I’m skeptical that managed futures will continue to do as well as backtesting suggests.
Me too, I did adjust the return estimate way down from the backtest I quoted, but I can see an argument that managed futures will provide zero excess return in the future.
Regarding momentum, see AQR’s Fact, Fiction and Momentum Investing—specifically, “Myth No. 4: Momentum Does Not Survive, Or Is Seriously Limited By, Trading Costs.”
Thanks for the comments, Peter!
Me too, I did adjust the return estimate way down from the backtest I quoted, but I can see an argument that managed futures will provide zero excess return in the future.
Regarding momentum, see AQR’s Fact, Fiction and Momentum Investing—specifically, “Myth No. 4: Momentum Does Not Survive, Or Is Seriously Limited By, Trading Costs.”