THEORETICAL AND EMPIRICAL INVESTIGATION OF MANAGED FUTURES

管理期货是指在商品和金融市场上对衍生工具（期货、远期合约和期权）进行专业管理的投资。管理期货的投资是通过商品交易顾问、私人商品池和公共商品基金来完成的。这种新兴资产类别是一种好的投资吗？为了解决这个问题，研究人员研究了以下几个投资绩效的主要问题。(1)管理期货的风险收益特征(2)作为独立投资的表现(3)对投资组合多样化的有效性(4)将管理期货纳入传统资产组合后和之前夏普比率的提高。表现较差的研究和表现较好的研究之间的差异在于使用的方法，选择的时间段以及管理期货分析的类别-商品交易顾问（CTA），私人商品池和公共商品基金。无一例外，所有研究人员都发现，管理期货产品比股票、债券或国库券具有更高的可变性（以方差或标准差衡量）。那么问题就变成了回报是否高到足以证明这种高风险是合理的。如果管理期货的夏普比率高于股票、债券、国库券等传统资产类别的夏普比率，那么作为独立投资的管理期货是一种很好的投资工具。样本管理期货的等权重投资组合优于随机选择的管理期货，但除了少数例外情况外，没有优于股票或债券。根据马科维茨的投资组合选择理论，在与传统资产类别没有相关性或相关性较小的情况下，管理期货投资可以提高投资组合的绩效。事实上，在股票和/或债券投资组合中纳入cta和私人池会使有效边界向上和/或向左移动，并提高夏普比率，但公共未来基金却没有。少

Managed futures refers to professionally managed investments in derivative instruments (futures, forward contracts, and options) in the commodity and financial markets. Investments in managed futures are accomplished through commodity trading advisors, private commodity pools, and public commodity funds.Is this emerging asset class a good investment? In order to solve this question, researchers address the following main issues of investment performance.(1) risk-return characteristics of managed futures(2) performance as a stand-alone investment(3) the effectiveness in portfolio diversification(4) the improvement of Sharpe ratio after and before inclusion of managed futures in traditional asset portfolioThe answer to these questions is mixed. The difference between the studies which found inferior performance and the studies which found favorable performance comes from the methodology used, the time period selected, and the category of managed futures analyzed-commodity trading advisor … More s (CTA), private commodity pools, and public commodity funds.Without exception, all researchers found managed futures products to have higher variability (as measured by variance or standard deviation) than stock, bonds or T-bills. The question then becomes whether returns were high enough to justify this high risk. If Sharpe ratio of managed futures is higher than that of traditional asset class such as stock, bond and T-bills, managed futures as a stand-alone investment is a good investment vehicle.The equally weighted portfolio of sample managed futures outperformed the randomly selected managed futures, but did not outperform stock or bond with a few exceptions.According to Markowitz's theory of portfolio selection, a managed futures investment can enhance portfolio performance if there is no, or small correlation with traditional asset class. In fact, the inclusion of CTAs and Private pools in stock and/or bond portfolio shifts the efficient frontier upward and/or to the left, and improves Sharpe ratio, but public future funds do not. Less