(Harvest) What… How can two negatively correlated investments both by in positive territory for the year?
With stocks back at all-time highs, one might think managed futures programs – you know, the poster child of performing during stock market crisis periods, would be sucking wind. After all – managed futures (SG CTA Index) posted gains of +7% back when stocks took a dive (falling -10%) in January-February, so you might think they would be down some ugly percentage while stocks have rallied back over 19.41%.
But something funny happened on the way to turning in their asset class scorecard – managed futures found return drivers in metals, bonds, and even stocks themselves – to actually move to positively correlated with stocks right now – just five months after being negatively correlated to them. You can see the Attain Short Term Fund in the table up +13.75% on the year, at the same time stocks are up 7.75% on the year – all while having an all time correlation of -0.36 and seven-month correlation of -0.89.
