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.
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