(Harvest) The summer was a positive performance period for managed futures, yet it was still filled with return up and downs. We have identified periods of more than 2% gains and losses on the AMPHI Liquid Alt Index, an equal weighted index of the largest liquid alternative programs available. This return pattern is representative of many periods in managed futures performance with equal gains and loses punctuated by larger gains when there is a market divergence or dislocation. In this case, the main driver was the post-BREXIT market reaction that lasted for approximately two weeks.
The Summer Ups and Downs of Managed Futures
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