Managing an uncertain future
Managed futures have exhibited not only downside protection against equity shocks, but also an ability to provide absolute return over equities during the past 15 years.
Sources: CME Group, Bloomberg LP
With the pending fiscal cliff debate and ongoing strife in Europe, tactical investors might want to consider managed futures to capture 'crisis alpha,' should equity markets react as they did during Q3 2011's debt ceiling showdown.
Since June 1997, the Barclay BTOP 50 index has posted annualized returns of 5.71%, compared with 4.92% for the S&P 500 Low Volatility index and 4.77% for the S&P 500 Total Return index. Monthly volatility for the managed futures index was 226 basis points less than the S&P 500 and 96 basis points less than the low-volatility index.
