Managed Futures Trend Replication
Daily Data

This data set provides daily returns for the Net Replication strategy discussed in the paper “Peering Around Corners: How to Replicate Trend Following Managed Futures”. The Net Replication strategy combines bottom-up and top-down indices to replicate returns from a popular managed futures index across a diverse set of liquid futures markets including equities, fixed income, commodities, and currencies. The data covers the period from January 31, 2000 through January 31, 2023.

We provide both gross and net daily and monthly returns. Gross returns are hypothetical and do not include trading costs. Net returns are also hypothetical but include estimates for trading slippage and commissions. Trade netting and weight smoothing techniques are employed to reduce turnover and mitigate transaction costs as described in the paper.

The underlying futures price data spans major markets such as the Australian Dollar, Canadian Dollar, British Pound, Euro, Japanese Yen, Crude Oil, Brent Crude Oil, Heating Oil, Natural Gas, Gasoil, RBOB Gasoline, Gold, Silver, Copper, 10-Year Treasury Note, 2-Year Treasury Note, 5-Year Treasury Note, 30-Year Treasury Bond, U.K. Gilt, German Bund, E-Mini S&P 500, E-Mini Nasdaq 100, Nikkei 225, S&P/TSX 60, German DAX, Euro Stoxx 50, and FTSE 100. The focus is on highly liquid, scalable futures markets only.

This data enables further research into the properties and potential diversification benefits of trend-following managed futures strategies. However, given the hypothetical nature of the results, past performance is not necessarily indicative of future returns. Potential investors should carefully examine the assumptions and methodology before considering an investment in these strategies.

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Looking to diversify or Return Stack™ your portfolio with trend-following managed futures while minimizing single-manager risk? 
Peering Around Corners:
How To Replicate Trend-Following Managed Futures