Managed Futures Research

Are Financial Crises Predictable?

Who among us wouldn't want to be the savior that predicts a market crisis and saves our clients from losses in capital -- or even better -- profits from them? A central topic of interest for academics is whether there are more precise tools to predict financial crises. Those who believe so dedicate their efforts to finding early warning indicators.

Pathetic Protection via Protective Puts

Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic [...]

Seven Centuries of Commodity Reversals

Seven Centuries of Commodity Reversals Adam Zaremba, Robert Bianchi, and Matuesz MikutowskiA version of this paper can be found here. What are the research questions? As [...]

Go Skew Yourself with Managed Futures

Skewness is a statistical measure of how returns behave in the tails of a probability distribution. Wikipedia has a more robust definition of skewness with [...]

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