March managed futures underperforms versus traditional assets

We have seen this story before. A reversal of negative fortunes for equities, a loss of momentum with global trends, and asset protection through monetary policy liquidity all lead to under-performance of managed futures. While managed futures has still be a highlight for hedge fund strategies in the first quarter of 2016, March was not kind to the strategy. The differential between managed futures and equities was close to 10%. The CTA index also underperformed relative to bonds and commodities.

The first quarter still saw managed futures lead returns relative to equities, commodities, and diversified bods. Managed futures under-performed relative to the long bond which had good performance over the first two months of the quarter. 

An ongoing issue for any strategy investor is determining when to invest. After the first two months of strong performance, the potential for a profit giveback from trend-followers was enhanced although there is little evidence to support an allocation timing mechanism.

Strategy entry and exit points is an important topic of ongoing research which could be very fruitful. Unfortunately, investor do not buy strategy indices but managers, so a timing allocation prices has to be focused on managers. There is tendency for mean-reversion with strategy performance but the form has been highly variable.