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Managed futures: potential to profit through different market cycles

Value of an initial $1,000 investment

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. The total return of an investment is only one measure of performance. Performance should never be the sole consideration when making an investment decision. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses. The referenced indices are shown for general market comparisons and are not meant to represent any particular Fund. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. US stocks represented by the S&P 500 Total Return Index; Managed Futures represented by the Altegris 40 Index® (started July 2000; data available back to 1990). Bull markets: 01/90-08/00, 10/02-09/07, 03/09-present; tech wreck: 09/00-09/02; credit crisis: 10/07-02/09. Source: Altegris.

Managed futures managers use their own trading systems, primarily trend-following strategies, to react to price trends in various global markets.

Managed futures vs. traditional asset classes

The charts below show how managed futures historically stack up against traditional asset classes.

Calendar Year Performance: Managed Future vs US Stocks

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Managed futures represented by the Altegris 40 Index®. See index descriptions below.

Performance Statistics:
Managed Futures vs. US Stocks

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Managed futures represented by the Altegris 40 Index®. See index descriptions below.

Annualized 10-, 5-, 3- and 1-Year Returns

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Managed futures represented by the Altegris 40 Index®. See index descriptions below.

Standard Deviation*

* Standard deviation is a statistical measure of how consistent returns are over time; a lower standard deviation indicates historically less volatility.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Managed futures represented by the Altegris 40 Index®. See index descriptions below.

Managed Futures Have Lower Correlation*

*Correlation is a statistical measure of how two securities move in relation to each other.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Managed futures represented by Altegris 40 Index®. See index descriptions below.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. The referenced indices are shown for general market comparisons and are not meant to represent any particular Fund. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. US Stocks represented by S&P 500 Total Return Index; US Bonds represented by Barclays Capital US Aggregate Bond Index; International Stocks represented by MSCI EAFE Index; Commodities represented by S&P GSCI Total Return Index; Managed Futures represented by Altegris 40 Index® (started July 2000; data available back to 1990). Source: Altegris.

Potential to thrive regardless of market direction

Managed futures represent an asset class managed by professional investment managers, known as Commodity Trading Advisors (CTAs). These managers use their own computer-based trading systems to identify and react to price movements to invest in futures and options contracts.

The majority of managed futures managers employ quantitative trend-following strategies, which alert managers when to take long or short positions once trends develop. This gives them an opportunity to potentially profit from both positive and negative developments across multiple markets and asset classes simultaneously.

Managed futures managers trade in generally transparent markets that typically provide daily liquidity. They have two key potential advantages as they seek to generate absolute returns. Of course, there is no guarantee that any investment will achieve its objectives, generate profits or avoid losses.

  • Ability to invest across a wide range of global markets (150+ global markets) with exposure to four major asset classes including stocks, bonds, commodities and currencies.
  • They have the flexibility to take long and short positions to capture both positive and negative market trends.

Over the long term, managed futures have provided investors with strong historical returns and low historical correlation to traditional asset classes.

See the Glossary for term definitions.

Managed futures offer potential diversification

Managed futures can invest both long and short, in multiple asset classes, in more than 150 markets around the world.

Managed futures managers use various trading strategies, a range of investment timeframes and are able to trade in numerous underlying markets. They typically rely on complex trading models that execute buy and sell decisions in reaction to price movements. The flexible nature of managed futures strategies gives managers the opportunity to potentially profit from both positive and negative developments in multiple markets simultaneously. Of course, there is no guarantee that any investment will achieve its objectives, generate profits or avoid losses.

  • Historical performance: A long-term allocation to managed futures has historically produced strong relative performance across market cycles providing potential portfolio diversification.
  • Correlation: Managed futures have historically exhibited low correlation versus traditional asset classes. Adding low correlated assets to a portfolio has potential diversification benefits and may reduce the overall risk of a portfolio.
  • Transparency: Managed futures managers typically trade in transparent markets. They can trade in more than 150 global markets, such as currencies, metals, financials, energy, and agriculture, and can utilize both long and short trading strategies.
  • Investment flexibility: Managed futures managers utilize a variety of trading disciplines, which primarily includes trend following (multiple time periods) as well as specialized (short-term, discretionary, etc.). The flexible nature of these strategies gives managers the opportunity to potentially profit from both up and down movements across various markets.

See the Glossary for term definitions.

Gain a deeper understanding of managed futures

As part of the Altegris Academy, Altegris brings you a variety of resource materials that will help you better understand the potential advantages of the managed futures strategy.