(Harvest) Another simple test to determine whether managed futures returns will do better than average is through looking at economic growth. Now, we know that bonds and other defensive assets like managed futures will do better in “bad times” such as a recession, but there just are not many recessions. The cost of being defensive can be very high if you have to pay for downside protection through either explicit insurance or through holding assets that have a lower expected return…
Declining Economic Growth and Managed Futures Strategy Returns
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