Trend-Chasing Mutual Funds Run Into Some Problems (transitory?)

heezsafe

There were several posts last year that generated some interesting threads re. managed futures strategies within a mutual fund wrapper. A number of board participants were pretty optimistic about the change in their returns, to the positive side, and had put some moola into them. Recent results suggest how quickly these returns can turn southward.

http://www.investmentnews.com/article/20150511/FREE/150519982/after-big-2014-trend-chasing-mutual-funds-drop-as-oil-prices-rebound?issuedate=20150512&sid=INTEL&utm_source=MarketIntel-20150512&utm_medium=in-newsletter&utm_campaign=investmentnews&utm_term=text

Transitory? I dunno. Part of the recent decline is due to central banks giveth-ing and central banks taketh-ing it back. So, what is their posited function in a portfolio supposed to be, again? And are they worth the ticket price, even if only held as a sliver?

scott

I said countless times not to expect the returns that these funds provided last year (or in general) to continue/be consistent.

I'm not against managed futures, but last year's performance was an exceptional year for a strategy that is generally more about hitting singles/doubles in good times and bad and having performance that is uncorrelated. Managed futures can also not work for stretches.

One of the largest (if not the largest) hedge funds in this category is +6.5% or so after a not very good April (-3.5%).

Pimco's fund is -3.5% YTD, AQR's fund is +3.8% YTD.

These funds follow trends, up and down. If there is not a consistent trend/they get whipsawed - problem.