Flirting with Models Andrew Beer & Adam Butler - Attack of the Managed Futures Clones
Sep 25, 2023
Andrew Beer from DBi and Adam Butler from ReSolve Asset Management discuss the replication of managed futures strategies. They explore return-based and process-based replication, selecting markets for diversification, and the challenges of derisking and top-down investing. They also discuss the implementation process for replicating an index and achieving broad-based exposure to the hedge fund industry. Overall, they highlight the potential benefits and cost-effectiveness of replication in investment portfolios.
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Managed Futures As A Third Leg
- Managed futures provide low correlation to stocks and bonds and act as a powerful third leg in portfolios.
- Replication can broaden access and lower costs for investors seeking those diversification benefits.
Start Simple And Expand Carefully
- Start replication simply and test incremental complexity before adding features.
- Build from one factor up and only expand when there's clear, durable benefit.
Complementary Replication Methods
- Top-down (returns-based) and bottom-up (process-based) replication each capture different strengths.
- Combining both approaches tends to be more robust than either alone.