Skip to content
GetProfitable
Search
Dictionary

Managed futures

Strategies that trade listed futures and forwards across equities, rates, currencies and commodities, usually systematically and usually able to go long or short.

The universe is deliberately liquid: exchange-listed contracts with daily settlement, transparent pricing and central clearing. That makes the strategy scalable and relatively easy to value, unlike most private alternatives.

Most managed futures programmes are some form of trend-following, though carry, value and short-term mean reversion variants exist. Because they can be short, they have historically performed well in extended equity declines and poorly in sharp reversals, which is the profile that earns them a place as a diversifier rather than a return engine.

Margin efficiency means these programmes often hold most assets in cash and collateral, so their return includes the short-term rate. Compare programmes on return above cash, not headline return, particularly across periods with different rate levels.

Related: trend-following, commodity-trading-advisor, commodity-pool, futures-contract, global-macro, risk-parity

Educational only, not advice. Spotted an error? Post in Site Feedback.