Oct 10, 2026 · 1h 18m
Managed futures challenge the 60/40 playbook
SI421: Taking CTAs Mainstream ft. Andrew Beer
As stocks and bonds can fall together, the case for systematic diversification depends on surviving uneven returns, drawdowns, and difficult allocation decisions.
- 1Managed futures can diversify portfolios when traditional stock-and-bond correlations fail, but their returns arrive unevenly and unpredictably.
- 2Investors should assess strategies by correlation, genuine alpha, and portfolio diversification rather than by technical labels alone.
- 3Broader adoption depends on explaining systematic strategies through portfolio outcomes instead of jargon, narrow distinctions, or crisis hindsight.
Don't miss
Andrew Beer explains why systematic tactical exposure can perform functions investors struggle to execute consistently through human judgment.
The brief
Andrew Beer and Niels Kaastrup-Larsen examine why the 60/40 framework is under pressure, especially when stocks and bonds decline together and long-term forecasts lose credibility.
The case for managed futures rests on tactical diversification and crisis alpha, but the conversation stresses that different crises reward different strategies and no single approach has a crystal ball.
Andrew Beer’s allocator masterclass focuses on the hard part: CTA returns can be lumpy, drawdowns can test commitment, and timing an allocation is difficult even when the rationale is sound.
The discussion reframes systematic investing as a portfolio-construction tool, separating genuine diversification from related equity exposures and alpha from embedded equity risk.
The closing argument is about communication as much as performance: the industry must explain how systematic strategies improve outcomes without burying allocators in technical language.
What was said on this episode
30 statements · 14 positive · 12 negative · 2 mixed · 2 neutral
Equity markets increasingly resemble venture-capital investing.
“The entire equity markets have become one crazy venture capital play.”
Listen at 0:00
Tactical allocation helps, but discretionary human control is dangerous.
“having some tactical is good. But you know it's also dangerous to hand the keys of that car to humans.”
Listen at 0:19
AI dramatically lowers barriers to starting new businesses.
“it is dramatically, in a scale, it's unimaginably lowered the barriers to entry to starting new businesses.”
Listen at 5:15
AI will cause major disruption and stimulate entrepreneurship.
“There's going to be an enormous amount of disruption, but I think what you'll see is an entrepreneurial expression of entrepreneurial hunger”
Listen at 6:09
Innovation is inherently difficult to predict.
“the nature of innovation is we can't see it coming.”
Listen at 7:12
Ten-year asset-class and correlation forecasts are impossible to make accurately.
“It is absolutely impossible to make those predictions over the next 10 years”
Listen at 17:21
Capital-markets assumptions used in asset allocation are consistently wrong.
“the assumptions are always wrong.”
Listen at 18:04
Adding bonds at the peak of the bond bubble was among the worst allocator mistakes.
“It is among... The worst mistakes an allocator could make at the very peak of the bond bubble, you add to your position.”
Listen at 19:58
Human investors are poor at timing markets.
“Human beings are terrible market timers.”
Listen at 23:03
Diversification improves portfolios without requiring additional expected return.
“diversification is good. We know it's the one true free lunch in finances.”
Listen at 23:43
Traditional asset allocation discourages rapid or tactical decisions.
“The ethos is don't do anything fast. Don't be rash. Don't be tactical.”
Listen at 24:01
Stock-bond relationship breakdown challenges the simple 60/40 portfolio.
“the breakdown in the relationship between stocks and bonds is really challenging the simple, easy construct of I own, want 60% S&P 500 and 40%, you know, us corporate bonds and I'm done that.”
Listen at 26:08
CTA indices reduce the idiosyncratic risk of individual managers.
“the reason that ends up being very, very important is because you're trying to reduce the idiosyncratic risk of a given manager”
Listen at 28:39
Managed futures funds profit from large price moves away from consensus.
“managed futures funds make money when there are big price moves away from consensus”
Listen at 34:04
Managed futures should structurally perform well during crises.
“it's a strategy that structurally should do well in a crisis.”
Listen at 34:26
Managed futures are likely to make money during a severe equity decline.
“I would put my money on managed futures making money during that period.”
Listen at 35:29
CTAs have slightly negative correlation with traditional assets.
“CTAs as a space have slightly negative correlation.”
Listen at 37:26
The CTA space generated approximately 330 basis points of alpha over 27 years.
“alpha generation for the CTA space for the past 27 years, about 330 basis points.”
Listen at 39:00
The SocGen CTA Index had a 16% maximum monthly drawdown over 27 years.
“the max drawdown on a monthly basis of the stock gen CTN it's over 27 years is 16%.”
Listen at 40:13
The tactical nature of managed futures helps preserve capital.
“The tactical nature of it is also a capital preservation tool.”
Listen at 41:14
CTA returns are unevenly distributed across time.
“the lumpiness of returns”
Listen at 49:51
Bonds currently provide no portfolio value.
“bonds have no value today.”
Listen at 55:22
Owning only stocks can offer the same risk as owning stocks and bonds.
“You should just forget about bonds and just own stocks. If that's your, you have the same risk.”
Listen at 55:28
Strategic asset allocation forces diversification despite investor reluctance.
“Strategic asset allocation. It forces you to diversify when people hate to diversify.”
Listen at 57:47
Strategic allocation wrongly discarded beneficial tactical allocation.
“What you've done, though, is you've thrown out the tactical baby with the bathwater. Tactical is good.”
Listen at 58:02
Human control of tactical allocation creates danger.
“it's also dangerous to hand the keys of that car to humans.”
Listen at 1:00:35
Systematic tactical strategies can make portfolios more adaptive.
“it can increase your ability to be more adaptive in the markets.”
Listen at 1:01:33
Speaking with more managed-futures managers can increase allocator confusion.
“the more people I talk to in his face, the more confused I get.”
Listen at 1:08:12
Excessive technical focus discourages broader managed-futures adoption.
“the problem with the obsessive focus on the technical side of it is that it scares away most other people.”
Listen at 1:09:32
Managed-futures marketing should use asset allocators’ language.
“the narrative has to be in the language of the asset allocator.”
Listen at 1:14:42
Statements are attributed to the speaker as said on the episode and reflect their view at the time, not PodLume's. They are not advice.