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Portfolio investment opportunities in managed futures PDF

63 Pages·2013·16.297 MB·English
by  DarstDavid M
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Wiley RealTime Finance Portfolio Investment Opportunities in Managed Futures by David M. Darst What’s Inside: Assess the advantages and risks of managed futures Select risk management strategies Evaluate investment performance and correlation Analyze managed futures performance during market dislocations Portfolio Investment Opportunities in MANAGED FUTURES The Wiley RealTime Finance series provides information, tools, and insights specifi cally for fi nance and investment professionals. Topics range from port- folio management to e-commerce, risk management, fi nancial engineering, valuation and fi nancial instrument analysis, and beyond. Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offi ces in North America, Europe, Asia, and Australia, Wiley is globally committed to providing content and services that further our customers’ professional knowledge and understanding. For more information, please visit www.wiley.com/go/wileyrealtime. Portfolio Investment Opportunities in MANAGED FUTURES David M. Darst, CFA Cover image: <INSERT NAME> Cover design: Michael Freeland Copyright © 2013 by David M. Darst. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/ permissions. Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifi cally disclaim any implied warranties of merchantability or fi tness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profi t or any other commercial damages, including but not limited to special, incidental, consequential, or other damages. For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993 or fax (317) 572-4002. Wiley publishes in a variety of print and electronic formats and by print-on- demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com. ISBN 978-1-118-50297-6 (ePDF) ISBN 978-1-118-50298-3 (Mobi) ISBN 978-1-118-50294-5 (ePub) Printed in the United States of America 10 9 8 7 6 5 4 3 2 1 Contents About the Author vii Introduction ix 1: Select Investment Advantages and Potential Risks of Managed Futures 1 Historical Background on Futures and Managed Futures 1 Distinguishing between Physical Commodities, Futures, and Managed Futures 2 Select Advantages of Managed Futures 3 Potential Investment Risks of Managed Futures Funds 5 Placing Managed Futures in an Investment Context 6 Essential Differences between Managed Futures and Other Asset Classes 8 Select Risk Management Strategies Pursued by Managed Futures Advisers 9 Special Considerations Associated with Managed Futures Funds 10 Fees and Expenses Associated with Managed Futures Funds 11 Investment Approaches of Managed Futures Funds 12 Select Insights into Managed Futures Returns Patterns 13 Managed Futures Funds Compared with Hedge Funds 15 Trend Characteristics and Underlying Drivers of Managed Futures 16 Evolution of the Futures Markets 16 Actively Traded Futures and Options Contracts in the United States 16 v vi Contents 2: Summary of Managed Futures Investment Performance and Correlation 21 Select Managed Futures Indices’ Performance 21 Managed Futures Returns during Financial Market Dislocations 25 The Barclay CTA Index and Survivorship Bias 26 Patterns of Managed Futures Returns 27 The CISDM CTA Equal-Weighted Index 32 Analysis of Select Asset Class Returns 35 3: Overview of the Investment Landscape 39 Global Futures Exchanges and Clearinghouses 41 4: Glossary of Indexes 45 5: Select Information Sources 49 Acknowledgments 51 About the Author David M. Darst, CFA, is a Managing Director and Chief Investment Strategist of Morgan Stanley Wealth Management with responsibility for asset allocation and investment strategy, and was the founding president of the Morgan Stanley Invest- ment Group. He joined Morgan Stanley in 1996 from Goldman Sachs, where he held senior man- agement posts within the Equities Division and earlier, for six years as Resident Manager of their Private Bank in Zurich. David is the author of seven books: The Complete Bond Book (McGraw- Hill, 1975); The Handbook of the Bond and Money Markets (McGraw-Hill, 1981); The Art of Asset Allocation, Second Edition (McGraw-Hill, 2008); Mastering the Art of Asset Allocation (McGraw-Hill, 2006); Benjamin Graham on Investing (McGraw-Hill, 2009); and The Little Book that Saves Your Assets (John Wiley & Sons, 2008), which has ranked on the bestseller lists of the New York Times and BusinessWeek. His fi nancial works have been translated into Chinese, Japanese, Russian, German, Korean, Italian, Indonesian, Norwegian, and Vietnamese. In 2012, Seapoint Books published David’s seventh book, Voyager 3, which contains his creative writing. David appears frequently on CNBC, Bloomberg, FOX, PBS, and other television channels, and has contributed numerous articles to Barron’s, Eur- omoney, The Money Manager, Forbes.com, The Yale Economic Review, and other publications. He broadcasts and writes extensively on asset allocation in the fi rm’s biweekly Investment Strategy and Asset Allocation Commentary and in the Morgan Stanley Smith Barney monthly publication, Asset Allocation and Investment Strategy Digest, the predecessors of which he launched in 1997. David graduated from Phillips Exeter Academy, was awarded a BA degree in economics from Yale University, and earned his MBA from Harvard Business School. David has lectured widely at Wharton, Columbia, INSEAD, and New York University business schools, and for nine years, he served as a visiting faculty member at Yale College, Yale School of Management, and Harvard Business School. David is a CFA Charterholder and a member of the New York Society of Security Analysts and the CFA Institute. vii

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