Understanding Liquid Alternatives
Managed Futures Strategies
What Is Managed Futures?
Managed Futures strategies, often referred to as trend following, are systematic investment approaches that take long and short positions in highly liquid futures and forward contracts across global asset classes—including equities, fixed income, currencies, and commodities.
These strategies aim to capture price trends in markets by using technical signals, momentum indicators, and quantitative models to identify and ride directional moves. Managed Futures are widely recognized for their diversification benefits, particularly during market stress.
How It Works
Most Managed Futures strategies operate in liquid, exchange-traded instruments, allowing for high transparency and rapid execution.
- Asset Classes: Equity indices, government bonds, interest rates, currencies, commodities.
- Positions: Long and short, based on directional momentum.
- Models: Rules-based systems designed to detect and follow market trends.
Potential Benefits of Managed Futures
- Crisis Alpha: Historically strong performance during global equity market downturns.
- Diversification: Low correlation to traditional stocks and bonds.
- Systematic Discipline: Removes emotional bias from decision-making.
Key Risks
- Trend Reversals: Strategies have the potential to suffer in choppy or range-bound markets.
- Model Risk: Over-optimization or failure to adapt to new regimes.
- Volatility: May exhibit higher short-term volatility despite longer-term diversification benefits.
Managed Futures vs. Global Macro
Both strategies offer global exposure and diversification, but Managed Futures focuses on attempting to capture persistent trends via models, while Global Macro seeks to interpret fundamental changes in economic conditions.
| Feature | Managed Futures | Global Macro |
|---|---|---|
| Investment Style | Systematic | Discretionary or systematic |
| Asset Classes | Futures across all major markets | All liquid global markets |
| Driver of Returns | Trend/momentum signals | Macroeconomic themes |
| Market Sensitivity | Exploits market trends | Responds to fundamental shifts |
Source: AQR. For informational purposes only. The comparisons herein are not exhaustive and do not address all relevant features, risks, or considerations associated with the strategies discussed. Investors should conduct their own due diligence before making any investment decision.
Who Typically Uses Managed Futures?
- Investors seeking non-correlated return streams.
- Portfolios needing tail-risk protection.
- Allocators focused on quantitative diversification strategies.
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DISCLOSURES
Investors should carefully consider the investment objectives, risks, charges and expenses of the Funds before investing. To obtain a prospectus or summary prospectus containing this and other important information, please call 1-866-290-2688 or click here to view or download a prospectus online. Read the prospectus carefully before you invest.
The information contained on this website has been provided solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. The information on this site is directed only at persons or entities in any jurisdiction or country where such access to information contained on this website and use of such information is not contrary to local law or regulation. Accordingly, all persons who access this website are required to inform themselves of and to comply with any such restrictions. Past performance is not a guarantee of future performance.
There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially and should not be relied upon as such.
View definitions of benchmarks and other terms used here.
The investment strategy and themes discussed herein may not be in the best interest of investors depending on their specific investment objectives and financial situation.
Diversification does not eliminate the risk of experiencing investment losses. There is a risk of substantial loss associated with trading commodities, futures, options, derivatives and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities, options, derivatives and other financial instruments one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading derivatives or using leverage. All funds committed to such a trading strategy should be purely risk capital.
© AQR Funds are distributed by ALPS Distributors, Inc. AQR Capital Management, LLC is the Investment Manager of the Funds and a federally registered investment adviser. ALPS Distributors is not affiliated with AQR Capital Management.