Managed Futures ETFs: What the Data Says So Far
Diversification is Real but Selection Matters
In 2022, the S&P 500 fell by about 18%, and many investors learned a painful lesson: Diversification can fail when you need it most. Treasuries often hedge equities in conventional risk-off episodes, but they can struggle badly in inflationary regimes, exactly what happened in 2022.
Trend following is one of the few liquid approaches that has historically had the potential to perform in this type of environment. But for individual investors, accessing institutional trend-following programs is not always straightforward.
That’s where managed futures ETFs come in. They typically offer:
Trend exposure across multiple asset classes
The ability to go long and short
Potential to deliver crisis alpha during prolonged equity bear markets
Return streams that can look meaningfully different from traditional stock and bond portfolios
However, it’s important to recognize that “managed futures” is a strategy category, not a return series. Implementation details matter, and realized performance can vary meaningfully across ETFs.
In this post, I take a look at a handful of managed futures ETFs with more than three years of track record and discuss their performance and the possible diversification benefits they may offer within traditional equity portfolios.
The Managed Futures ETF Landscape
Several new managed futures ETFs are launched each year. The table below provides a snapshot of some of the largest and most established products today.
