The Campbell Managed Futures strategy applies traditional and alternative trend-following methods combined with macro (non-trend following) strategies to systematically exploit opportunities through the use of price-based and non-price-based data. Some trend-following models trade all available markets, while others focus on specific sectors or certain factors. The lowly correlated macro strategies in the portfolio are intended to complement that trend-following exposure. By applying carry, spread and directional models, those macro strategies use relative value and fundamental themes to systematically exploit asset mispricings.
The Campbell Managed Futures Portfolio seeks to generate attractive risk-adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio of futures and forward contracts in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The Campbell Managed Futures Portfolio consists of underlying investment strategies, both trend following and non-trend following in nature, that aim for low correlation and are diversified by investment style, information source, investment holding period and instrument.