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- W2035214525 endingPage "67" @default.
- W2035214525 startingPage "45" @default.
- W2035214525 abstract "Active investment strategies at the asset–class level and at the security level have been criticized for being inconsistent with market efficiency. Futures and options–based systematic commodity trading advisor strategies have been further criticized on the basis that they trade in risky markets that do not offer a 9natural9 return. This article surveys some of the substantial and growing academic literature indicating that market inefficiencies may be a real source of returns to systematic commodity trading advisor investment strategies. Specifically, theory and empirical evidence on calendar effects, trends and reversals, and volatility patterns in returns in the stock, bond, and foreign currency cash and futures markets are discussed." @default.
- W2035214525 created "2016-06-24" @default.
- W2035214525 creator A5037618885 @default.
- W2035214525 date "2000-09-30" @default.
- W2035214525 modified "2023-09-26" @default.
- W2035214525 title "Evidence on Risk/Return Patterns in Cash and Futures Markets" @default.
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