Soc Gen Report Validates, Explains Managed Futures, Trend Persistence

Managed futures trend following strategies have a very different return profile than those of standard assets, a Societe Generale study noted, while recommending inclusion of the strategy in a portfolio. By just adding a 20% trend following exposure to a portfolio, the Sharpe ratio of the diversified equity portfolio increased by 40% and drawdowns were reduced by 8%.

Also see top hedge fund letters to investors

Study confirms adding managed futures trend following to a portfolio improves Sharpe ratio by 40% and reduces drawdown by 8%

The study from the bank’s Cross Asset Quant Research team led by Jullen Turo came to relatively similar conclusions of numerous previous