Determinants of the Return of Managed Futures Funds

Since 20th century , financial liberalization and globalization have been inevitable trends, which aggravate in century. Financial innovation ,such as ETFs, capital protected products, and structured products, makes great progress as time goes by. Among much financial innovation , hedge funds noted for absolute return get rapid growth in the global financial market. However, east Asia financial crisis and LTCM event revealed the notorious power of hedge funds. Much private equity also adopted strategies of hedge funds .Besides, more and more investors have hedge funds in their investment portfolio. We will see the growing influence of hedge funds. One of the best-performed hedge funds is managed futures funds. This thesis tries to find out the determinants of the return of managed futures funds. We adopted AHL fund as the material of the study. The result of the examination shows the volatility of dollar index, CRB index, SP500 index, and gas prices have positive influence on the return of AHL fund. As we consider the effect of Fed monetary policy, no significant relationship is found between the change of Fed fund rate and the return of AHL fund. The change of high-powered money of US dollar has positive influence on the return of AHL fund. Whether the stock market is bull market or bear market doesn’t influence the performance of AHL fund. The result revealed AHL fund is an absolute-return fund , therefore the return of AHL fund doesn’t fluctuate with business cycle. When the volatility of most futures products is very small, AHL fund suffers huge loss, which is seldom worse than 6.25%. According to the model for predicting the direction about the return of AHL, we succeed twice every three times of prediction.