according cfai, 1. futures price bears no indication of future market return. 2. relative riskiness (beta) of a CTA portfolio’s past performance is a “good predicator” of future market return. how to reconcile the two?
rand0m Wrote: ------------------------------------------------------- > according cfai, > > 1. futures price bears no indication of future > market return. > 2. relative riskiness (beta) of a CTA portfolio’s > past performance is a “good predicator” of future > market return. > > how to reconcile the two? One doestn have to conflict with the other? #2 just says that historical beta is a good predictor of future market return for futures. #1 First says that F is not an indication for E(S)
wouldn’t the beta be part of price history of F? so, it basically says the price itself has no predicting power but its derivative does…
Can you tell me page # for CTA? i just want to read it?
i dont have books in front of me. i am just going thru my notes. should be somewhere in R34 on managed futures.