An Analysis of the Risk‐Return Characteristics of Serially Correlated Managed Futures
研究了管理期货收益中低但持续的序列相关性对投资组合管理的影响，发现正自相关程度高的管理期货风险调整后表现更优，且这种溢价不能被策略集中、基金规模或存续偏差等因素解释。
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