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Add Managed Futures Fund Index to SACEMS?

September 28, 2022 • Posted in Strategic Allocation

Referencing Eurekahedge CTA/Managed Futures Hedge Fund Index (Eurekahedge) used as a benchmark in “Are Managed Futures ETFs Working?”, a subscriber asked about adding a managed futures fund index to the Simple Asset Class ETF Momentum Strategy (SACEMS) asset universe. To investigate, we apply the methodology of  “SACEMS Portfolio-Asset Addition Testing” by adding either Eurekahedge or the SG Trend Index (SG Trend) to the base set of nine assets. We consider effects on Top 1, equal-weighted top two (EW Top 3) and EW Top 3 SACEMS portfolios. We focus on gross compound annual growth rate (CAGR) and gross maximum drawdown (MaxDD) as key performance statistics. Using monthly total returns for the base set of assets and the two managed futures fund indexes during February 2006 through August 2022, we find that: (more…)

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