Futures markets can no longer be considered a high-risk alternative, only suited to the most aggressive investors. The $500 million under management in private and public managed futures funds in 1980 has grown quietly but exponentially to $20 billion today, with major pension funds, banks, and corporate players heavily committed. But, if you wanted to follow their trail you'd have to pick up what information you could find in newsletters, articles, and actual-risky-trading experience. Until now. In this book, Charles Epstein has set up a unique managed futures brain trust especially for those who want the complete picture of this hot new asset class. These experts provide both a broad theoretical basis and a full spectrum of practical applications to help you bring a managed futures account into your institutional portfolio to add diversification, decrease volatility, hedge against inflation and risk, and provide incremental return. You'll find complete analysis of the key theoretical aspects of managed futures, including their role as an alternative asset class, the new investment strategies they make possible, and a risk-return study using a multi-manager commodity portfolio. You'll also find detailed discussions of the practice of managed futures account investing and trading, from evaluating traders...organizing a commodity pool...avoiding ERISA problems...tax and accounting considerations...unleveraged futures as inflation hedges...to an eye-opening risk-return comparison of stocks. With some trading advisors already overseeing $500 million managed futures accounts, and with one manager posting a 75% compounded annual rate of return, Managed Futures in the Institutional Portfoliocould prove to be quite an asset to your portfolio.
Inhaltsverzeichnis
THE FOUNDATIONS.
The Potential Role of Managed Futures in Institutional PensionPortfolios (S. Irwin).
Using Alternative Investment Strategies and Managed FuturesAccounts in Pension Portfolios (M. Dunmire).
Multi-Manager Commodity Portfolios: A Risk/Return Analysis (T. Schneeweis, et al.).
APPLICATIONS OF MANAGED FUTURES INVESTING.
Evaluating Commodity Trading Advisors (L. Doerrer).
A Guide to Organizing a Commodity Pool (M. Mitchell & D. Kozak).
Fiduciary Selection and Prohibited Transactions Under ERISA (J. Collins & D. Dygert).
U. S.
Accounting and Taxation for Managed Futures and Options (G. Mangieri & J. Oliver).
Managed Futures: The Consultant's View (H. Marmer).
The Financial Considerations of Futures Execution and Clearing(P. Bennett).
Inflation Hedging with Unleveraged Futures (S. Hanke & C. Culp).
Futures Versus Stocks: A Risk Comparison (P. Matthews & P. Magnollay).
Chapter Notes.
Index.
