ReSolve Riffs on How to Replicate Trend Following Managed Futures
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 YouTube 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. *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...