We ran a non-overlapping regression using five years of monthly data to measure the trend-following beta of the SocGen CTA index, a peer group index of managers. As the proxy for trend-following, we used the CS Liquid Beta managed futures trend-following index. The number suggest that for a widely followed peer index, the beta is about the same since 1998 at approximately .7.
However, the last year or two suggests that there is a growing gap within the managed futures strategy space that will not be picked up within the trend-following beta of a peer group of mostly large managers.
This product pricing push has really changed the revenue model for these firms. There may be more money coming into managed futures but it is at lower fees; consequently, there has been a move to develop new strategies that are explicitly marketed as non-trend-following quant or trend-following plus.
These products have added models attached to a core strategy. Complexity has been added to either justify higher fees or to differentiate product offering from the core trend product. Hence, it is becoming harder to analyze managers in this strategy space. Investors will have to implement some form of core-satellite between trend and non-trend managers to access the best managed futures alternatives.