Demystifying Managed Futures

  • 31 Jul 2016
  • By AQR Capital Management

Hurst, Ooi, and Pedersen posit that time series momentum strategies effectively explain the returns of Managed Futures funds. The study dissects the anatomy of a trend to explain how trends come to exist. Using multiple mathematical models, the study constructs time series momentum strategies for 58 futures to demonstrate the strategy's performance. The study collects the returns and performance of multiple indicies and funds to show how time series momentum can explain the strong performance of Managed Futures. 

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