Does a managed-futures fund earn its place?

Which fund you pick matters more here than anywhere else

2022 was the best year trend following has had this century, and it is the year that shows these funds are not interchangeable. Four of them, running the same idea through the same markets in the same twelve months, returned 30.52%, 23.07%, 5.52% and minus 5.81%. Thirty-six points of spread between the best and the worst.

Nothing in an index fund behaves like that. Two S&P 500 funds differ by hundredths of a percent. Two trend funds differed here by thirty-six points inside a single year, which is roughly what the stock market delivers in three. So anyone who tells you to add managed futures without telling you which fund has not given you advice. Read what each one actually holds and how it decides, because that choice is the whole outcome.

What we could verify

One fund promises a dollar of US shares and a dollar of trend following for every dollar you put in. We checked that against its own monthly returns filed with the SEC, 31 months from October 2023. The share dollar arrived essentially whole. The trend dollar arrived at about seven tenths, 0.68, with a range from 0.41 to 0.96. A full dollar is not ruled out; neither is two thirds. That is 31 months of filings, and it is the thinnest evidence behind anything we publish.

Three things the fact sheets do not tell you

Every one of these funds advertises that it sends you no messy tax form. That is true, and incomplete. They manage it by routing their commodity trades through a company they own in the Cayman Islands. Doing that gives up the favourable tax treatment futures normally get, under which 60% of any profit counts as long-term no matter how briefly you held it. Instead the gains reach you as ordinary income, taxed at your normal income rate. The funds say so in their own filings, and you can see it in their published numbers: one large fund returned 13.85% in 2025 before tax and 11.14% after; another lost 3.21% before tax and 5.10% after. Hold one of these in a retirement account or do not hold it.

The biggest fund in the category does not follow trends. DBMF, at $3.3bn much the largest, runs a model that reads the past 60 days of returns from large managed-futures hedge funds, works out what they must have been holding, and holds that. It is a copy of other people’s positions on a two-month delay, which by construction puts it behind them at the turning points that matter most. Two smaller funds do the same. This is not automatically a flaw, and that fund has the best long record in the group, but anyone buying it should know it is not what they think it is.

The 2020 story is mostly folklore. Read from Société Générale’s own daily index file, the broad managed-futures index was down 0.54% through the first quarter of 2020, with a losing February. The narrower trend index made 2.29%. Both finished the year up, but the gains came in the second half rather than from protecting anyone during the crash. Compare 2008, when the two indexes gained 13.07% and 20.88%, and 2022, when they gained 20.22% and 27.35%. Trend following needs a slow crisis. 2020 was fast.

One caveat on those index figures: they are already net of the hedge fund managers’ own fees, typically 2% a year plus a fifth of the profits, so a fund comparing its 0.75% cost against that index is flattering itself. The index also covers only managers still open to new money, which quietly leaves out the ones that did well enough to close.

The crisis behaviour is real and thinly measured

The reason to own one of these is not the return. It is that they tend to do well when shares do badly. Over four crisis windows we froze before looking at any results, 53 months in all, the trend index moved firmly against a conventional portfolio. On a scale where zero means the two drift independently and minus one means they move exactly opposite, it read minus 0.59 inside those crisis months, against minus 0.17 across the full 1990 to 2025 record.

Hold that loosely. Those 53 months are clumped into four events and amount to roughly four independent observations. A longer panel running back to 1934, built differently, measures no relationship at all, and we cannot reconcile the two.

The return does not resolve, and may never

Holding 30% of your capital in trend, with nothing else clever, beat a cheap index fund borrowed up to the same size by 1.36 points a year from 1990 to 2026. The design cannot tell that from luck. You would have to hold it 244 years before the evidence could separate the two.

Standalone quality has fallen. Return for the risk taken, on a scale where the US stock market’s own long record sits near 0.45 and anything above 1 is exceptional, was 1.34 in the 1990s, 0.83 over 2001 to 2011, and 0.18 over 2012 to 2025. Annual growth across the same three periods was 19.4%, then 12.3%, then 3.1%. That decline reproduces on two versions built from scratch, so it is not a quirk of one provider. It is also worth knowing that the 1960s held a decade at 0.07 followed by a decade at 0.80. A fifteen-year drought is inside this strategy’s normal range.

The funds do not last

Of 25 managed-futures funds filing with the SEC in July 2019, 13 had stopped filing by the end of 2025. That is 52% in six and a half years, and it counts mutual funds as well as exchange-traded ones. The largest to go held $1.78bn. Pushing the other way, the listed shelf has grown since, and no fund present in late 2025 was missing from a later census.

What would change our mind

Another seventeen months of filings, taking the exposure measurement to four years, would settle whether the trend dollar arrives whole or two thirds. A slow, grinding bear market in which these funds fail to make money would end the case for holding them.

Where these numbers come from

• Monthly total returns funds report to the SEC on Form N-PORT, and the prospectuses and annual reports of nineteen managed-futures funds, read August 2026.
• AQR’s published time series momentum index, January 1990 to December 2025.
• Société Générale’s daily managed-futures and trend index files.
• SEC fund census filings for 2019 and 2025, for how many funds survived.