Asness’ big trend following fund, AQR Managed Futures Fund, is experiencing a 19.5% daily drawdown since its peak in April 2015, according to Morningstar data.
Billionaire Cliff Asness’ Big Trend Following Fund Is Down 19% Since Its 2015 Peak – (Forbes)
So, the more advanced question is: What’s wrong with AQR in relation to its peers? The obvious question there is: “Is it too big?”
What’s Wrong with AQR? — (RCM’s Attain Alternatives Blog)
Until then, rangebound markets might continue hurting systematic trend-followers in the short run. These funds are approaching an inflection point where additional losses may trigger further investor redemptions, as has happened several times in the managed-futures industry before the strategy gained popularity in the mutual fund space.
Are Managed-Futures Funds a Thing of the Past? — (Morningstar)
Having a quant on staff and building algorithms are really just the table stakes or price of admission these days.
Quants Run Wall Street Now? – (RCM’s Attain Alternatives Blog)
Most people don’t realize how broad the CTA space is.
Bedi | Jaffarian | Hatzopoulos #02 – (Top Traders Unplugged)
The third is a managed futures fund, which will use derivatives, or investments linked to the movements of other securities.
Putnam unveils three ‘alternative’ mutual funds – (Boston Globe)
For most investors, a 5–15% allocation to managed futures may offer a good balance of diversification and volatility. Over the long term, the volatility of most managed futures strategies will be closer to that of equities than that of core bonds, and this size of allocation generally may be enough to “move the needle” positively in most portfolio allocations.
Managed Futures Strategies: Inside the “Black Box” – (PIMCO)