Dynamic duo: Managed futures and hedge funds

摘要

In November 2002, Cass Business School Professor Harry M. Kat, Ph.D., began to circulate a Working Paper titled "Managed Futures and Hedge Funds: A Match Made in Heaven," that later (Q12004) would be published in the Journal of Investment Management. The paper described how adding (equity-based) hedge fund exposure to traditional portfolios of stocks and bonds increased returns and reduced volatility. It also produced an undesired side effect -increased tail risk (lower skew and higher kurtosis).