Mt. Lucas Index
Posted: Mon Apr 10, 2006 8:43 pm
I enjoy reading AFJ Gardners posts, and I saw that he referenced the Mt Lucas Index. . .
There is a good paper on the composition of trendfollowing returns from the Mt Lucas Index here:
http://www.edhec-risk.com/site_edhecris ... 02-02.1924
most interesting is the contribution of collateral yield to performance(the biggest contributor, with roll yield and returns from trendfollowing smaller portions). i imagine the greatest bull market in bonds the past 20+ years has contributed to the returns of many of these trendfollowers.
There is a good paper on the composition of trendfollowing returns from the Mt Lucas Index here:
http://www.edhec-risk.com/site_edhecris ... 02-02.1924
most interesting is the contribution of collateral yield to performance(the biggest contributor, with roll yield and returns from trendfollowing smaller portions). i imagine the greatest bull market in bonds the past 20+ years has contributed to the returns of many of these trendfollowers.