Our weekly newsletter is up, and we’re taking a look at correlations. Perhaps the most frequently touted benefit of investing in managed futures is that, as an asset class, it has historically shown non-correlation to other traditional investments. The classic example of this is 2008, when managed futures were able to post gains of 13% [past performance is not necessarily indicative of future results] while stock markets around the world (and most other asset classes) saw losses.

But in looking at recent performance of managed futures in relation to the stock market – some people are starting to question this relationship (see here and here). If you look at the numbers, though, this is not just an issue for managed futures, but for Hedge Fund, bonds, and commodities as well, with short term correlations quite high across the board.

They are right to point out that managed futures and the stock market sure are moving in tandem lately with both up in April, down in May, and down again in June – causing three month correlations to approach their highest possible level of 1.00; but wrong (in our opinion) to believe this is somehow wrong or unexpected.

And then there’s that whole issue with the classic example of managed futures non correlation with stocks in 2008 being wrong… not ACTUALLY an example of non-correlation… Read on to find out what we mean: https://bit.ly/q7olFB