The trick appears to be selecting the optimal value of “m”.
Dr. Herman A. van den Berg
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In other financial markets like equities, bonds, fiat currencies and commodities it does not have a big impact (see for example Hurst et al. “Demystifying Managed Futures” 2013) as long as you stay between 1 month and 1 year. We tested 1 month, 2 months, 3 months, 6 months and 12 months with similar outcomes.

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