S&P releases 2011 Sector Report for Alternative Strategies—Futures

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Standard & Poor’s Fund Services has released a report outlining the key findings, themes, and rating distribution of funds within the Alternative Strategies—Futures peer group, following the 2011 review. The group covers subpeer groups Commodity (Long Only), Commodity Trading Advisor, and Global Macro. There were no changes to existing ratings, and three strategies were newly rated. 

“The report shows that managed futures trading strategies continue to show diversification benefits for investor’s portfolios, while assets under management within the industry reached new peaks,” said Michael Armitage, analyst at S&P Fund Services. 

“However, an increase in funds under management, which notably amassed within the largest managed futures products, increased our focus on potential capacity issues,” Mr Armitage said. 

Relative value and directional macro investing were found to present significantly different return profiles, which investors and advisers should understand. While both types of strategies will present variable correlation to traditional investments, directional global macro typically exhibits strong positive skewness of returns, and the ability to perform strongly in dislocated markets. Conversely, relative value strategies have historically been challenged in periods of extreme market duress. 

Reports for all funds rated as part of this sector review are available on S&P’s subscriber website www.fundinsights.com. A copy of the sector report can be made available to media representatives upon request.

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