PT - JOURNAL ARTICLE AU - Thomas Schneeweis AU - Richard B Spurgin AU - Bhaswar Gupta TI - Timely Execution AID - 10.3905/jot.2006.644090 DP - 2006 Jun 30 TA - The Journal of Trading PG - 73--81 VI - 1 IP - 3 4099 - https://pm-research.com/content/1/3/73.short 4100 - https://pm-research.com/content/1/3/73.full AB - Although there are several passive indexes available that track the CTA markets, little evidence exists on the impact of timeliness of trades and consequent gains and losses. Passive indexes in general follow fixed rules for placing trades and may be heavily susceptible to slippage. However, empirical studies on slippage in futures markets have been scarce. In this article, we will examine the gains and losses from executing trades based on a passive index. The passive index was originally constructed by Spurgin [1999] and was known as the MSFB (Managed Futures Securities Based) indices. The results show that active management does help stem the losses that can be caused by slippage in a passive index. When the trades were examined by contract the passive indices were able to outperform a long only index in at least four of the ten worst days. Future research can focus on not only physicals futures but also currency, interest rate and equity futures. Given that research in this area is scarce, this research would be highly beneficial to investors and managers alike.TOPICS: Mutual funds/passive investing/indexing, futures and forward contracts