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Fund Spy

Are Managed-Futures Funds a Thing of the Past?

These are inhospitable markets for systematic trend-followers.

Managed-futures funds are in the midst of their largest drawdown in recent history. During the past three years through the end of April 2017, the 36 unique funds in the managed-futures Morningstar Category with histories at least that long had an average maximum drawdown of 13.4%.

The lion's share of capital in this space is managed by medium to long-term systematic trend-followers who rely on sustained trends in multiple asset classes. The bread and butter of their investment processes is momentum trading, mainly buying on strength and selling into weakness in the futures and forwards markets.