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Futures returns and P&L
| Attachment | Size | |
|---|---|---|
| White-paper | ||
| Excel Workbook |
Abstract
Exchange-listed futures play an important part in many active strategies; they offer leverage, efficient access to illiquid physical markets, and risk management tool. 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.). Finally, we define returns on margin and compute strategy's P&Li and max P&L draw throughout the holding period.
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