Within the past several decades, the increased growth in global investment markets has fostered the growth in derivatives trading as well as the creation of a variety of derivatives instruments traded on a number of international exchanges.
The managed futures industry has flourished in this environment by investing in global futures and options markets as a means to gain exposure to risk and return patterns not easily accessible through investment in traditional stock and bond portfolios.
In this report Thomas Schneeweis, Professor of Finance at the University of Massachusetts, provides an analysis of the potential benefits to CTAs (Commodity Trading Advisors) of incorporating Eurex futures contracts in their investment strategies over the last ten years.
The report shows that the use of Eurex index futures contracts (DAX and Dow Jones EURO STOXX 50) and/or fixed-income futures contracts (Euro Bund, Euro Bobl, Euro Schatz) would have significantly improved the performance of portfolios employing momentum strategies.
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