• Choosing a Managed Futures Fund | 361 Capital Blog  

    Choosing a Managed Futures Fund

    July 17, 2019
    Andrea Coleman, CAIA

    If you are invested in managed futures, you know how difficult the past decade has been. Low interest rates, low volatility have led to very muted returns. However, it has not changed the historical profile of the strategy being additive as an uncorrelated component of an investor portfolio. But dispersion in the managed futures category is wide and could have made your experience much more tolerable or exceptionally painful. Here we’ll talk about the category and provide some things to consider as you are choosing a managed futures fund.

  • Trend Following Managed Futures  

    In last week’s blog post, How Strong is Your House? Building Resilient Portfolios, we discussed how important it is to build an all-weather portfolio. Part of building a resilient portfolio is incorporating true diversifiers, such as managed futures, which offer little to no correlation to the broad markets.

  • Managed Futures Disappoints  

    There has been talk about the performance of hedge funds, and in particular CTAs/Managed Futures funds, in February when markets sold off for the first time in recent memory. People seem to be surprised that these strategies posted negative returns in February, while the S&P 500 was down 3.69%. I’d like to address why such a focus and such expectations are unjustified.

  • Trending Following in 2017  

    Many of you know us from our counter-trend models, which can act as a great complement to trend-following models, but this blog will be focused on trend following given the struggles they’ve had recently.

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    We are frequently asked how investors should analyze the performance of managed futures strategies. This is quite challenging due to the diversity of the strategies employed, and the non-constant exposure, both long and short, across one or more asset classes (i.e., stocks, bonds, commodities and currencies). Because of the lack of consistent exposure, a standard benchmark like the S&P 500 Index is sub-optimal, to say the least, but there are ways to suss out a manager’s value add.