Some Thoughts on the Sources of Return to Managed Futures

Topics:
Investment and Capital Markets
Tags:
Capital,
Management,
Return,
Strategy
Source:
Clark University

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Overview: This article offers a method of identifying which futures markets should be most likely to offer positive returns to speculative capital. This article also offers an intuitive explanation for several stylized facts about managed futures. Those historical returns have, on average, exceeded the cost of capital for a long enough period of time to make it difficult to argue that a natural source of return does not exist. That the bulk of profitable strategies over time have been trend-following, as opposed to responsive or discretionary.

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Format: PDF | Size: 40KB | Date: Jul 2005 | Pages: 14

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