Selecting the Optimal Investment Universe in Managed Futures

PIMCO

Matt Dorsten

Research

8 Pages

PIMCO examines how trend following strategies behave across different market environments, arguing they may provide diversification when traditional assets struggle. The paper highlights that managed futures historically produced positive returns during several major equity drawdowns, challenging the view that trend following only works in crisis periods.

Key Takeaways

Crisis Alpha History: Trend following delivered positive returns in 8 of the 10 largest equity selloffs since 1987, including gains during the 2008 financial crisis.
Low Correlation Benefits: Managed futures showed a 0.07 correlation to global equities from 1985 through 2016, reinforcing diversification potential during volatile periods.
Performance Dispersion Matters: The SG Trend Index returned 14.1% annualized during equity crises versus 4.7% outside crises, highlighting uneven but potentially defensive return patterns.
VIEW FULL REPORT

Join our newsletter to have all of this content + Exclusive Newsletter Bonus Content delivered to your inbox every week

Related Content

Alternative Assets
VC Fund Performance Q1 2026
Jun 2026
Alternative Assets
Beyond Bitcoin – The Manager Perspective: Why Digital Asset Benchmarking Is Entering a New Era
Jun 2026
Annual Report
Control the Controllable, Weather the Rest: Private Equity Midyear Report 2026
Jun 2026

The information contained in this communication is of a general nature for informational purposes only, and does not constitute financial, investment, tax or legal advice. The information contained within this communication reflects the opinions of those referenced herein, and do not reflect the opinions of The Idea Farm, L.P. and its affiliates. Such opinions expressed herein are as of the date of production and are subject to change at any time without notice due to various factors, including changing market conditions or tax laws. Where data or information prepared by third parties is presented, no representation, warranty, or undertaking, expressed or implied, is given to the accuracy or completeness of such information by The Idea Farm, L.P. or any other person. While such sources are believed to be reliable, The Idea Farm, L.P. does not assume any responsibility for the accuracy or completeness of such information and does not undertake any obligation to update the information contained herein as of any future date. Any links to third party websites are offered only for use at your own discretion. The Idea Farm L.P., and its affiliates, are separate and unaffiliated from any third parties listed herein and are not responsible for their products, services, policies or the content of their website. All investments are subject to varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy or product referenced directly or indirectly in this communication will be profitable, perform equally to any corresponding indicated historical performance level(s), or be suitable for your portfolio. Past performance is not an indicator of future results.

Scroll to Top