The performance of managed futures, particularly trendfollowing strategies (“Trendfollowing”), were  mixed in the years up to and including 2019. Although returns in the industry had been strong to September 2019, the performance in the previous decade had been weaker than in previous decades and prompted many investors to ask whether something structurally had changed.

Several theories have been put forward by industry commentators and investors to explain the lower performance such as:

• “There is too much money in the space”
• “Trendfollowers are being front-run or gamed by other market participants”
• “Markets have become faster and Trendfollowers are too slow to react”.

Our 2019 paper assesses these theories, evaluates the market environment and considers the outlook for the strategy.