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An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures

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  • Gert Elaut
  • Péter Erdős
  • John Sjödin

Abstract

We investigate the implications of low but persistent serial correlation in Managed Futures' returns for portfolio management. Using a measure based on the unweighted sum of autocorrelations, we find that more positively autocorrelated Managed Futures exhibit distinctly different risk‐return profiles and outperform, on a risk‐adjusted basis, Managed Futures that exhibit lower degrees of serial correlation. The observed premium is unlikely to be explained by a concentration in certain strategies, fund size and age, attrition or delisting bias, and does not seem to hamper Managed Futures' portfolio benefits as a tail‐risk hedge. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:992–1013, 2016

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  • Gert Elaut & Péter Erdős & John Sjödin, 2016. "An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(10), pages 992-1013, October.
    • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:10:p:992-1013
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    Cited by:

    1. Tim Leung & Raphael Yan, 2019. "A stochastic control approach to managed futures portfolios," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-22, March.

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