Could you explain why using managed futures is more beneficial to us than using an unleveraged exchange-listed commodity index fund?
the index fund only earns the risk-free rate minus costs in the long term.
One of the reasons is listed. I am wondering why would the index fund only earns the risk free rate? Shouldn’t the commodity has returns higher than the risk free rate?
Thanks!
Yu Du is that you?
No. I am a different person.
Bump!
That doesn’t appear accurate.
From the CFAI book:
Derivative markets are zero-sum games. As a result, the long-term return to a passively managed, unlevered futures position should be the risk-free return on invested capital less management fees and transaction costs. For derivative-based investment strategies like managed futures to produce excess returns, on average, there must be a sufficient number of hedgers or other users of the markets who systematically earn less than the risk-free rate.