Primary Industry Reports
- Chicago Mercantile Exchange: Managed Futures Portfolio Diversification
Opportunities (2008) One of the industry benchmarks. Must read for new managed futures investors. While quick and graphical the report is nonetheless powerful, summarizing the findings of several lengthy academic reports that preceded it.
- An Institutional Investor's Perspective on Managed Futures
Link to Tom O’Donnell Speech regarding his experience with managed futures as an institutional manager mentioned in Chapter 1.
- Strong FINRA Article on Managing Risk.
Link to FINRA web site as mentioned in Chapter 1. FINRA has strong articles and investor advice on their web site.
- NFA Guide to CTA Disclosure Document Requirements.
Must reading for those interested in the nuts and bolts of becoming a registered CTA. It's about much more than trading...
- NFA Compliance Issues
Look at how this industry is regulated. It is different than hedge fund regulation. When you are on the site, explore their publication library. I believe managed futures should be the industry of investor protections. The NFA isn't perfect, and neither is managed futures. But their accomplishments at reducing fraud and protecting investors -- while not interfering with a trader's ability to trade and generate client performance -- are worth consideration. I believe our industry's investor protection and transparency are very unique and should be a national template for alternative asset regulation.
| Interesting Academic Studies
Author's Education
|
Commodity Reports
| Global Markets Reports and Other Reports
Other Reports
- Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios
- CBOT Managed Futures Report (2003)
- Journal of Wealth Hedge Fund Articles
- Negatively Skewed Trading Strategies
- PFG: Recent Institutional Perspectives
- Risk Metrics: A Subprimer on Risk
- Risk Metrics: Carried Away?
- Theta as an Asset Class
- Wealth in America 2007 Findings from a Survey of Millionaire
Households
- Wealth in America 2008 Findings from a Survey of Millionaire
Households
- Investor's Bookshelf
- CME: Issues and Insights for Starting a CTA Business
- CME: Guide To Becoming A Commodity Trading Advisor
- Facts and Fantasies About Commodity Futures
Gorton, an accomplished academic, makes interesting points, but further consideration might be needed, in particular consideration of the facts outlined in the Erb and Harvy report. When this report was first released it raised several hushed eyebrows in both the futures and options industry and in the academic community on some very different levels, from the logic of certain assumptions to AIG’s involvement.
- The Tactical and Strategic Value of Futures
Erb and Harvey deliver an interesting counter opinion, well researched. I don't have all the answers, but it may be appropriate to question the logic upon which conclusions are drawn. This is a complicated industry with various interpretations -- the risk in volatility being just one such example.
- Fooling Some of the People All of the Time: The Inefficient Performance
and Persistence of Commodity Trading Advisors White paper that reports on issues with CTA data collection methods and raises a few valid issues; however, they may not have had access to certain industry information regarding auditing of CTA performance to the reporting databases. Any academic researcher must clearly understand the difference between a hedge fund and a direct managed futures account when conducting research and stock market indicies, which have their own survivorship bias issues, must not be given undue favor. I could write a 15 page report on just this report.
- Professionally Managed, Publicly Traded Commodity Funds
- Journal of Business
- New Public Offerings, Information, and Investor Rationality: The Case of
Publicly Offered Commodity Funds* - Journal of Business
- The Performance of Publicly Offered Commodity Funds
- Financial Analysts Journal |
CONTENT DISCLOSURE
This web site and related communication substantially represent the opinions of the author and are not reflective of the opinions of any exchange, regulatory body, trading firm or brokerage firm. The opinions of the author may not be appropriate for all investors and there is no warrantee relative to the accuracy or completeness of same.
RISK DISCLOSURE
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
THE RISK OF LOSS IN TRADING COMMODITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. THE HIGH DEGREE OF LEVERAGE THAT IS OFTEN OBTAINABLE IN COMMODITY TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS. YOU COULD LOOSE ALL OF YOUR INVESTMENT OR MORE THAN YOU INITIALLY INVEST. IN SOME CASES, MANAGED COMMODITY ACCOUNTS ARE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT AND ADVISORY FEES. IT MAY BE NECESSARY FOR THOSE ACCOUNTS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS.
THE DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF THE PRINCIPAL RISK FACTORS AND EACH FEE TO BE CHARGED TO YOUR ACCOUNT BY THE COMMODITY TRADING ADVISOR (“CTA”). THE REGULATIONS OF THE COMMODITY FUTURES TRADING COMMISSION (“CFTC”) REQUIRE THAT PROSPECTIVE CUSTOMERS OF A CTA RECEIVE A DISCLOSURE DOCUMENT WHEN THEY ARE SOLICITED TO ENTER INTO AN AGREEMENT WHEREBY THE CTA WILL DIRECT OR GUIDE THE CLIENT’S COMMODITY INTEREST TRADING AND THAT CERTAIN RISK FACTORS BE HIGHLIGHTED. THIS DOCUMENT IS READILY ACCESSIBLE AT THIS SITE. THIS BRIEF STATEMENT CANNOT DISCLOSE ALL OF THE RISKS AND OTHER SIGNIFICANT ASPECTS OF THE COMMODITY MARKETS. THEREFORE, YOU SHOULD PROCEED DIRECTLY TO THE DISCLOSURE DOCUMENT AND STUDY IT CAREFULLY TO DETERMINE WHETHER SUCH TRADING IS APPROPRIATE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION.
YOU ARE ENCOURAGED TO ACCESS THE DISCLOSURE DOCUMENT. YOU WILL NOT INCUR ANY ADDITIONAL CHARGES BY ACCESSING THE DISCLOSURE DOCUMENT. YOU MAY ALSO REQUEST DELIVERY OF A HARD COPY OF THE DISCLOSURE DOCUMENT, WHICH WILL ALSO BE PROVIDED TO YOU AT NO ADDITIONAL COST.
PFG BEST DOES NOT HAVE AN OWNERSHIP STAKE IN ANY OF THE CTAS WE RECOMMEND OR UPON WHICH WE PROVIDE RESEARCH. MUCH OF THE DATA CONTAINED IN THIS REPORT IS TAKEN FROM SOURCES WHICH COULD DEPEND ON THE CTA TO SELF REPORT THEIR INFORMATION AND OR PERFORMANCE. AS SUCH, WHILE THE INFORMATION IN THIS REPORT AND REGARDING ALL CTA COMMUNICATION IS BELIEVED TO BE RELIABLE AND ACCURATE, PFG BEST CAN MAKE NO GUARANTEE RELATIVE TO SAME. THE AUTHOR IS A REGISTERED ASSOCIATED PERSON WITH THE NFA.
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