White Papers

RCG Managed Futures Offers Educational Managed Futures Resources.


Managed Futures as a Liquid, Transparent Hedge Fund Style

The late Dr. John Lintner (1916 – 1983), a Harvard University Professor, had an illustrious and prolific career, including recognition as one of the co-creators of the Capital Asset Pricing Model (CAPM).

Modern Portfolio Theory was further advanced by the work of professor Dr. John Lintner in his 1983 study, “The Potential Role of Managed Commodities-Financial Futures Accounts in Portfolios of Stocks and Bonds”

Lintner noted, with regard to the portfolios in the study, that the  “…Portfolios … including judicious investments…in leveraged managed futures accounts show substantially less risk at every possible level of expected return than portfolios of stocks (or stocks and bonds) alone.”

In addition, Lintner noted, with regard to the portfolios in the study, that while managed futures may in some instances decrease portfolio risk, managed futures may also simultaneously enhance overall portfolio performance. With regard to the portfolios in the study, Professor John E. Lintner found that including managed futures in the portfolio “reduces volatility while enhancing return”.

The following white paper revisits Lintners theories and also dispels some common myths regarding managed futures.

 

Click here to download “Lintner revisited a quantitative analysis of managed futures in an institutional portfolio”