Managed Futures And Hedge Funds: A Match Made In Heaven
- Topics:
- Commercial Lending
- Tags:
- Bond,
- Finance,
- Financial Services,
- Hedge Fund,
- Hedge World,
- Investment
- Source:
- Hedge World
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Overview: In this article one, study the possible role of managed futures in portfolios of stocks, bonds, and hedge funds. One find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at limited costs. Apart from their lower expected return, managed futures appear to be diversifiers that are more effective than hedge funds. Adding managed futures to a portfolio of stocks and bonds will reduce that portfolio’s standard deviation more and quicker than hedge funds will, and without the undesirable side effects on skewness and kurtosis. Overall, portfolio Standard deviation can be reduced further by combining both hedge funds and managed futures with stocks and bonds. As long as at least 45-50% of the alternatives allocation is allocated to manage futures, this again will not have any negative side effects on skewness and kurtosis.
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Format: HTML | Size: 241KB | Date: Nov 2002 | Pages: 21
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