Andrew Beer & Adam Butler - Attack of the Managed Futures Clones
Corey Hoffstein is joined by Andrew Beer and Adam Butler to delve into the intricacies of managed futures replication. The discussion covers market selection, rebalancing, and the challenges of factor and returns-based replication. They examine the impact of bond rallies, correlation structures, and the performance of replication strategies over time. The episode also explores top-down and bottom-up approaches, addressing risks and accuracy in replication. The importance of ETF structure and the trade-offs in managed futures construction are highlighted. The conversation simplifies managed futures for a younger audience and concludes with thoughts on diversification in the replication space.
In this special episode of Flirting with Models, I’m joined by two guests: Andrew Beer of DBi and Adam Butler of ReSolve Asset Management.
Rather than my usual interview format, I wanted to foster a conversation about the replication of managed futures strategies. Specifically, I wanted to bring on two practitioners who both share the same high level beliefs – namely that more investors should allocate to managed futures, that managed futures are well suited for replication, and that replication can help dramatically reduce fees – but differ on the implementation details.
And it is in that disagreement that I hoped to highlight the different pros and cons as well as any embedded assumption in any of these replication approaches.
We discuss return-based replication, process-based replication, determining the number of markets to trade, expectations for tracking error, and more.
I hope you enjoy this episode with Andrew Beer and Adam Butler.
Chapters
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Transcript
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