Episode 157

full
Published on:

15th Mar 2023

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 Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

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About the Podcast

Resolve Riffs Investment Podcast
Welcome to ReSolve Riffs Investment Podcast, hosted by the team at ReSolve Global*, where evidence inspires confidence.
These podcasts will dig deep to uncover investment truths and life hacks you won’t find in the mainstream media, covering topics that appeal to left-brained robots, right-brained poets and everyone in between. In this show we interview deep thinkers in the world of quantitative finance such as Larry Swedroe, Meb Faber and many more, all with the goal of helping you reach excellence. Welcome to the journey.

*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.