Portfolio Investment Opportunities in MANAGED FUTURES -- Contents -- About the Author -- Introduction -- 1 Select Investment Advantages and Potential Risks of Managed Futures -- Historical Background on Futures and Managed Futures -- Distinguishing between Physical Commodities, Futures, and Managed Futures -- Select Advantages of Managed Futures -- Low Correlations with Many Other Asset Classes -- Returns Generation in Varying Financial Conditions -- Favorable Performance during Periods of Financial Market Dislocation -- Exposure to a Broad Spectrum of Assets and Markets -- Disciplined Quantitative Underpinning to Approach -- Asset Class Characteristics -- Diversification -- Access and Exposure -- Protection -- Potential Investment Risks of Managed Futures Funds -- Reduced Liquidity and High Fee Levels -- Suitability -- Capital Drawdowns -- Correlations Patterns -- Possible Misapplication of Trading Disciplines -- Exposure to Systemic Threats -- Placing Managed Futures in an Investment Context -- Essential Differences between Managed Futures and Other Asset Classes -- Select Risk Management Strategies Pursued by Managed Futures Advisers -- Diversification -- Liquidity -- Volatility -- Quantifi cation -- Budgeting -- Leverage -- Modeling -- Special Considerations Associated with Managed Futures Funds -- Tax Reporting -- Liquidity -- Minimum Net Worth and Income Requirements -- Documentation Requirements -- Single-Manager versus Multiple-Manager Risk -- Fees and Expenses Associated with Managed Futures Funds -- Level and Complexity of Fees -- Multiple Fees -- Fees in Relation to Aggregate Positions -- Variations on Fees -- Fee Review -- Investment Approaches of Managed Futures Funds -- Systematic Investment Approach -- Discretionary Investment Approach -- Select Insights into Managed Futures Returns Patterns -- Factors Influencing Capital Drawdowns.

Unusual Price Behavior -- Determinants of the Use of Leverage -- Elements of Success in Managed Futures Trading -- Costs of Stop-Loss Disciplines -- Post-Drawdown Capital Recovery -- Managed Futures Funds Compared with Hedge Funds -- Trend Characteristics and Underlying Drivers of Managed Futures -- Evolution of the Futures Markets -- Actively Traded Futures and Options Contracts in the United States -- 2 Summary of Managed Futures Investment Performance and Correlation -- Select Managed Futures Indices' Performance -- Managed Futures Returns during Financial Market Dislocations -- The Barclay CTA Index and Survivorship Bias -- Patterns of Managed Futures Returns -- The CISDM CTA Equal-Weighted Index -- Analysis of Select Asset Class Returns -- Monthly and Annual Returns Data, 1994-2009 -- Monthly Returns Data, 1994-2009 -- Annual Returns Data, 1994-2009 -- 3 Overview of the Investment Landscape -- Global Futures Exchanges and Clearinghouses -- 4 Glossary of Indexes -- 5 Select Information Sources -- Web Sites -- Books -- Journals/Publications -- Acknowledgments.