures and Applications to Trading Volatility Exchange-Traded Products

We study the dynamics of VIX futures and ETNs/ETFs. We find that contrary to classical commodities, VIX and VIX futures exhibit large volatility and skewness, consistent with the absence of cash-and-carry arbitrage. The constant-maturity futures (CMF) term-structure can be modeled as a stationary stochastic process in which the most likely state is a contango with VIX ≈ 12% and a long-term futures price V∞ ≈ 20%. We analyze the behavior of ETFs and ETNs based on constant-maturity rolling futures strategies, such as VXX, XIV and VXZ, assuming stationarity and through a multi-factor model calibrated to historical data. We find that buy-and-hold strategies consisting of shorting ETNs that roll long futures, or buying ETNs that roll short futures, will produce theoretically-sure profits if it is assumed that CMFs are stationary and ergodic (see Proposition 3.1). To quantify further, we estimate a 2-factor lognormal model with mean-reverting factors to VIX and CMF historical data from 2011 to 2016. The results confirm the profitability of buy-and-hold strategies, but also indicate that the latter have modest Sharpe ratios, of the order of SR = 0.5 or less, and high variability over 1-year horizon simulations. This is due to the surges in VIX and CMF backwardations which are experienced sporadically, but also inevitably, in the volatility futures market.

Statistics of VIX futures and their applications to trading volatility exchange-traded products

We study the dynamics of VIX futures and ETNs/ETFs. We find that contrary to classical commodities, VIX and VIX futures exhibit large volatility and skewness, consistent with the absence of cash-and-carry arbitrage. The constant-maturity futures (CMF) term-structure can be modeled as a stationary stochastic process in which the most likely state is a contango with VIX ≈ 12% and a long-term futures price V∞ ≈ 20%. We analyze the behavior of ETFs and ETNs based on constant-maturity rolling futures strategies, such as VXX, XIV and VXZ, assuming stationarity and through a multi-factor model calibrated to historical data. We find that buy-and-hold strategies consisting of shorting ETNs that roll long futures, or buying ETNs that roll short futures, will produce theoretically-sure profits if it is assumed that CMFs are stationary and ergodic (see Proposition 3.1). To quantify further, we estimate a 2-factor lognormal model with mean-reverting factors to VIX and CMF historical data from 2011 to 2016. The results confirm the profitability of buy-and-hold strategies, but also indicate that the latter have modest Sharpe ratios, of the order of SR = 0.5 or less, and high variability over 1-year horizon simulations. This is due to the surges in VIX and CMF backwardations which are experienced sporadically, but also inevitably, in the volatility futures market.

Dynamic delta option strategies in Nordic electricity markets

This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts. For this purpose, the dynamic delta portfolio is constructed using quarterly options and an underlying futures contract. Given that the risk level of such a portfolio is adjusted on a daily basis, in such a manner that it matches the corresponding static futures strategy, we can directly calculate the price difference between the dynamic delta option strategy and the static futures strategy. We find some seasonality in the price differences between the static and dynamic strategies. When using calls, we find a significant negative (positive) price difference during winter (summer) quarters. In contrast, for puts, we find a significant positive price difference during winter quarters, but not during summer quarters. We also find that the winter and summer quarters are associated with the reported price differences, which are not as universally related to the trends in electricity prices (ie, increasing or decreasing electricity prices).

Managed Futures and the AC-DC Effect, or, Highway to Prosperity?

Recent developments have not only driven numerous financial markets to record highs, but also significantly increased the correlations between various asset classes. Following one of the longest bull markets in history, current price levels and the co-movement behaviours of traditional asset classes suggest reduced expected returns and diversification benefits in future. The question, therefore, is whether there exist investment strategies that still provide an attractive risk/return profile and consistent diversification benefits. The hypothesis and aim of this paper is to demonstrate that the unambiguous answer is yes! The risk premia of as well as correlations between asset classes are time varying, and strategies that dynamically adjust to changing attractiveness and co-movements are able to harvest positive returns in various market environments. However, these strategies inherently need to be highly liquid in order to allow for dynamic exposure management. One type of alternative strategy that combines liquidity with adaptiveness is a managed futures strategy. Accordingly, this paper elaborates on the differences in the risk/return profiles of traditional balanced mandates and a long-only risk-balanced managed futures strategy. It shows that the latter is well suited to withstand adverse bond or equity market conditions. We call this the asset class diversification contribution (AC-DC) effect of long-only managed futures strategies. This relatively robust risk/return profile is mainly attributable to its broad and adaptively weighted investment universe, as well as a systematically managed total exposure.

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

Recent developments have not only driven numerous financial markets to record highs, but also significantly increased the correlations between various asset classes. Following one of the longest bull markets in history, current price levels and the co-movement behaviours of traditional asset classes suggest reduced expected returns and diversification benefits in the future. The question, therefore, is whether there exist investment strategies that still provide an attractive risk/return profile and consistent diversification benefits. The hypothesis and aim of this paper is to demonstrate that the unambiguous answer is yes! The risk premia of as well as correlations between asset classes are time varying, and strategies that dynamically adjust to changing attractiveness and co-movements are able to harvest positive returns in various market environments. However, these strategies inherently need to be highly liquid in order to allow for dynamic exposure management. One type of alternative strategy that combines liquidity with adaptiveness is a managed futures strategy. Accordingly, this paper elaborates on the differences in the risk/return profiles of traditional balanced mandates and a long-short risk-balanced CTA strategy. It shows that the latter is not only well suited to withstand adverse bond or equity market conditions, but it may even find attractive return opportunities in turbulent times. We call this the king in stress scenarios (KISS) effect of long-short managed futures strategies. This robust and diversifying risk/return profile is mainly attributable to its broad and adaptively weighted investment portfolio, as well as the possibility of taking on short positions.