Download 10 Reasons to Consider Adding Managed Futures to

3
2.5
2
10
Reasons to Consider
Adding Managed Futures
to your Portfolio
1.5
1
0.5
0
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19 20
Comparison of Performance (01/1980 – 07/2010)
+7,000%
Managed Futures1
$600,680
+6,000%
+5,000%
+4,000%
U.S. Stocks2
$215,843
+3,000%
+2,000%
+1,000%
2010
2009
2008
2007
2006
2003
2004
2001
2002
2000
1998
1999
1997
1995
1996
1994
SC
IT
R
In
de
x
Returns evident in any kind of economic environment.
G
Managed Futures may generate returns in bull and bear markets,
boasting solid long-term track records despite economic
downturns.
S&
P
SC
IW
or
ld
M
DJ
U
BS
0
50
S&
P
H
FR
IE
qu
H
FR
IF
un
(index)
de
x
In
Co
m
de
x
m
od
ge
H
ity
d
W
ei
ed
gh
In
0
P5
ay
Managed Futures are an alternative asset class that has achieved
strong
performance in both up and down markets, exhibiting low
0%
correlation to traditional asset classes, such as stocks, bonds, cash
-10%
and real estate.
Ba
rc
l
MSCI World
(index)
In
2.
Reduce
overall portfolio volatility.
-30%
4.
ity
Diversify beyond the traditional asset classes.
te
d
1.
BT
O
1992
In
In
de
x
S&P 500 Total Return
de
x
de
x
CASAM CISDM CTA Equal Weighted Index
1993
1991
1989
1990
1987
1988
1986
1985
1984
1983
1981
1982
1980
0%
2005
International Stocks3
$74,376
-20%
3.
In general, as one asset class goes up, some other asset class goes
-40%
down. Managed Futures invest across a broad spectrum of asset
-50%with the goal of achieving solid long-term returns.
classes
5.
Strong performance during stock market declines.
Managed Futures may do well in down markets because they
employ short-selling and options strategies that allow them to
profit in such markets.
-60%
Increase returns and reduce volatility.
-70%
Managed
Futures, as well as commodities, when used in
-80%
conjunction
with traditional asset classes, may reduce risk, while
at the same time potentially increasing returns.
Visit www.cmegroup.com/mf for tools and additional resources.
OPTIMUM PORTFOLIO MIX (01/1987 – 02/2008)*
Successful pension plan sponsors use them.
Pension plans have long used Managed Futures to generate
returns in excess of the S&P 500.
12%
11%
RETURN P.A.
6.
7.
Increase returns
10%
Commodity Trade Advisors (CTAs) and Pool
Operators (CPOs) have access to a wide variety
of global futures products that are liquid and
transparent.
9%
8%
50% Bonds
50% Stocks
7%
VOLATILITY
There are more than 150 liquid futures products across the
globe, including stock indexes, fixed income, energies, metals,
and agricultural products.
8.
100% Managed Futures
20% Managed Futures
40% Stocks
40% Bonds
6%
10.
CME Clearing institutes some of the most sophisticated
risk management practices in the financial world. As such,
it has performed flawlessly during times of economic
turbulence. In more than a century, CME Clearing has
never experienced a default.
Overall industry growth has been exceptional.
In the last 30 years, assets under management for the Managed
Futures industry have grown 800 fold (80,000 percent).
9%
10%
11%
12%
*1)Managed Futures: CASAM CISDM CTA Equal Weighted;
2)Stocks: MSCI World;
3)Bonds: JP Morgan Government Bond Global;
Source: Bloomberg
CTA/CPO community is regulated and trades on
regulated futures exchanges.
Risk management and clearing.
8%
Reduce risk
Trading in a regulated marketplace builds the credibility and
trustworthiness of the CTA/CPO community.
9.
7%
Annualized
Returns
Annualized
Std Dev
Sharpe
Ratio
Max
Drawdown
50% S&P 500,
50% Lehman
Gov/Corp
9.68%
7.77%
0.74
-16.07%
40% S&P 500,
40% Lehman
Gov/Corp, 20%
S&P/GSCI
10.26%
7.51%
0.85
-13.91%
40% S&P 500,
40% Lehman
Gov/Corp, 20%
DJ-AIG
9.78%
7.03%
0.84
-11.85%
Commodity Market Indexes:
– S&P-GSCI (Total/Excess/Spot) Return Index is a trademark of Standard and Poor’s.
– Goldman Sachs Commodity Index (GSCI)
–Dow Jones-AIG Commodity Index (DJ-AIGCI)
Visit www.cmegroup.com/mf for tools and additional resources.
CME Group Managed Futures Team
David Lerman
Mark Omens
[email protected]
312 930 8545
[email protected]
312 648 3721
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money
deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to
profit on every trade. All references to options refer to options on futures.
CME Group is a trademark of CME Group Inc. The Globe logo, CME and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. Chicago Board of Trade and CBOT are trademarks of the Board of Trade of the City of
Chicago, Inc. New York Mercantile Exchange and NYMEX are trademarks of New York Mercantile Exchange, Inc. All other trademarks are the property of their respective owners.
S&P 500 is a trademark of The McGraw-Hill Companies, Inc., and have been licensed for use by Chicago Mercantile Exchange Inc.
“S&P GSCI,” “S&P GSCI Index,” “S&P GSCI” (Total/Excess/Spot) Return Index” and the “S&P GS Commodity Index” are trademarks of Standard & Poor’s.
“Dow Jones”, “AIG,” “Dow Jones-AIG Commodity Index” and “ “DJ-AIGCI” are registered trademarks or service marks of Dow Jones & Company, Inc. and American International Group, Inc. (AIG).
The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations,
used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official
CME, CBOT and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Copyright © 2010 CME Group. All rights reserved.
RT177.2/1000/0910