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Managed Futures versus Market-Neutral Multi-Factor Investing

And the winner is?

Nicolas Rabener
10 min read
15 Jul 2024

SUMMARY

  • Managed futures and market-neutral factor investing offered uncorrelated returns to stocks
  • However, these two alternative strategies exhibited similar trends in correlations to equities
  • Having exposure to both does not generate superior diversification benefits

INTRODUCTION

At first glance, the universe of alternative strategies is large and full of wonders. However, deeper analysis often reveals different shades of gray rather than the colors of the rainbow.

We previously showed that the returns of private equity are highly correlated to the S&P 500 and similar in magnitude (read Private Equity: The Emperor has No Clothes

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