Managed Futures Investments

  • Ewelina Sokołowska


Analysis of a type of investments called managed futures should begin with introduction of the derivatives to the subject of the matter, particularly of the futures contracts, which constitute a direct object of this type of investments. Derivatives are the futures market’s tools, the value of which depends on the value of the so-called primary instrument constituting the base of a futures transaction. These innovative instruments of the financial market can be used both for hedging, arbitrage as well as for speculation that allows profiting on the changes in the basic instrument’s price.


Return Rate Hedge Fund Financial Asset Future Market Future Contract 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


  1. Anson, M. J. (2006). Handbook of alternative investments. New York: Willey.Google Scholar
  2. Bjornson, B., & Carter, C. A. (1997). New evidence on agricultural commodity return performance under time-varying risk. American Journal of Agricultural Economics, 79(3), 918–930.CrossRefGoogle Scholar
  3. Bodie, Z. (1983). Commodity futures as a hedge against inflation. The Journal of Portfolio Management, 9(3), 12–17.CrossRefGoogle Scholar
  4. Bodie, Z., & Rosansky, V. I. (1980). Risk and return in commodity futures. Financial Analysts Journal, 36(3), 27–39.CrossRefGoogle Scholar
  5. Chance, D. M. (1994). Managed futures and their role in investment portfolios. Charlottesville, VA: The Research Foundation of the Institute of Chartered Financial Analysts.Google Scholar
  6. Conover, C. M., Jensen, G. R., Johnson, R. R., & Mercer, J. M. (2010). Is now the time to add commodities to your portfolio? The Journal of Investing, 19(3), 10–19.CrossRefGoogle Scholar
  7. Edwards, F. R., & Liew, J. (1999). Hedge funds versus managed futures as asset classes. The Journal of Derivatives, 6(4), 45–64.Google Scholar
  8. Edwards, F. R., & Caglayan, M. O. (2001). Hedge funds and commodity fund investments in bull and bear markets. Available at SSRN 281522.Google Scholar
  9. Fox‐Andrews, M., & Meaden, N. (1995). Derivatives, markets and investment management. London: Prentice‐Hall.Google Scholar
  10. Fung, W., & Hsieh, D. A. (2001). The risk in hedge fund strategies: Theory and evidence from trend followers. Review of Financial studies, 14(2), 313–341.CrossRefGoogle Scholar
  11. Accessed March, 2015.
  12. Irwin, S. H., & Landa, D. (1987). Real estate, futures, and gold as portfolio assets. The Journal of Portfolio Management, 14(1), 29–34.CrossRefGoogle Scholar
  13. Irwin, S. H., & Wade Brorsen, B. (1985). Public futures funds. Journal of Futures Markets, 5(2), 149–171.CrossRefGoogle Scholar
  14. Lintner, J. V. (1983). The potential role of managed commodity-financial futures accounts (and/or Funds) in portfolios of stocks and bonds. Division of Research, Graduate School of Business Administration, Harvard University.Google Scholar
  15. Lungarella, G., & Harcourt, A. G. (2002). Managed futures: A real alternative. White Paper.Google Scholar
  16. Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91.Google Scholar
  17. Peters, C. C., & Warwick, B. (Eds.). (1997). The handbook of managed futures: Performance, evaluation and analysis. New York: McGraw Hill.Google Scholar
  18. Schneeweis, T. (1998). Dealing with myths of hedge fund investment. The Journal of Alternative Investments, 1(3), 11–15.CrossRefGoogle Scholar
  19. Schneeweis, T., & Gupta, B. (2006). Diversification benefits of managed futures. Journal of Investment Consulting, 8(1), 53–62.Google Scholar
  20. Schneeweis, T., Gupta, R., & Szado, E. (2008). The benefits of commodity investing. Investment & Wealth Monitor.Google Scholar
  21. Sokołowska, E. (2009a). Alternative investments: Managed futures. Acta Universitatis Nicolai Copernici, Ekonomia, 40, 215–226.Google Scholar
  22. Sokołowska, E. (2009). Pochodne instrumenty pogodowe w zarządzaniu ryzykiem. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, Zarządzanie finansami firm: teoria i praktyka, (48), 736–743.Google Scholar
  23. Sokołowska, E. (2009c). Managed futures jako inwestycja alternatywna. Acta Universitatis Nicolai Copernici Ekonomia, 40, 215–226.Google Scholar
  24. Spierdijk, L., & Umar, Z. (2013, April 25). Are commodity futures a good hedge against inflation? (Netspar Discussion Paper No. 11/2010-078). Available at SSRN: ttp:// Scholar
  25. Stefanini, F. (2006). Investment strategies of hedge funds. London: Wiley.Google Scholar
  26. Wiśniewska, E. (2007). Giełdowe instrumenty pochodne. Warszawa: CeDeWu.Google Scholar

Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  • Ewelina Sokołowska
    • 1
  1. 1.Department of Corporate Finance Faculty of ManagementUniversity of GdanskSopotPoland

Personalised recommendations