Managed Futures and Market Stress

Insight on crisis alpha, strong returns from trend-following strategies, and trends to watch in the second half of 2022.

Managed futures trend-following strategies were one of the few investment bright spots in the first half of 2022. In a challenging period for both stock and bond returns, trend-following demonstrated its potential to generate crisis alpha – capitalizing on opportunities created by market stress and dislocation.

In this video, Katy Kaminski, Chief Research Strategist and Portfolio Manager at AlphaSimplex, describes the investment environment from the vantage point of a quantitative managed futures strategy:
  • Managed futures have a low correlation to stocks and bonds, which was beneficial in the first half of 2022.
  • Rising rates and inflation have been two of this year’s most dominant macroeconomic themes – and may be indicators of a new macro regime.
  • We’re seeing increased volatility across multiple asset classes, but also increased correlations.
  • Managed futures strategies have the ability to benefit from ongoing macro uncertainty
All investing involves risk, including the risk of loss. Investment risk exists with equity, fixed income, and alternative investments. Alternative investments involve unique risks that may be different from those associated with traditional investments, including illiquidity and the potential for amplified losses or gains. Past performance is not necessarily indicative of future results. Diversification does not guarantee a profit or protect against a loss.

This material is provided for informational purposes only and should not be construed as investment advice. The analysis and opinion expressed represent the views of Kathryn Kaminski as of July 2022, and may change based on market and other conditions. There can be no assurance that developments will transpire as forecasted, and actual results may vary.