What is comparable to managed futures from the set of other hedge fund styles? I found this surprising, but there seems to be a close relationship between the managed futures index and market-neutral multi-factor fund index. See What Equity Factor Is Best Combined with Managed Futures?
On the surface, this does not seem to make much sense. The market-neutral effect means that the correlation with the stock index is gone, yet the correlation of managed futures and equities follows the moves with the multi-factor benchmark. Both have low correlation with the equity benchmark index, and both show negative correlation with the equity index at about the same time. Generally, it has been found that managed futures have a low correlation with many other risk premium - a low relationship with carry and with value but a stronger relationship with momentum. This relationship is capturing some of these other factor relationships. The closest substitute is still global macro, but it is worth exploring how managed futures fits with other risk premium indices.
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