RT Journal Article SR Electronic T1 Evidence on Risk/Return Patterns in Cash and Futures Markets JF The Journal of Alternative Investments FD Institutional Investor Journals SP 45 OP 67 DO 10.3905/jai.2000.318955 VO 3 IS 2 A1 Kathryn Wilkens YR 2000 UL https://pm-research.com/content/3/2/45.abstract AB Active investment strategies at the asset–class level and at the security level have been criticized for being inconsistent with market efficiency. Futures and options–based systematic commodity trading advisor strategies have been further criticized on the basis that they trade in risky markets that do not offer a 'natural' return. This article surveys some of the substantial and growing academic literature indicating that market inefficiencies may be a real source of returns to systematic commodity trading advisor investment strategies. Specifically, theory and empirical evidence on calendar effects, trends and reversals, and volatility patterns in returns in the stock, bond, and foreign currency cash and futures markets are discussed.