Managed futures account
Managed futures are a specialized hedge fund asset class, which is characterized by a systematic quantitative trading approaches with almost exclusively exchange-traded derivatives such as futures and options. These are so-called managed futures managers, traditionally among the American Occupation Commodity Trading Advisors ( CTA ) is known, managed in so-called managed accounts. Since futures and options both either bought or can be sold to managed futures strategies of both rising and falling prices benefit.
Managed futures managers are not subject to tight restrictions on the choice of trading strategies, geographic markets and the financial instruments used and are usually highly diversified. Thus, the entire spectrum of pure futures or option programs reaches over mixed strategies to managed futures managers who act in forex spot markets, for example. But the choice of financial product generates a different risk-return profile, so that the mixture of different managed futures manager generates diversification effects in the investment portfolio. While a single strategy can be very risky, comparable to a single share, spread over a variety Manager generates a moderate risk profile.
Managed futures are divided into five sub-strategies: Long -term trend following, short-term trend following, global macro, Descritionary Trading and FX Trading. Both the individual managers in the sub-strategies as well as the sub-strategies differ from each other by the way, as the buy and sell signals, as well as the time horizon over which the positions are held. In addition to purely discretionary decisions have complex computer-based or statistical models are used to exploit inefficiencies in the market profitably. Generate computer trading systems trading decisions to buy or sell, then created based on these rules and patterns from the price movements in the market. This systematic process allows one hand, strictly disciplined trading decisions without the influence of emotions on the other hand a strategy that actively responds to price movements. The management performance is usually paid as a " 2/20 ", with 2 % being based on an annual fixed fee on the total amount and 20 % will be paid to the performance provided.
History
The first managed futures fund was established by the American commodity futures trader Richard Davoud Donchian 1949. Originally, he acquired his knowledge in the securities business, but excited by the stock market crash in 1929, he specialized in technical analysis, ie the identification of trends in the markets. Its rule-based trading approach allowed for the first time the systematic investment in commodities through futures contracts, such as futures and options.
1965 offered Dunn and Hargitt then the first computer-based trading model, which was implemented on the accounts of investors through a proxy manager. This was the extent revolutionary because unlike a fund, not a capital transfer from the investor was to managed futures managers, but only a limited trading authorization has been issued for the account of the investor. The investor could thus view each trade movement on the bank statement and was protected from misappropriation of his funds because payments were not allowed. The " Managed Account " was born.
Experienced a boom in the industry since the 1970s, and increasingly, financial contracts are available through the exchanges, in addition to commodity contracts on interest rates, currencies and equity indices and thus virtually any financial market can be traded in the form of futures and options. The first managed futures managers applied fairly to simple, classic technical trading patterns, such as shoulder -head-shoulder, support and resistance and outbreak. In the 80s, named after turtles in Singapore Turtles were known. Richard Dennis and William Eckhard, two American commodity traders conducted seminars in which they taught successful action by the Turtle Trader method.
End of the 80 began the era of the computer, which was used for the analysis of historical market prices, and then to generate trading signals by algorithms. With new analysis software, a number of technical indicators have been developed in the 90s and made it accessible to many people ( Momentum, exponential moving average, MACD, etc.). The technical development also enabled the processing of many data in a short time, so that the markets to which the generated trading signals have been applied increased. Diversification Markowitz is not only in a portfolio of different managed futures managers possible, but is already taking place in the strategies of individual managed futures managers. Since the millennium, scientists from various disciplines give systematic managed futures strategies their attention. Knowledge about the psychology of the markets, neural networks and self-learning algorithms found its way into commercial systems, contributing to the continued success and a high level of development of managed futures strategies.
The world in managed futures assets under management of approximately $ 5 billion in the end of the 80s has grown to the end of 2009 to approximately $ 220 billion.
Pros and Cons of Managed Futures
In market phases, which show particularly clearly pronounced long trends that computerized managed futures trading systems in the long-term trend followers work well. In times when the market moves unclear for no apparent trend sideways, encounter this managed futures strategies to their limits. However, these are the times in which the short-term trend followers produce good results. In managed futures of A (as Australian dollars) will be invested to Z ( such as sugar ), so managed futures can be considered as broadly diversified. In addition to the classic Aktienporfolio managed futures can serve to diversify .. The strict U.S. regulation can be seen as an advantage of the U.S. licensed managed futures program can be seen. By binding and partly free Abitration and mediation programs investors can get quite secure judgments in disputes and researching background information on approved managed futures managers.