William Eckhardt is a very famous futures trader. He, along with Richard Dennis, set up the so-called Turtle Traders. Eckhardt runs the Eckhardt Trading Company, which is a large and long lived Managed Futures fund. The monthly returns for their Standard programme are available on the internet, and I have taken a copy of that data for analysis.

Our regression of the returns of this fund onto the dynamic trading risk factor give an α of 0.88 ± 0.34 %/month, with a p-Value of 1%; and, a β of 0.10 ± 0.17, which is 5.4σ from unity. These estimates seem to present us with the conclusion that Eckhardt is doing something different to the activities of typical hedge funds. Since most futures funds are trend followers, who do not do much in-and-out trading but work on the assumption that commodity prices follow gross macroeconomic trends, it is plausible that the risk factor they are exposed to is different to that of more typical hedge funds.