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sabre

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tT
发表于 2011-7-11 19:39 | 只看该作者

Past returns are a poor predictor of future returns....

future, returns, referring
...but not for a certain asset. Anybody know the asset I am referring to?
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lcw77

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2#
发表于 2011-7-11 19:39 | 只看该作者
Cook. You da man! Managed Futures it is.

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NakedPuts2011

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3#
发表于 2011-7-11 19:39 | 只看该作者
wow good one cook, thanks to Soddy for sharing

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infinitybenzo

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4#
发表于 2011-7-11 19:39 | 只看该作者
whats the reasoning behind this?

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Windjammer

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5#
发表于 2011-7-11 19:39 | 只看该作者
sk22 Wrote:
-------------------------------------------------------
> whats the reasoning behind this?

Research shows the relative risk of a CTA as measured by beta versus an index of CTAs is a good predictor of future relative returns.

Page 101 vol 5

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Analyze_This

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6#
发表于 2011-7-11 19:39 | 只看该作者
soddy1979 Wrote:
-------------------------------------------------------
> sk22 Wrote:
> --------------------------------------------------
> -----
> > whats the reasoning behind this?
>
> Research shows the relative risk of a CTA as
> measured by beta versus an index of CTAs is a good
> predictor of future relative returns.
>
> Page 101 vol 5

cheers.
That sucks tho - i hate questions based on research etc - no room for logic

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Windjam

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7#
发表于 2011-7-11 19:39 | 只看该作者
Managed futures tend to trend, that is why most of them use systematic rules for trading. Problem is the trend can reverse at anytime and this reversal can catch anyone unawares. See what silver has done to many managers in the past few weeks...

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