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The benefits of allocating to Managed Futures

6 October 2017

Research by AIMA and Societe Generale shows portfolios that include managed futures funds may perform better and reduce risk.

The paper, 'Riding the Wave' found that “Adding managed futures to a diversified investment portfolio has the result of increasing both the total investment portfolio’s return and reducing its risk”.

We have carried out our own research on this subject.  We have examined the effect of adding Garraway Financial Trends to the returns of a series of balanced portfolios, using the various IA mixed asset sectors as a proxy.  In each case, the result of adding the fund’s track record (on a 90:10 basis, from 1 March 2014 following the launch of the ‘pure’ UCITS strategy on 17 February 2014) to the historic returns of these sectors was:

  • An Increase in the compound annual growth rate;
  • A reduced maximum drawdown;
  • Lowered annualised downside deviation; and
  • Improved Sharpe and Sortino ratios.

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