Again a few things from the cluttered desk - none deserving of a full post, so I’ll just smash them together: 1) Rectifying a mistake and revising some hot takes, 2) Big story for me: the strength of the dollar, 3) Managed Futures continue to roll along, 4) prepare, don’t predict.
Reconstructed data to test how a momentum strategy would have done since 1880. Authors find robust performance, with added bonus of basically no correlation to stocks & bonds, and positive performance in a variety of economic regimes. Strong support for including managed futures in an RP portfolio.
If managed futures are going to be included in a RP portfolio, what’s the best asset? My vote is for DBMF, which has had solid returns and low correlation to stocks and bonds in its short history. Proceed with caution for this asset though, because of that very short history.
This trading strategy, that goes long or short on futures contracts for a variety of assets depending on their momentum, has some promise as a unique, uncorrelated asset stream with a positive expected return. Here’s a primer that considers whether managed futures have a place in RP portfolios.