Print

What is the capacity of managed futures? Newedge white paper explores the topic

In a recently released strategy note, Newedge researchers Galen Burghardt and Lianyan Liu teamed with Ewan Kirk of Cantab Capital Partners to consider an often discussed issue: Is there a capacity issue with managed futures.  The research team dives deep into issues of futures market open interest relative to a variety of factors, including its flexibility, distribution over various time horizons, as well as examining liquidity and capacity spill-over effects. 

To view the white paper, click here: Newedge_Snapshot_Capacity_managed_futures_industry

As a sidebar consideration, also recognize that managed futures is actually a small percentage of overall exchange volume.  Assuming the average CTA trades 900 round turns per million in assets managed (1,800 contracts, or sides), the overall volume of the managed futures industry is 595,800,000 contracts (sides) traded over a year.  Consider that depending on the year, the CMEGroup trades nearly 2,890,000,000 contracts and is but one exchange.  The FIA reported that in 2012 there were 21,200,000,000 total futures contracts traded.  

 

 

 

DISCLOSURE: These are the opinions of the author and may not have considered all risk factors. Nothing on this web site should be construed as an individual recommendation, talk to your independent advisor. The author and Opalesque may have relationships with those people they cover in the publication. Mr. Melin provides a full disclosure of his business relationships to regulators and certain eligible participants who engage him in consulting projects. Managed futures investing involves risk and there are no guarantees of safety or future performance being implied. Managed futures can be a risky investment. This web site and its content is subject to the terms of the web site. Risk Disclosure and terms of web site are available here: http://www.uncorrelatedinvestments.com/templates/Disclaimer.html Performance information received on this site is provided by third parties and deemed reliable but there is no guarantee relative to same. Performance reporting sources and quality assurance techniques may include, but are not limited to: disclosure document, CTA self reporting, brokerage firm reporting, consultant reporting, spot checking other reporting databases; nonetheless no guarantee of accuracy or implication performance verification or auditing is being made by the publishers. The CTA Database is a project separately managed from www.uncorrelatedinvestments.com.

Leave a Reply


*