Demystifying Managed Futures Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies. Demystifying Managed Futures Brian Hurst, Yao Hua Ooi, and Lasse Heje Pedersen* Abstract We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high R-

We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high-R-squares with Managed Futures indices and individual manager returns, including the largest and most AQR Managed Futures Strategy Fund: The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Concentration generally will lead to greater price volatility. Specifically, we find strong positive predictability from a security’s own past returns for a set of 58 diverse futures and forward contracts that include country equity indices, currencies, commodities and sovereign bonds over more than 25 years of data. Learn about AQMIX with our data and independent analysis including NAV, star rating, asset allocation, capital gains, and dividends. Start a 14-day free trial to Morningstar Premium to unlock our Demystifying Managed Futures Journal Article - February 1, 2013 AQR Capital Management, LLC, (“AQR”) provide links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. While the largest Managed Futures managers have realized significant alphas to traditional long-only benchmarks, controlling for time series momentum strategies drives the alphas of most managers to zero. Learn about AQMIX with our data and independent analysis including NAV, star rating, asset allocation, capital gains, and dividends. Start a 14-day free trial to Morningstar Premium to unlock our

Demystifying Managed Futures Brian Hurst, Yao Hua Ooi, and Lasse Heje Pedersen* Abstract We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high R-

Pedersen, 2012, “Demystifying Managed Futures,” working paper,. AQR Capital Management and New York University. Jegadeesh, Narasimhan, and Sheridan  Oct 17, 2018 Trend-following strategies and managed futures funds can improve (Full disclosure: My firm recommends AQR Capital Management's funds  Jun 2, 2018 AQR Managed Futures co-portfolio manager Yao Hua Ooi has wondered about crowding in the asset class, but doesn't see evidence of  Demystifying Managed Futures Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.

Specifically, we find strong positive predictability from a security’s own past returns for a set of 58 diverse futures and forward contracts that include country equity indices, currencies, commodities and sovereign bonds over more than 25 years of data.

Demystifying Managed Futures 31 Jul 2016 By AQR Capital Management Hurst, Ooi, and Pedersen posit that time series momentum strategies effectively explain the returns of Managed Futures funds. Demystifying Managed Futures AQR Capital Management, LLC, (“AQR”) provide links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. Demystifying Managed Futures 43 momentum strategies, we analyze how Managed Futures funds benefit from trends, how they rely on different trend horizons and asset classes, and examine the role of transaction costs and fees within these strategies. Time series momentum is a simple trend-following strategy that goes long a market when We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high-R-squares with Managed Futures indices and individual manager returns, including the largest and most AQR Managed Futures Strategy Fund: The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Concentration generally will lead to greater price volatility.

Specifically, we find strong positive predictability from a security’s own past returns for a set of 58 diverse futures and forward contracts that include country equity indices, currencies, commodities and sovereign bonds over more than 25 years of data.

Demystifying Managed Futures 31 Jul 2016 By AQR Capital Management Hurst, Ooi, and Pedersen posit that time series momentum strategies effectively explain the returns of Managed Futures funds. Demystifying Managed Futures AQR Capital Management, LLC, (“AQR”) provide links to third-party websites only as a convenience, and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. Demystifying Managed Futures 43 momentum strategies, we analyze how Managed Futures funds benefit from trends, how they rely on different trend horizons and asset classes, and examine the role of transaction costs and fees within these strategies. Time series momentum is a simple trend-following strategy that goes long a market when We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high-R-squares with Managed Futures indices and individual manager returns, including the largest and most AQR Managed Futures Strategy Fund: The use of derivatives, forward and futures contracts, and commodities exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund's initial investment as well as increased transaction costs. Concentration generally will lead to greater price volatility. Specifically, we find strong positive predictability from a security’s own past returns for a set of 58 diverse futures and forward contracts that include country equity indices, currencies, commodities and sovereign bonds over more than 25 years of data. Learn about AQMIX with our data and independent analysis including NAV, star rating, asset allocation, capital gains, and dividends. Start a 14-day free trial to Morningstar Premium to unlock our

Managed futures, time series momentum, trends, commodity trading advisor ( CTA), Brian Hurst and Yao Hua Ooi are at AQR Capital Management, LLC.

Managed futures strategies seem to vary, with everyone having a procedure and take on the process, but the core principle of most seems to just be loading on momentum. Usually in commodities, but other asset classes could be fair game too. AQR, which runs a managed futures fund, has a paper on what’s going on: Managed Futures The AQR Investor Guides are designed to help investors develop a clearer understanding of how certain investment strategies work, and how AQR’s distinctive approach to managing them may help investors achieve their long-term investment objectives. The investment objective of the AQR Wholesale Managed Futures Fund (“Fund”) is to seek to produce attractive risk-adjusted returns while targeting a low long term average correlation to traditional markets. The Fund will seek to achieve returns from a managed futures trading strategy in excess

“Managed futures” is an alternative investment that has historically achieved than what is employed by most CTAs and hedge funds, including AQR, and is for illustrative purposes only. we now attempt to demystify the implementation of. Demystifying Managed Futures. 31 Jul 2016; By AQR Capital Management. Hurst , Ooi, and Pedersen posit that time series momentum strategies effectively  Brian Hurst and Yao Hua Ooi are at AQR Capital Management, and Lasse Heje Managed Futures funds from the late 1980s, when fund returns (2012), “ Demystifying Managed Futures,” working paper, AQR Capital Management and New.