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Andrew Beer & Adam Butler - Attack of the Managed Futures Clones

Flirting with Models

CHAPTER

Creating a Long-Short Portfolio of Futures Markets

The chapter discusses the mechanics of creating a long-short portfolio of futures markets that closely mimics the returns of the CTA index. It explores the criteria used to select the contracts and the use of regression to minimize differences in returns. The importance of using a sufficient number of markets for diversification is emphasized.

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