Managed futures: Systematically following the trend until it bends

Managed futures use a trend-following framework to observe the path and detect changes in the direction of financial assets. In this episode of Alternative Angles, Fidelity Portfolio Manager Roberto (Rob) Croce joins host Steve Rosen to discuss how models are built and used to spot the price path persistence of a security—a stock, bond, currency, or commodity—and how the directional price drift is ridden until the model indicates its trajectory has been disrupted. Rob has spent the last 15 years investing in managed futures. Along with his team, Rob has developed a differentiated and disciplined systematic long/short strategy that is capital efficient and invested in a broad and diverse set of markets. Topics include:The features, attributes, and return profiles of a managed futures strategy that might lead an investor to consider adding it to a multi-asset portfolio.Favorable and challenging market conditions for a managed futures strategy.The human factor driving the existence and persistence of trends.How quantitative models combine signals to identify trends and assess conviction, leading to trade implementation.

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