RCM argues that managed futures can play a critical role in portfolios by providing crisis alpha and diversification, especially when traditional assets struggle. The paper highlights that during major drawdowns like 2008, managed futures delivered gains while equities fell over 50%, challenging the idea that they are only marginal diversifiers.
Managed Futures 2020 – Strategy Review
RCM Alternatives
Research
11 Pages
Key Takeaways
Crisis Alpha Evidence: Managed futures gained roughly 20% in 2008 while global equities declined over 50%, demonstrating strong performance during stress periods.
Low Correlation Benefit: Correlation to equities has remained near 0 over time, helping reduce portfolio drawdowns by up to 30% historically.
Return Profile Tradeoff: Long term returns averaged around 5–7% annually, lower than equities but with materially smoother volatility patterns.
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