# Some statistical and computational aspects on managed futures funds

**Tobias Rydén
**

Brummer & Partners

Stockholm

### Abstract:

A managed futures (MF) fund (also called commodity trading advisor, CTA),
is a fund that trades futures contracts.
In this talk I will first give some basic facts about what futures
contracts are, what opportunities that
diversification across assets and risk adjustment over time offers, and how
performance can be measured.
Making predictions of future price movements is extremely difficult, which
I will illustrate, but I will also
illustrate how little more than a 50% chance of a correct prediction that
it needed to achieve good performance.

Traditionally, systematic trading of futures was often done using various
so-called technical indicators. I will
give examples of such, and then proceed to discussing how they can be used,
viewed, and generalized from the perspective
of high-dimensional statistical and machine learning thinking. In addition
I will also talk about principal components,
which is a statistical method that has a stronger motivation from
economics, in the context of MFs.