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Peering Around Corners: How to Replicate Trend Following Managed Futures investresolve.com/peering-aro...
In this episode, Adam, Rod and Mike review a new whitepaper called Peering Around Corners: How to Replicate Trend Following Managed Futures. They cover the motivation, methods, analysis and conclusions including:
• why managed futures produce strong returns
• the role of managed futures in a stock / bond portfolio
• why every strategy is vulnerable to lost decades, and the role of diversification
• why investors probably shouldn’t be worried about flows to managed futures
• why replication does not negate the presence of manager alpha
• how replication is related to returns based style analysis
• how other authors replicated Buffet’s alpha and how it relates
• why one might want to replicate a managed futures index
• choice of simple vs complex replication methods
• top down replication methods - pros and cons
• bottom up replication methods - pros and cons
• why top down and bottom up replication complement each other’s strengths and weaknesses
• how well a combination of top down and bottom up replicates the trend following index
• why investors might expect to achieve fee alpha from managed futures replication
• and much more…
This discussion of a new whitepaper should help investors understand how replication strategies work and the role that a managed futures replication strategy might play in portfolios.
This is “ReSolve’s Riffs” - live on KZfaq every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global* and Richard Laterman of ReSolve Asset Management Inc.
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*ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association ("NFA"). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.