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What Can Managed Futures Do That Bonds Cannot?

  • Jonathan Poyer
  • Feb 28, 2023
  • 1 min read


Following a (long but) cool whitepaper our friends at Mt. Lucas authored about managed futures and how to use them in a portfolio (AlphaCentric White Paper: Dirty Portfolios, Managed Futures as a Portfolio Element (alphacentricfunds.com) we wanted to take a little bit deeper look at just a few items regarding managed futures and their employ in a portfolio.


Here is a chart from our friends at Goldman:



Some points:

  • Check out the correlation of managed futures and the stock market. They are uncorrelated and, in stock/bond drawdowns, are often negatively correlated

  • It is rare for managed futures to be down when 60/40 is down

  • Managed futures tends to do well in inflationary periods

Thus, perhaps a great way to diversity and especially to "balance" the risks while investing might be to include managed futures in a portfolio.

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