Lintner Revisited: A Quantitative Analysis of Managed ... - CME Group

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CONCLUSION
Managed futures have evolved tremendously since the first
iterations of long-term trend following in the late 1940s. Advances
in technology, computing power, and telecommunications have
opened up heretofore inconceivable possibilities in futures trading,
not only for quantitative or systematic managers, but also for niche
and discretionary experts whose access to critical information has
been facilitated by these developments.
Quantitative scientists and researchers have been able to apply
highly technical and sophisticated methods to the markets for the
first time since the clean, high quality data which they require
has only recently become available at accessible prices. Shortterm
traders are scouring tick databases which took years to
build for persistent statistical aberrations whose exploitation has
been made possible by the meteoric ascent of electronic markets
and decreased transactions costs. Short-term traders are at the
frontiers of interfacing trading with technology. Trend following has
emerged from its naive, primarily rules-based beginnings to a highly
sophisticated group of strategies whose ability to generate robust
returns has been enhanced, while more closely controlling risk and
drawdown. Some trend followers employ armies of scientists and
mathematicians, and have formed alliances with top universities.
If these developments are any indication, the future of managed
futures is bright and incredible opportunities lay ahead for the next
generation of traders and investors alike.
CTAs of all persuasions offer institutional investors virtually
limitless potential sources of uncorrelated returns to enhance the
diversification of portfolios. The fact that managed futures strategies
as a whole have historically performed well in environments that
tend to be difficult for most other investments provides additional
benefits to portfolios.
While it is important to remember that managed futures are not
a portfolio hedge, the mechanics of trend following, short-term
trading, discretionary macro, and statistical pattern recognition
explain their respective intrinsic proclivities for different kinds of
volatile markets. The prolonged dislocation in the global financial
markets of 2007 and 2008 serves as only the latest example in a
canon of many.
While the growth of managed futures has been impressive, it has
paled in comparison with that of other alternative investments
(hedge funds that are non-managed futures, private equity, and real
estate). There are hedge funds on the entire liquidity continuum
between mutual funds and private equity funds, and managed
futures should be regarded as liquid alpha, as opposed to the more
limited characterization of simple trend follower. The space of
managed futures is rich and fertile, with a very broad range of
strategies and styles.
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Past performance is not necessarily indicative of future results.