Equinox Funds

It is important to understand that not all futures-trading strategies fall under the managed futures umbrella as conventionally defined, and that even some well-known research and ratings agencies have on occasion ended up misclassifying some funds and strategies as managed futures.

The 60% / 40% allocation to stocks and bonds has long been viewed as a useful benchmark for diversification, albeit naïve, by many investors. In our latest insight, we apply historical data and explore the individual impact that nine CTA (managed futures program) allocations could have had on an investor’s portfolio (overall return, volatility, risk, drawdown, and correlation).

The managed futures asset class has acquired a reputation among investors for providing what is known as "crisis alpha" – the ability to generate returns at a time of market crisis. This brief insight reviews the historical performance of equities and managed futures during times of crisis, including the most recent example, December 2015 – January 2016.