Investment Insight
Oct 2018
Managed Futures—Beyond Trend Following

Investment Insight

Managed Futures—Beyond Trend Following

Oct 2018


The managed futures industry has long been primarily associated with quantitative trend-following strategies. More recently, a new breed of managers has emerged who employ systematic, rules-based trading strategies that focus on quantitative analysis of fundamental, non-price data. These systematic macro strategies are not trend-following and are often called “quantamental.”

In this paper, we’ll make the case that quantamental and trend-following strategies are complementary to one another and that a well-balanced, long-term allocation to managed futures should include both.

The views and opinions are those of the author as of the date of publication and are subject to change at any time due to market or economic conditions and may not necessarily come to pass. The views expressed do not reflect the opinions of all investment personnel at Morgan Stanley Investment Management (MSIM) or the views of the firm as a whole, and may not be reflected in all the strategies and products that the Firm offers.

This general communication, which is not impartial, is for informational and educational purposes only, not a recommendation. Information does not address financial objectives, situation or specific needs of individual investors.

Alternative investments are speculative and include a high degree of risk., including the possible loss of principal. Past performance is not indicative of future results.

The Managed Futures Team provides multi-manager and single-manager managed futures and currency strategies.

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