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Are Managed Futures Indices Telling Truth? Biases in CTA Databases and Proposals of Potential Enhancements

Author(s): Adam Zaremba

Journal: Contemporary Economics
ISSN 2084-0845

Volume: 4;
Issue: 4;
Start page: 1;
Date: 2010;
Original page

Managed futures are an alternative asset class which has recently became considerably popular among investment industry. However, due to its characteristics, access to managed futures historical performance statistics is relatively confined. All available information originates from commercial and academic databases, reporting to which is entirely voluntary. This situation results in series of biases which distort the managed futures performance in the eyes of investors. The paper consists of two parts. First, the author reviews and describes various biases that influence the reliability of the managed futures indices and databases. The second section encompasses author’s proposals of potential enhancements, which aim to reduce the impact of the biases in order to derive a benchmark that could better reflect characteristics of managed futures investment from the point of view of a potential investor.
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