Framework for Testing for Anomalies in Hedge Fund Returns
This paper introduces a new series of tests for anomalies in hedge funds that takes into account real-world investment practices. Qualities such as performance reporting delay, fund selection standards, and realistic fund limits serve as constraints in these new tests, which determine momentum in hedge fund performance in the Managed Futures industry.
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All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
