White-paper: Futures returns and P&L
Exchange-listed futures are increasingly used in active strategies; they offer leverage, efficient access to illiquid physical markets, and risk management tools. In this paper, we illustrate the issues and procedure related to incorporating futures in our strategy (e.g. Contract specifications, Margin requirement, contract size, leverage, mark-to-market (MTM) etc.). We define returns on margin and closely examine the P&L draw throughout the day.
The white-paper and the supporting financial model are available on our website to all of our registered users.