What Has Better Returns And Lower Risk Than U.S. Equities? Managed Futures

Overview: The U.S. stock exchanges are clearly the most visible and liquid forms of equity investment around the world. The media has made the stock indices and the companies whose price momentum drives the major exchanges, national and global news. The U.S. capital markets are the envy of the world in their size, liquidity, and financial innovation. From the MLM model, many derivative investment strategies have evolved, which provide more active management within the context a well-diversified trend-following strategy embodied in the MLM model. There are three areas in which the MLM model can be adapted for more active management that, in turn, can generate alpha or add value through active management. Over the past several years, the commodity markets have become increasingly volatile with trends becoming short-lived. Thus, there is a significant difference in alpha and performance between those who invest in managed futures intra-month and those who invest monthly. In today's terribly difficult U.S. equities market, managed futures warrant one’s careful consideration. Using MLM as a reference point, it is possible to add significant value through actively managed investment strategies derived from the passive MLM model. In the search for alpha, it is very important that managed futures do not correlate to the U.S. equity markets.

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Format: PDF | Size: 1,229KB | Date: Oct 2002 | Pages: 4