ÿþ<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"> <html> <head> <title>AQR Capital</title> <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1"> <META NAME="TITLE" CONTENT="AQR Capital"> <META NAME="AUTHOR" CONTENT="XCELLENCEIT"> <META NAME="COPYRIGHT" CONTENT="XCELLENCEIT"> <META NAME="KEYWORDS" CONTENT="AQR, CAPITAL"> <META NAME="DESCRIPTION" CONTENT="AQR, CAPITAL, NEWS, INFO"> <META NAME="GENERATOR" CONTENT="crimson"> <META NAME="ROBOTS" CONTENT="index"> <link href="layout/css/default.css" rel="stylesheet" type="text/css"> </head> <body bgcolor="#DCDFE6"> <table width="100%" height="100%" border="0" cellspacing="0" cellpadding="0"> <tr> <td align="center" valign="middle"> <table border="0" cellspacing="0" cellpadding="0" height="100%"> <tr> <td align="right" valign="bottom"><img src="layout/bara_sus1.jpg" width="7" height="7"></td> <td class="top">&nbsp; </td> <td align="left" valign="bottom"><img src="layout/bara_sus2.jpg" width="7" height="7"></td> </tr> <tr> <td width="12" class="left" rowspan="4">&nbsp; </td> <td width="776" height="107" background="layout/en/header1.gif">&nbsp; </td> <td width="13" class="right" rowspan="4">&nbsp; </td> </tr> <tr> </tr> <tr> <td width="776" height="100%"><table border="0" cellspacing="0" cellpadding="0" height="100%"> <tr height="5" bgcolor="#d7def1"><td colspan="3">&nbsp; </td> </tr> <tr> <td align="center" colspan="2"> <img src="layout/en/rb_15iun_04.jpg" border="0" width="776" height="64" alt="research"> </td> </tr> <tr> <!-- the following bgcolor is the left menu column original color was #f0f0f0 !--> <td width="220" height="100%" valign="top" bgcolor="#e5e5e5"> <ul style="list-style:none;padding-top:30px"> <li class="space"><a href="home.htm" class="leftmenblu" >HOME</a> </li> <li class="space"><a href="about.htm" class="leftmenblu" >ABOUT AQR</a> </li> <!--<li class="space"><a href="http://www.google.com" class="leftmenred" >Search Google</a></li>--> <li class="space"><a href="principal_bios.htm" class="leftmenblu" >PRINCIPAL BIOS</a> </li> <li class="space"><a href="research.htm" class="leftmenred" >RESEARCH LIBRARY</a> <li class="space"><a href="RecruitingHome.htm" class="leftmenblu" >CAREER OPPORTUNITIES </a> </li> </li> <li class="space"><a href="legal.htm" class="leftmenblu" >LEGAL </a> </li> <li class="space"><a href="contact.aspx" class="leftmenblu" >CONTACT US</a> </li> <li class="space"><a href="directions.htm" class="leftmenblu" >DIRECTIONS</a> </li> </ul></td> <td width="556" height="100%" bgcolor="white" valign="top"> <table cellpading=0 cellspacing=0 border=0><tr><td style="padding:25px;" valign="top"> <span class="titlu_negru"> <font size="3" color="black" type="">Understanding Managed Futures</font> </span> <br /><br /><br /> <!--span class="titlu_albastru">Summary</span><br /><br /--> <span class="scris_gri">  Managed futures is an alternative investment that has historically achieved strong performance in both up and down markets, exhibiting low correlation to traditional investments. It was one of the few investing styles that performed well in 2008 as most traditional and alternative investments suffered. As a consequence, this little understood strategy has attracted much attention. This paper attempts to de-mystify managed futures. We review the economic intuition, describe how to construct a simple version of this strategy, illustrate how this simple version performs in various market environments, and show how managed futures can be used to enhance the risk-return profiles of traditional portfolios.<br /><br /> </span><br /><br /><b><font color="black">For a copy of this paper, please click here: </font><a href="contact.aspx?link_id=17" class="download_link">Understanding Managed Futures</a><br /></b></td></tr></table> </td> </tr> <tr bgcolor="#d7def1" height="15"><td colspan="2">&nbsp; </td></tr></table></td></tr> <tr> <td bgcolor="#b0b3ba" style="padding-top:2px;padding-right:10px;" align="right" valign="top"> <a href="home.htm" class="white">HOME</a><font color="white">|</font> <a href="about.htm" class="white">ABOUT AQR</a><font color="white">|</font> <a href="principal_bios.htm" class="white">PRINCIPAL BIOS</a><font color="white">|</font> <a href="research.htm" class="white">RESEARCH LIBRARY</a><font color="white">|</font> <a href="RecruitingHome.htm" class="white">CAREER OPPORTUNITIES </a><font color="white">|</font> <a href="contact.aspx" class="white">CONTACT US</a><font color="white">|</font> <a href="directions.htm" class="white">DIRECTIONS</a></td> </tr> <tr> <td align="right" valign="top"><img src="layout/bara_sus3.jpg" width="7" height="7"></td> <td align="right" style="padding-right:20px;" class="copyright1">2004 &copy; AQRCapital.com. All Rights Reserved </td> <td align="left" valign="top"><img src="layout/bara_sus4.jpg" width="7" height="7"></td> </tr> </table> </td> </tr> </table> </body> </html>