CTAs can still have a seat at the table

The academic study focused on the negative correlation managed futures have to global equities and alternative asset classes such as private equity, real estate and hedge funds, excluding global macro hedge funds. Risk-adjusted returns, calculated by AIMA as return divided by risk, were notably improved in both scenarios.

AIMA did acknowledge that dedicating 40%, or even 20%, of a portfolio to managed futures is unrealistic, but the group wanted to show the impact from the viewpoint of modern portfolio theory, noting that even a small allocation would offer improved risk and return benefits.