Abstract
Analysis of a type of investments called managed futures should begin with introduction of the derivatives to the subject of the matter, particularly of the futures contracts, which constitute a direct object of this type of investments. Derivatives are the futures market’s tools, the value of which depends on the value of the so-called primary instrument constituting the base of a futures transaction. These innovative instruments of the financial market can be used both for hedging, arbitrage as well as for speculation that allows profiting on the changes in the basic instrument’s price.
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Notes
- 1.
Section 1a(5) CEA contains the definition of a CPO; Section 1a(6)(A) contains the definition of a CTA. An ‘advisor’ in hedge funds does not fall under those descriptions, provided that he/she invests in swaps and in forward contracts of synthetic futures contracts only.
- 2.
See: Section 4m(1) of the CEA. A person generally registers with the CFTC as a CPO or a CTA by filing a completed Form 7-R and certain supporting materials with the National Futures Association (NFA), the self-regulatory organization governing the commodities markets. 17 C.F.R. Section 3.10.
- 3.
The following studies should be mentioned: S. Irwin, W. Brorsen, (1985); S. Irwin, D. Landa,(1987); G. R. Jensen, J. M. Mercel (2001); C. M Conover, G. R., Jensen, R. R., Johnson, & J. M. Mercer, (2010).
- 4.
The following studies should be mentioned: B. Bjornson, C. Carter, 1997. G. Jehnsen, R. Johnson, J. Mercel, 2000; Conover, C. M., Jensen, G. R., Johnson, R. R., & Mercer, J. M. (2010).
- 5.
The following studie should be mentioned: Z. Bodie, Spring 1983, Bodie, Z., & Rosansky, V. I. (1980). Spierdijk, L., & Umar, Z. (2013).
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Sokołowska, E. (2016). Managed Futures Investments. In: The Principles of Alternative Investments Management. Springer, Cham. https://doi.org/10.1007/978-3-319-13215-0_5
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