Whitepaper

Peering Around Corners: How to Replicate Trend Following Managed Futures

Looking to diversify or Return Stack™ your portfolio with trend-following managed futures while minimizing single-manager risk? 

Our latest research paper explores the construction of a replication strategy that captures the broad exposures to equities, fixed income, commodities, and currencies that are present in the Société Générale Trend Index, while also identifying the underlying strategies employed by trend-following managed futures funds. 

By using a combination of top-down and bottom-up replication methods, we produce a replication strategy that attempts to accurately capture the performance and character of the category. Our replication strategy exceeds a 0.85 correlation with the benchmark index, suggesting that the representative models span most of the models used in the index. 

Investors who can access the Replication strategy at lower fees than the average managed futures fund may experience stronger net returns due to fee alpha. 

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