CME Group offers a range of research to help institutional investors better understand the benefits of diversifying portfolios with alternative investments. Content is provided by practitioner, academic, and industry participants.
- Why to Avoid Alpha, and How - Part 3 - Transtrend - July 26, 2019
- Why to Avoid Alpha, and How - Part 2 - Transtrend - July 11, 2019
- Why to Avoid Alpha, and How - Part 1 - Transtrend - June 24, 2019
- Alternative Risk Premia in Commodities - Gresham Investment Management - May 01, 2019
- Webinar: Why More Investors Are Putting Money Into Managed Futures - CME Group - June 28, 2018
- In Search of Crisis Alpha - Kathryn Kaminski - August 31, 2016
- Demystifying Managed Futures - AQR Capital Management - July 31, 2016
- Lintner Revisited - Ranjan Bhaduri - August 31, 2015
- CTA Diversification - Efficient Capital Management - August 31, 2015
- Crystallization - Financial Analysts Journal - August 31, 2015
- Decoding the Myths of Managed Futures - Shore Capital Management - April 19, 2015
- Momentum Strategies - J.P. Morgan - April 15, 2015
- An Overview of Managed Futures - Efficient Capital Management - February 28, 2015
- A Comparison of CTA Indexes - Red Rock Capital - February 28, 2015
- Back to the Futures Hedge Fund Journal - Efficient Capital Management - January 31, 2015
- Survival of Commodity Trading Advisors - Imperial College - December 16, 2013
- Managed Futures and Volatility - Kathryn Kaminski - December 16, 2013
- CTAs - Hermes BPK Partners - December 16, 2013
- Systematic Strategies - J.P. Morgan - December 11, 2013
- Prospects for CTAs - Campbell & Company - January 31, 2013
- Revisiting Kat's Managed Futures and Hedge Funds - Red Rock Capital - September 30, 2012
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Performance and Risk
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- Framework for Testing for Anomalies - Efficient Capital Management - August 24, 2016
- Portfolio Management with Drawdown Based Measures - Efficient Capital Management - July 28, 2016
- Simulation Based Methodology for Evaluating HF Investments - Efficient Capital Management - July 28, 2016
- Simulation Based Framework for Hedge Fund Evaluations - Efficient Capital Management - July 28, 2016
- Performance and the Potential of Managed Futures - Loughborough University Business School - July 28, 2016
- Risk-Taking - Efficient Capital Management - July 28, 2016
- Sortino: A "Sharper" Ratio - Red Rock Capital - July 28, 2016
- Black Litterman Exotic Beta Risk Parity Manuscript - Efficient Capital Management - February 28, 2016
- Quantifying CTA Risk Management - Campbell and Company - July 28, 2015
- Backtesting - Campbell Harvey - July 28, 2015
- Time Series and Cross Sectional Momentum Profitability - Man AHL - July 28, 2015
- Return Dispersion Counterintuitive Correlation - Campbell and Company - February 28, 2015
- Deconstructing Futures Returns - Campbell and Company - February 28, 2014
- It is the Autocorrelation - Newedge - November 14, 2012
- Tales for the Downside - Hewitt Ennis Knupp - June 30, 2012
- The Backfill Effect - Newedge - January 24, 2011
- Risk-Management - Ranjan Bhaduri - December 31, 2005
- Skewing Your Diversification - Shore Capital Management - August 01, 2005
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Factors
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- Correction or Crisis? - AlphaSimplex - March 01, 2018
- Managed Futures as a Crisis Risk Offset Strategy - Morgan Stanley - September 05, 2017
- Demystifying Time-Series Momentum Strategies - Imperial College - May 08, 2017
- Don’t Mistake Style for Skill - Steben & Company - January 25, 2017
- An Introduction to Global Carry - Campbell and Company - January 31, 2016
- Big Data and Investment Management - Citi Prime Finance - December 31, 2015
- Is Momentum Behavioural? - AHL - April 15, 2015
- Dissecting Investment Strategies - Man AHL - April 15, 2015
- Facts About Factors - MIT Sloan School of Management - April 06, 2015
- The Value of Liquidity - Ranjan Bhaduri - December 16, 2013
- Improving Time-Series Momentum Strategies - Imperial College - July 30, 2013
- Emotional Investing and Performance Cycles - Attain Capital Management - February 13, 2013
- Momentum Strategies in Futures Markets - Imperial College - January 05, 2013
- The Value of Liquidity and Option - Ranjan Bhaduri - September 30, 2009
- Liquidity Buckets, Liquidity Indices, Liquidity Duration - Ranjan Bhaduri - January 31, 2008
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Portfolio Construction
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- Systematic Macro: What, How and Why Should I Care? - Welton Investment Partners - May 04, 2020
- Unfortunately, my CTA was diversified! - Keyquant - April 06, 2020
- Assessing HF Performance - Efficient Capital Management - January 31, 2015
- Why Am I Diversifying, Again? - Attain Capital Management - April 02, 2013
- Allocating to Managed Futures - Ramius Trading Strategies - January 30, 2013
- Understanding the Managed Futures Strategy - Commonfund Hedge Fund Strategies - March 31, 2012
- Managed Futures & Pension Funds - Newedge - November 30, 2011
- The Experience of Uncorrelated Assets - Newedge - January 10, 2011
- Portfolio Construction Technique - Ranjan Bhaduri - December 31, 2010
- Managed Futures and Asset Allocation - Ibboton Associates - February 28, 2005
- Managed Futures and Hedge Funds - Cass Business School - November 01, 2002
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Market Review
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- Alternative Risk Premia in Commodities - Gresham Investment Management - May 01, 2019
- Are commodities still a valid inflation hedge in this low price environment - Auspice Capital - August 23, 2016
- BCM Commodity Factor Model - Efficient Capital Management - February 22, 2016
- Performance and Persistence in Commodity Funds - Efficient Capital Management - August 26, 2015
- Going Up? Where to Find Returns if Rates Begin to Rise - Welton Investment Corporation - April 28, 2015
- Commodity Long-Short Investing - Red Rock Capital - January 15, 2015
- Managed Futures The Next Five Years - Campbell and Company - July 31, 2014
- When Bonds Fall - Welton Investment Corporation - December 31, 2012
- The Market Environment for Trend Following - Abbey Capital - October 10, 2019
- Trend's not dead (It's just moved to a trendier neighborhood) - Gresham Investment Management - July 22, 2019
- The Speed of Trend-Following - Graham Capital Management - March 30, 2018
- The Trendiness of Markets - Graham Capital Management - August 15, 2017
- Trend Following & Rising Rates - AQR Capital Management - May 31, 2015
- When Do Trend Followers Make Money? - Ellington Quantitative Strategies - March 31, 2013
- Trend Following - Riding the Kurtosis - Transtrend - January 31, 2013
- Is Trend Following Dead? - Attain Capital Management - November 06, 2012
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