Key Takeaways
- • Managed futures strategies employ trend-following frameworks to systematically identify price persistence in equities, bonds, currencies, and commodities, then exit positions when models detect trajectory disruption.
- • Fidelity Portfolio Manager Roberto Croce discusses how quantitative models combine multiple signals to identify trends, assess conviction levels, and execute trades across a broad, diversified set of markets.
- • Managed futures strategies exhibit distinct favorable and challenging market conditions, with performance dependent on the persistence of directional price drift and the human behavioral factors that sustain trends.
- • Capital-efficient, systematic long/short approaches in managed futures can serve as diversification tools for multi-asset portfolios beyond traditional stocks and bonds.
- • Market structure evolution, including the rise of retail options trading and new financial products, is fundamentally changing how trend-following strategies operate.
Summary
This Institutional Investor podcast episode, sponsored by Fidelity Investments and titled "Managed Futures: Systematically Following the Trend Until it Bends," explores the mechanics and application of trend-following managed futures strategies in contemporary markets. The episode features Fidelity Portfolio Manager Roberto Croce, who has spent 15 years building and managing systematic managed futures investments. Croce and host Steve Rosen discuss how managed futures use a systematic framework to observe price paths and detect directional changes across multiple asset classes.
The core methodology involves quantitative models that identify price persistence—the tendency of assets to continue moving in an established direction—across stocks, bonds, currencies, and commodities. Portfolio managers use these models to combine multiple signals that assess trend conviction and inform trade execution. The strategy operates on a disciplined long/short basis, allowing managers to ride trends until model indicators signal that an asset's trajectory has been disrupted, at which point positions are exited.
Croce emphasizes the role of human behavior in sustaining market trends. Rather than relying on fundamental analysis, managed futures strategies recognize that market participants themselves create and perpetuate directional price movements through their collective decision-making. The episode addresses both favorable conditions—when trends persist and markets exhibit clear directional bias—and challenging periods when traditional trend-following signals weaken or reverse.
The discussion also acknowledges significant structural shifts affecting trend-following strategies. The proliferation of retail options trading, the introduction of new financial products, and broader changes in market microstructure are altering how trends form and persist, requiring managed futures practitioners to continuously evolve their models and conviction frameworks. Capital efficiency remains central to Croce's approach, enabling diversified exposure across multiple markets while managing portfolio risk.
The core methodology involves quantitative models that identify price persistence—the tendency of assets to continue moving in an established direction—across stocks, bonds, currencies, and commodities. Portfolio managers use these models to combine multiple signals that assess trend conviction and inform trade execution. The strategy operates on a disciplined long/short basis, allowing managers to ride trends until model indicators signal that an asset's trajectory has been disrupted, at which point positions are exited.
Croce emphasizes the role of human behavior in sustaining market trends. Rather than relying on fundamental analysis, managed futures strategies recognize that market participants themselves create and perpetuate directional price movements through their collective decision-making. The episode addresses both favorable conditions—when trends persist and markets exhibit clear directional bias—and challenging periods when traditional trend-following signals weaken or reverse.
The discussion also acknowledges significant structural shifts affecting trend-following strategies. The proliferation of retail options trading, the introduction of new financial products, and broader changes in market microstructure are altering how trends form and persist, requiring managed futures practitioners to continuously evolve their models and conviction frameworks. Capital efficiency remains central to Croce's approach, enabling diversified exposure across multiple markets while managing portfolio risk.
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