Managed Futures Carry Paper
Daily Data

This data set provides daily returns for the meta-ensemble carry strategy discussed in the paper “Managed Futures Carry – A Practitioner’s Guide”. The meta-ensemble combines optimized carry and carry z-score strategies across a diverse set of liquid futures markets including currencies, commodities, bonds, and equity indices. The data covers the period from March 7, 1990 through December 29, 2023.

We provide both gross and net daily returns. Gross returns are hypothetical and do not include trading costs. Net returns are also hypothetical but include estimates for trading slippage and commissions. Trade netting and weight smoothing techniques are employed to reduce turnover and mitigate transaction costs as described in the paper.

The underlying futures price data spans major markets such as the Australian Dollar, Canadian Dollar, British Pound, Euro, Japanese Yen, Crude Oil, Brent Crude Oil, Heating Oil, Natural Gas, Gasoil, RBOB Gasoline, Gold, Silver, Copper, 10-Year Treasury Note, U.K. Gilt, German Bund, E-Mini S&P 500, E-Mini Nasdaq 100, Nikkei 225, S&P/TSX 60, German DAX, Euro Stoxx 50, and FTSE 100. The focus is on highly liquid, scalable futures markets only.

Carry is estimated in a manner tailored to each asset class, utilizing information from the futures term structure, cash bond yields, and spot/forward prices as appropriate. Portfolios are constructed using a combination of simple and optimized methods to balance expected carry with risk and correlation estimates. Positions are sized to target ex ante 10% annualized volatility and reconstituted daily to maintain the desired carry exposure.

This data enables further research into the properties and potential diversification benefits of futures carry strategies. However, given the hypothetical nature of the results, past performance is not necessarily indicative of future returns. Potential investors should carefully examine the assumptions and methodology before considering an investment in these strategies.

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For a deeper dive into the mechanics and implications of Futures Yield (Carry) across different asset classes, refer to the foundational paper
Managed Futures Carry: A Practitioner’s Guide