☕️ ...

From 12/31/2011 to 12/31/2019, the S&P 500 returned north of 200%.  The SG Trend Index?  14.2%.  Total.

Now point-to-point figures can be misleading, but there is no doubting that the performance dispersion has caused just a smidgen of discomfort amount equity sensitive investors.

Here's the "good news": if the S&P 500 were to fall 50% from this point, the SG Trend Index has to return just 32% to get back to even.  (Which is little consolation, of course.)

But how certain are we that managed futures will actually work the next time around?

In this week's research note, we try to explore that very question.  (PDF)


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What We're Listening To
🎧 THE ALTERNATIVE TO ALTERNATIVE RISK PREMIA: "Chris Schindler’s journey really took him all the way down the rabbit hole. He joined the Asset Liability Group at Ontario Teacher’s Pension Plan in 2000 and soon became one of the founding members of the newly formed Tactical Asset Allocation Group.

Most of his 18 years at Teachers’ were spent exploring and developing quantitative tools and strategies to optimize portfolio allocations. An early insight regarding the importance of maximizing investment breadth (or unique independent return drivers) drove his research towards the world of CTAs and Risk Parity, eventually becoming one of the pioneers in Alternative Risk Premia (ARP)." Chris Schindler on ReSolve's GestaltU Podcast

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