Category

Alternatively - Alternatives

Company

Man Investments

Research Paper

The recent market turmoil has highlighted the time-varying nature of asset class correlations and their propensity to increase during periods of market stress. Managed futures has been a shining light through the crisis, reinforcing its status as a form of ‘portfolio insurance’. This research paper outlines the nature of investing in managed futures, including the underlying investment philosophies and processes, and portfolio construction. The paper analyses the dynamic investment exposures within managed futures and how this contributes to risk-adjusted returns, before testing a portfolio allocation to managed futures and the potential benefits for a balanced portfolio.

Presentation

Tim Wong, CEO, AHL