Managed futures
Managed futures are a specialized hedge fund asset class that is characterized by systematic quantitative trading approaches with almost exclusively exchange-traded derivatives such as futures and options . These are managed by so-called managed futures managers, traditionally known under the American professional title of Commodity Trading Advisors ( CTA ), in so-called managed accounts. Since futures and options can both be bought and sold, managed futures strategies can benefit from rising as well as falling prices.
Managed futures managers are not subject to any fixed restrictions with regard to the choice of trading strategies, the geographical target markets and the financial instruments used and are usually highly diversified. The entire spectrum ranges from pure futures or option programs through mixed strategies to managed futures managers who B. Trade Forex in Cash Markets. The choice of the financial product alone creates a different risk-return profile, so that the mix of different managed futures managers creates diversification effects in the investment portfolio. While a single strategy can be very risky, comparable to a single stock, the diversification across different managers creates a moderate risk profile.
Managed futures are divided into five sub-strategies: long-term trend following, short-term trend following, global macro, discretionary trading and FX trading. Both the individual managers in the sub-strategies and the sub-strategies differ from one another in the way in which the buy and sell signals are generated and the time horizon over which the positions are held. In addition to purely discretionary decisions, mathematical models are used to make profitable use of inefficiencies in the market. The determination of trading decisions by computer programs based on rules and patterns from the price movements (" automated trading ") enables the purely rational tracking of strategies without the influence of emotions. Management services are typically paid according to the “2/20” scheme: 2 percent annually on the managed amount plus 20 percent on the performance provided.
history
The first managed futures fund was launched in 1949 by the American commodity futures trader Richard Davoud Donchian. He originally acquired his knowledge in the securities business, but stimulated by the stock market crash of 1929, he specialized in technical analysis, i.e. identifying trends in the markets. His rule-based trading approach made it possible for the first time to systematically invest in commodities via futures contracts such as futures and options .
In 1965, Dunn and Hargitt then offered the first computer-aided trading model, which was implemented on the investors' accounts via an administrator's power of attorney. This was revolutionary because, unlike a fund, there was no transfer of capital from the investor to the managed futures manager, but only a limited trading power of attorney was issued for the investor's account. The investor was thus able to see every trading movement on the account statement and was protected against misappropriation of his funds, as withdrawals were not allowed. The “managed account” was born.
The industry has experienced a boom since the 1970s, when, in addition to commodity contracts, financial contracts on interest rates, currencies and stock indices became increasingly available on the futures exchanges , meaning that almost every financial market can also be traded in the form of futures and options . The earliest managed futures managers used fairly simple, classic technical trading patterns such as shoulder-head-shoulder, support and resistance, and breakout. In the 1980s, the Turtle Traders, named after Singapore turtles, became famous. Richard Dennis and William Eckhard, two American commodity traders, held seminars in which they taught how to trade successfully using the Turtle Trader method.
At the end of the 80s, the age of the computer began, which was used to analyze historical market prices in order to then generate trading signals using algorithms. With new analysis software, a large number of technical indicators were developed in the 1990s and made accessible to many people (momentum, exponential moving average, MACD, etc.). The technical development also made it possible to process a lot of data in a very short time, so that the markets to which the generated trading signals were applied also increased. Diversification according to Markowitz is not only possible in a portfolio of different managed futures managers, but also takes place in the strategies of the individual managed futures managers. Since the turn of the millennium, scientists from various disciplines have been paying their attention to systematic managed futures strategies. Knowledge about the psychology of the markets, neural networks and self-learning algorithms found their way into trading systems, which contributes to the continued success and a high level of development of managed futures strategies.
The assets under management in managed futures worldwide from around USD 5 billion in the late 1980s had grown to around USD 220 billion by the end of 2009.
Advantages and disadvantages of managed futures
The computer-aided managed futures trading systems of the long-term trend followers work well in market phases that show particularly clearly defined long trends. In times when the market is moving sideways with no discernible trend, these managed futures strategies reach their limits. However, these are the times when the short-term trend followers produce good results. In addition to the classic equity portfolio, managed futures can be used for diversification. The strict US regulation can be seen as an advantage of a US-approved managed futures program. Binding and in some cases free of charge arbitration and mediation, investors can obtain legally sound judgments in the event of disputes and research the background to approved managed futures managers.
See also
literature
- Yasin Sebastian Qureshi, Maria Katharina Heiden: Managed Futures , Berlin / Heidelberg 2009. ISBN 3642032311
- Edwin O. Fischer, Christoph P. Mitterer: "Long-term return and risk analysis of traditional and alternative international investments", Karl Franzens University, Graz, 2006
Web links
Individual evidence
- ↑ Yasin Sebastian Qureshi, Maria Katharina Heiden: Managed Futures , Berlin / Heidelberg 2009. p. 5.
- ↑ What are managed futures and what makes them interesting as an investment? ( Memento of the original from December 9, 2008 in the Internet Archive ) Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice.
- ↑ [1]
- ↑ Alternative Investment Database
- ↑ [2]
- ↑ [3]
- ↑ [4]
