Managed Futures and Their Role in Investment Portfolios |
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| Author:
| Chance, Don M. |
| Series title: | The Research Foundation of AIMR and Blackwell Series in Finance Ser. |
| ISBN: | 978-0-943205-25-0 |
| Publication Date: | Jan 1991 |
| Publisher: | John Wiley & Sons, Incorporated
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| Imprint: | Wiley |
| Book Format: | Paperback |
| List Price: | USD $41.95 |
Book Description:
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One of the many advantages managed futures offer is that their returns have low correlations with the returns of other traditional asset classes-even though they can entail significant costs. This monograph provides an overview of the industry, discusses the advantages and disadvantages of managed futures, reviews their historical performance record, presents a method for evaluating their performance in a portfolio, and lays out how to establish a managed futures program.
One of the many advantages managed futures offer is that their returns have low correlations with the returns of other traditional asset classes-even though they can entail significant costs. This monograph provides an overview of the industry, discusses the advantages and disadvantages of managed futures, reviews their historical performance record, presents a method for evaluating their performance in a portfolio, and lays out how to establish a managed futures program.