Objective research to aid investing decisions
Menu
Value Allocations for June 2019 (Final)
Cash TLT LQD SPY
Momentum Allocations for June 2019 (Final)
1st ETF 2nd ETF 3rd ETF

Stocks Plus Trend Following Managed Futures?

Posted in Commodity Futures, Equity Premium, Strategic Allocation

A subscriber asked about an annually rebalanced portfolio of 50% stocks and 50% trend following managed futures as recommended in a 2014 Greyserman and Kaminski book [Trend Following with Managed Futures: The Search for Crisis Alpha], suggesting Equinox Campbell Strategy I (EBSIX) as an accessible managed futures fund. To investigate, we consider not only EBSIX (inception March 2013) but also a longer trend following hedge fund index with monthly returns back to December 1999. This alternative "is an equally weighted index of 37 constituent funds...designed to provide a broad measure of the performance of underlying hedge fund managers who invest with a trend following strategy." The correlation of monthly returns between this index and EBSIX during April 2013 through February 2019 is 0.84, indicating strong similarity. We use SPDR S&P 500 (SPY) as a proxy for stocks. Using annual returns for EBSIX during 2014-2018 and for the trend following hedge fund index and SPY during 2000-2018, we find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Research Categories
Recent Research
Popular Posts