A Better Managed Future

The hypothesis and aim of “Managed Futures and the AC-DC Effect or Highway to Prosperity” by Urs Schubiger, Egon Ruetsche and Fabian Dori is to demonstrate that the unambiguous answer is yes! The risk premia of - as well as correlations between - asset classes are time varying, and strategies that dynamically adjust to changing attractiveness and co-movements can harvest positive returns in various market environments.