The summer was a positive performance period for
managed futures, yet it was still filled with return up and downs. We have
identified periods of more than 2% gains and losses on the AMPHI Liquid Alt
Index, an equal weighted index of the largest liquid alternative programs
available. This return pattern is representative of many periods in managed
futures performance with equal gains and loses punctuated by larger gains when
there is a market divergence or dislocation. In this case, the main driver was
the post-BREXIT market reaction that lasted for approximately two weeks.
Performance dispersion within the index has
actually dampened since July. When there are large market price dislocations,
there will be greater differences in performance based on whether an individual
manager found and properly sized positions in the markets seeing divergences or
trends. When there is more dampened or range-bound market behavior, positioning
differences will have less impact; consequently, there will be less dispersion
in manager performance. Rankings of managers based on summer
performance were stable. Managers who performed well earlier in the summer
actually stayed at the top of the rankings. Over short time periods, shuffling
of performance ranking is less likely to be seen.
Given the current sideways behavior for most major
asset classes, it is likely that performance will also stay range-bound. As a
positively convex trading style often looking for market trends, managed
futures programs need to see larger market moves to generate jumps in
performance.
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