Managed futures are not providing a hedge to equity investors year-to-date, on average. A failure to provide a hedge also occurred in 2011 and 2018.
There is no guarantee that an investment in alternatives will provide a hedge to equity investors. Strategic allocations are based on long-term correlations, but in the short-to- medium term, these correlations are dynamic and random.
Although managed futures have provided a hedge to equity investors during large corrections and bear markets, on average, there have been a few years when both equities and managed futures fell, or managed futures fell more than equities.
| Year | S&P 500 Total Return | Managed Futures* |
| 2011 | +2.1% | -4.4% |
| 2018 | -4.4% | -5.8% |
| 2025 (YTD) | -1.7% | -3.0% |
*We used the SG CTA index before 2020 and the DBMF ETF starting in 2021.
The worst outcome since 2000 was in 2018, with the S&P 500 falling 4.4% and managed futures falling 5.8%.
We need to clarify that the dispersion of managed futures CTAs is quite high and specific programs have outperformed during years that other programs underperformed. However, investing in a particular CTA introduces a high level of specific risk.
Year to date, we are noticing strong mean reversion in the returns of most managed futures CTAs due to reversals in key market trends. Although we expect managed futures to keep providing a hedge and convexity in the future, in the short term the situation will remain fluid.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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