Diversification and Correlation

  • We believe that a Managed Futures allocation that adds diversification can potentially enhance portfolio returns, lower volatility and benefit an overall portfolio in periods of market dislocations such as rising interest rates, and/or volatile equity environments.
  • A diversified portfolio may perform better and be less volatile when they include Managed Futures, despite the fact that some standalone returns from Managed Futures can be volatile.
  • Correlation benefits can be achieved because certain managers returns tend to be uncorrelated with those of most other asset classes
 SP 500Barclays Bond IndexMSCI World IndexCTA Index
SP 500 TR1.00
Barclays Bond Index0.081.00
MSCI World Index0.930.101.00
CTA Index-0.0030.18-0.071.00
*Past performance is not indicative of future results. Correlation based on period from Jan 1994 to Sep 2015. Data from Barclay Hedge and Autumn Gold databases.
  •  We believe the most appealing feature of certain CTA managers is their ability to provide a compelling risk adjusted rate of return coupled with the optimum level of diversification at the greatest time of need.

 

10-29-2015 4-17-00 PM

*Data from Barclay Hedge and Autumn Gold databases. Past performance is not indicative of future results. Benchmarks being used for illustrative purpose.

Diversification attempts to maximize returns for a given amount of risk.