The Raisons d’être of Managed Futures

AQR

Research

14 Pages

AQR Capital Management explains why managed futures is intended to deliver two things: positive average returns and meaningful help in equity drawdowns. Cliff Asness argues many managers diluted that defensive role by adding equity exposure and carry to look better in strong markets. He also outlines how to evaluate trend strategies based on what they do when portfolios actually need them.

Date published: August 17, 2022

 

Key Takeaways

Dual mandate framing: Treats managed futures as both a long run diversifier and a potential drawdown offset.
Beta and carry: Notes add ons can lift returns in calm periods, but may weaken protection when stress hits.
Innovate without drift: Suggests improvements should expand trend sources without changing the strategy’s core job.

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

Related Content

Alternative Assets
Feb 2026
Market Outlooks
Feb 2026
Alternative Assets
Jan 2026
Scroll to Top