This account is pending registration confirmation. Please click on the link within the confirmation email previously sent you to complete registration.
Need a new registration confirmation email? Click here
Stocks Under $10 with 50-100% upside potential - 14 days FREE!

Ramius Releases White Paper: Allocating To Managed Futures: Performance Considerations Within The Risk Parity Framework

Ramius LLC (“Ramius”), the global alternative investment management business of Cowen Group, Inc. (“Cowen”) (NASDAQ: COWN), today provided a review of recent managed futures performance, the nature of certain market phenomena impacting trend following strategies, and the role these strategies have within the asset allocation framework. The review was co-authored by Ramius Trading Strategies (RTS) Chief Executive Officer, William (“Bill”) Marr and Director of Investment Research, Alexander Rudin, PhD.

Bill Marr said, “One of the biggest challenges the investment management community faces today is how to allocate capital without having to explicitly predict which assets will outperform others over a given time period. This Ramius white paper illustrates a way to address this issue using the approach known as Risk Parity Based Asset Allocation. Risk parity funds seek to allocate capital primarily focusing on estimated risks of available investment opportunities rather than expected returns. At Ramius, we believe this philosophy allows investors to broaden their investment options, while at the same time maintaining a structurally sound, diversified portfolio.”

The paper revolves around two essential questions:

I. What percentage of the investment portfolio should a given investor allocate to Managed Futures, if any?

II. Do Managed Futures still present a differentiated and valid investment opportunity despite back to back years of disappointing performance?

With regard to the first question, the paper explores a disciplined portfolio construction methodology using a risk parity framework. Emphasizing non-correlation, risk reduction, and monthly rebalancing, the authors examine the efficiency of various portfolios using stocks-bonds-managed futures over the past 15 years.

The paper also discusses the recent performance of managed futures and highlights three main factors negatively impacting the strategy over the recent market cycle. Examined from a historical and macro perspective, the authors argue that these factors are likely temporary and that a consistent allocation to managed futures will likely enhance investor portfolios going forward.

1 of 2

Select the service that is right for you!

COMPARE ALL SERVICES
Action Alerts PLUS
Try it NOW

Jim Cramer and Stephanie Link actively manage a real portfolio and reveal their money management tactics while giving advanced notice before every trade.

Product Features:
  • $2.5+ million portfolio
  • Large-cap and dividend focus
  • Intraday trade alerts from Cramer
  • Weekly roundups
TheStreet Quant Ratings
Try it NOW
Only $49.95/yr

Access the tool that DOMINATES the Russell 2000 and the S&P 500.

Product Features:
  • Buy, hold, or sell recommendations for over 4,300 stocks
  • Unlimited research reports on your favorite stocks
  • A custom stock screener
  • Upgrade/downgrade alerts
Stocks Under $10
Try it NOW

David Peltier, uncovers low dollar stocks with extraordinary upside potential that are flying under Wall Street's radar.

Product Features:
  • Model portfolio
  • Stocks trading below $10
  • Intraday trade alerts
  • Weekly roundups
Dividend Stock Advisor
Try it NOW

Jim Cramer's protege, David Peltier, identifies the best of breed dividend stocks that will pay a reliable AND significant income stream.

Product Features:
  • Diversified model portfolio of dividend stocks
  • Alerts when market news affect the portfolio
  • Bi-weekly updates with exact steps to take - BUY, HOLD, SELL
Real Money Pro
Try it NOW

All of Real Money, plus 15 more of Wall Street's sharpest minds delivering actionable trading ideas, a comprehensive look at the market, and fundamental and technical analysis.

Product Features:
  • Real Money + Doug Kass Plus 15 more Wall Street Pros
  • Intraday commentary & news
  • Ultra-actionable trading ideas
Options Profits
Try it NOW

Our options trading pros provide daily market commentary and over 100 monthly option trading ideas and strategies to help you become a well-seasoned trader.

Product Features:
  • 100+ monthly options trading ideas
  • Actionable options commentary & news
  • Real-time trading community
  • Options TV
To begin commenting right away, you can log in below using your Disqus, Facebook, Twitter, OpenID or Yahoo login credentials. Alternatively, you can post a comment as a "guest" just by entering an email address. Your use of the commenting tool is subject to multiple terms of service/use and privacy policies - see here for more details.
Submit an article to us!
DOW 16,960.57 -123.23 -0.72%
S&P 500 1,978.34 -9.64 -0.48%
NASDAQ 4,449.5640 -22.5440 -0.50%

Brokerage Partners

Rates from Bankrate.com

  • Mortgage
  • Credit Cards
  • Auto

Free Newsletters from TheStreet

My Subscriptions:

After the Bell

Before the Bell

Booyah! Newsletter

Midday Bell

TheStreet Top 10 Stories

Winners & Losers

Register for Newsletters
Top Rated Stocks Top Rated Funds Top Rated ETFs