摘要：Managed futures are an alternative asset class which has recently becameconsiderably popular among investment industry. However, due to its characteristics, accessto managed futures historical performance statistics is relatively confined. All availableinformation originates from commercial and academic databases, reporting to which isentirely voluntary. This situation results in series of biases which distort the managed futuresperformance in the eyes of investors.The paper consists of two parts. First, the author reviews and describes various biasesthat influence the reliability of the managed futures indices and databases. The secondsection encompasses author’s proposals of potential enhancements, which aim to reducethe impact of the biases in order to derive a benchmark that could better reflectcharacteristics of managed futures investment from the point of view of a potential investor.
