Does trend following earn a place?

What a managed-futures fund does

A managed-futures fund follows a rule across a few dozen futures markets: stock indexes, government bonds, currencies, oil, metals, grains. A futures contract lets a fund bet on a market rising or falling without owning it. The rule buys whatever has been rising over the past several months and sells short, that is, bets against, whatever has been falling. It holds no opinion about why. When a market reverses, the fund is on the wrong side for a while, loses, and flips. That is trend following, and it is the whole strategy.

The reason anyone holds it is what it did in long bear markets. A slow, grinding fall in stocks is exactly the kind of trend the rule catches. By the SG Trend index's count the strategy made 27% in 2022, a year in which the S&P 500 lost 18%. Trend rose in 64% of the worst stock months since 2000. Gold managed 59% and long Treasury bonds 55%. Nothing else came close.

The reason people give up on it is everything in between. After that 27% in 2022, by the same index's count, the strategy lost 4% in 2023 and made about 2% in each of the next two years. Since 2000 it has earned about 5% a year. Held on its own it is a dull, lumpy asset that spends years doing nothing.

The part that matters: how you pay for it

This is the finding that matters most. The same strategy either helps a portfolio or dilutes it depending on how you buy it.

If you sell 30% of your stocks to buy a managed-futures fund, you give up the stock return on that 30%. The fund has to out-earn stocks just to break even, and it does not. That version, tested on the 1990 to 2026 fund data, was too close to call at best.

If instead you add the strategy on top of your stocks, you keep the whole stock return and get the trend return as well. A fund like RSST does this for you. For every dollar you put in, it holds about a dollar of large US stocks and a dollar of a trend-following futures program, borrowing inside the fund to hold both. Its fee is 0.99% a year. On the same 1990 to 2026 data, adding trend this way rather than by selling stocks was worth about 1.7 points a year of growth at the same trend exposure. That gap is arithmetic, not a forecast, and it is why the portfolio on this site holds RSST rather than a plain managed-futures fund.

Two things follow. A plain managed-futures fund such as DBMF, KMLM or CTA belongs in a retirement account or nowhere, because its gains come out as ordinary income: DBMF's tax cost ran 2.1 points a year, two and a half times its fee. And a fund that borrows inside itself can fall further than stocks alone in a year when both lose, which is the risk you are being paid for.

What 96 years say

Trend-following funds did not exist in 1929, so I built a simple four-market trend rule from the data that did, charged it a fund's costs, and added it at 30% on top of a US stock portfolio. Between 1929 and 2025 that portfolio beat a cheap all-stock fund by +1.98 points a year, with a range of 1.3 to 2.7. Its worst fall was 82.8% against 83.7% for stocks alone, so this is not crash protection. It is protection against the slow decade. In the ten years to February 2009, US stocks lost 2.55% a year. With 30% trend on top, the same decade came out at roughly zero.

The gain was not spread evenly. Decade by decade it ran between half a point and 3.6 points a year through the 2000s, then 0.6 in the 2010s and 0.3 in the 2020s. Measured only from 2009, the whole edge is 0.4 points a year and the test cannot tell it from zero. Estimates of what it will pay from here run between 2.8 points a year over cash, which is what live funds earned between 2019 and 2025 after their fees, and 7.2, which is what a century of reconstructed data paid. It needs about 3 to pay for itself inside RSST. That is a bet, and it is the one bet this site takes.

The live record

RSST launched in September 2023, so its trend exposure is measured on 31 months of filings: enough to know the fund does what it says, not enough to know how much. Its worst fall so far was 30.8% in April 2025, by portfolioslab's count, and it recovered in about five months. Four funds running the same idea returned 30.5%, 23.1%, 5.5% and minus 5.8% in 2022. Which fund you hold matters more than whether you hold one, and anyone who tells you to add managed futures without telling you which fund has not given you advice. DBMF, the biggest fund in the category, does not follow trends itself; it copies the positions of large hedge funds with a two-month lag, which is a different product.

Managed-futures ETFs also die. Of the 25 that were filing with the SEC in July 2019, 13 had stopped by December 2025. If RSST closes, the portfolio on this site drops to its six other funds, and I say so on that page rather than pretending it cannot happen.

Carry, the second candidate

Carry is a related futures strategy that earns the gap between spot and futures prices across the same markets. It moves independently of trend, which is rare and valuable. A 10% addition on top of the portfolio was worth 0.6 points a year on 96 years of index data and about 0.2 once a realistic trading cost and the fund's actual exposure are charged, which is too close to call. It has lost money since 2013. The fund that offers it, RSSY, is two years old. I do not hold it, and I would look again in mid-2027 when it has three years of filings.