Mt. Lucas Index

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budonk
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Mt. Lucas Index

Post by budonk » 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.

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