Which of the following statements regarding the return characteristics of the Mount Lucas Management Index is TRUE?

Distribution Characteristics

and Performance

Mount Lucas

Management Index $($MLMI$)$

Barclay Diversified

Traders Index

Mean

$0\mathrm{.}57\%$

$0\mathrm{.}74\%$

Standard deviation

$1\mathrm{.}74\%$

$3\mathrm{.}53\%$

Sharpe ratio

$0\mathrm{.}10$

$0\mathrm{.}10$

Skewness

$-0\mathrm{.}26$

$0\mathrm{.}35$

Kurtosis

$1\mathrm{.}93$

$0\mathrm{.}11$

The Mount Lucas Management Index:

Question $18$ options:

is positively skewed and has a positive Sharpe ratio; therefore, the managed futures do not add value to the investor

is positively skewed. The higher standard deviation return indicates that the manager did not add value to the investor.

is negatively skewed and has higher kurtosis than the competing index.

has a low value for kurtosis, indicating that the return distribution has thin tails and is not greatly influenced by outliers.