标题: Past returns are a poor predictor of future returns.... [打印本页] 作者: sabre 时间: 2011-7-11 19:39 标题: Past returns are a poor predictor of future returns....
...but not for a certain asset. Anybody know the asset I am referring to?作者: lcw77 时间: 2011-7-11 19:39
Cook. You da man! Managed Futures it is.作者: NakedPuts2011 时间: 2011-7-11 19:39
wow good one cook, thanks to Soddy for sharing作者: infinitybenzo 时间: 2011-7-11 19:39
whats the reasoning behind this?作者: Windjammer 时间: 2011-7-11 19:39
sk22 Wrote:
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> 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.
soddy1979 Wrote:
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> 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 作者: Windjam 时间: 2011-7-11 19:39
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...
