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Managed futures : performance, evaluation and analysis of commodity funds, pools and accounts

Author: Carl C Peters
Publisher: Chicago, Ill. : Probus Pub. Co., ©1992.
Series: Institutional investor publication.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
Managed futures, professionally managed investments in commodity and financial futures market, are rapidly growing in popularity and acceptance due to their potential returns and to their diversification and inflation hedging potential. While small in comparison to stocks and bonds, there are over $25 billion today in managed futures!
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Genre/Form: Aufsatzsammlung
Document Type: Book
All Authors / Contributors: Carl C Peters
ISBN: 1557382913 9781557382917
OCLC Number: 25835933
Description: ix, 442 pages : illustrations ; 24 cm.
Contents: Ch. 1. Managed Futures--A Performance Perspective / Carl C. Peters --
Ch. 2. Risk and Return in Commodity Futures / Zvi Bodie and Victor I. Rosansky --
Ch. 3. Commodity Futures as a Hedge against Inflation / Zvi Bodie --
Ch. 4. The Potential Role of Managed Commodity-Financial Futures Accounts (and/or Funds) in Portfolios of Stocks and Bonds / John Lintner --
Ch. 5. John Lintner and the Theory of Portfolio Management / Almer H. Orr, III --
Ch. 6. Public Futures Funds / Scott H. Irwin and B. Wade Brorsen --
Ch. 7. The Stock Market and the Commodity Futures Market: Diversification and Arbitrage Potential / Cheng F. Lee, Raymond M. Leuthol and Jean E. Cordier --
Ch. 8. Examination of Commodity Fund Performance / B. Wade Brorsen and Scott H. Irwin --
Ch. 9. The Role of Managed Futures Accounts in an Investment Portfolio / Morton S. Baratz and Warren Eresian. Ch. 10. An Examination of the Risk/Return Characteristics of Portfolios Combining Commodity Futures Contracts with Common Stocks / Anthony F. Herbst and Joseph P. McCormack --
Ch. 11. Real Estate, Futures, and Gold as Portfolio Assets / Scott H. Irwin and Diego Landa --
Ch. 12. Futures Fund Performance: A Test of the Effectiveness of Technical Analysis / J. Austin Murphy --
Ch. 13. Professionally Managed, Publicly Traded Commodity Funds / Edwin J. Elton, Martin J. Gruber and Joel C. Rentzler --
Ch. 14. A Further Examination of the Risk/Return Characteristics of Portfolios Combining Commodity Futures Contracts with Common Stocks / Anthony F. Herbst and Joseph P. McCormack --
Ch. 15. A Comparative Analysis of Portfolio Diversification Criteria Using Managed Futures / Carl C. Peters --
Ch. 16. How to Diversify Portfolios of Euro-Stocks and Bonds with Hedged U.S. Managed Futures / Richard E. Oberuc. Ch. 17. The Role of Managed Futures Accounts in an Investment Portfolio / Morton S. Baratz and Warren J. Eresian --
Ch. 18. Portfolio Analysis of Stocks, Bonds, and Managed Futures Using Compromise Stochastic Dominance / Daniel Fischmar and Carl C. Peters --
Ch. 19. The Performance of Publicly Offered Commodity Funds / Edwin J. Elton, Martin J. Gruber and Joel C. Rentzler --
Ch. 20. Are Public Commodity Pools a Good Investment? / Scott K. Irwin, Terry R. Krukemyer and Carl R. Zulauf.
Series Title: Institutional investor publication.
Responsibility: Carl C. Peters, editor.

Abstract:

Managed futures, professionally managed investments in commodity and financial futures market, are rapidly growing in popularity and acceptance due to their potential returns and to their diversification and inflation hedging potential. While small in comparison to stocks and bonds, there are over $25 billion today in managed futures!

In Managed Futures: Performance, Evaluation and Analysis of Commodity Funds, Pools and Accounts, the top researchers in the industry examine managed futures in theory and application, explaining both the theoretical and methodological basis for performance. Landmark research is recreated in its entirety to present a cohesive picture of the product and an authoritative reference for institutional portfolio investors, pension fund managers and researchers.

Included are the works of renowned experts, such as: John Lintner, Scott H. Irwin, Zvi Bodie, Anthony F. Herbst, Edwin J. Elton, Chang F. Lee and J. Austin Murphy.

Editor Carl Peters furnishes management summaries as well as an introductory chapter that provides investors with a cohesive overview of this asset category and lays out the important issues explored in subsequent chapters.

Topics in this important anthology include: Managed Futures as a Hedge Against Inflation, Risk and Return in Commodity Futures, The Stock Market and the Commodity Futures Markets, Portfolio Design Using Managed Futures, Managed Futures in Global Asset Allocation, and Institutional Perspectives of Potential Performance.

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