Forecasts of the managed futures market – an empirical analysis

ABSTRACT

Alternative investments, including managed futures, are primarily intended for institutional investors and for very wealthy individual investors. It therefore seems logical to assume, that the increase of wealth on a global scale can be a factor impacting the value of transactions in individual segments of the alternative-investment market. The purpose of this article is to indicate the factors affecting growth of managed futures transactions. Another research goal is to answer the question: Does the increase of wealth on a global scale affect the value of the managed futures transactions? The article will also present short-term forecasts of the transactions on the managed futures market for the years 2015–2017. The forecasts which will be constructed are meant to present possible scenarios of the market’s further development. Evolution of the alternative investment segment leads to development of those categories, which fulfil the expectations of market participants and meet the requirement and expiration of the remaining investments which do not attract investors and are no longer accepted by them.

KEYWORDS:

• Managed accounts
• CTAs
• portfolio diversification
• global wealth
• econometrics
• empirical research
• forecasts

JEL CLASSIFICATION:

• G11
• C20
• C53
• D14
• D31

Disclosure statement

No potential conflict of interest was reported by the author.

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 these rpovisions, if he/she only invests in swaps, forward contracts or in synthetic futures contracts.

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 NFA, the self-regulatory organization governing the commodities markets. 17 C.F.R. Section 3.10

³ Impact of the other simultaneous and delayed characteristics of the global wealth (bnetad, bglcur) as well as of the size of the debt on the value of the variable CTA was also examined. They turned out statistically insignificant, therefore, they were not considered in the study.