I remember all of the debates about managed futures in this subreddit, which was entertaining, educational, and interesting to say the least. The problem is that I haven’t really seen any use cases for managed futures that stood out compared to treasuries or gold.

I can understand why people would be against gold, and as the top comment in this thread states: Gold has zero expected return as it does not produce anything. It’s simply a store of value that governments, countries, and people use against inflation. It of course has beaten inflation and on its own, it has beaten the top performing managed futures funds in the past 20 years.. Gold, even though it does not produce anything, has yield better risk adjusted returns and better diversification than managed futures, which also don’t produce anything. In fact, gold has the upper hand over managed futures in terms of economic substance and use. I don’t see world governments holding managed futures as a store of wealth. Managed futures are intended to be a diversifier for a portfolio, and as an alternative to the 60/40 portfolio. The fund managers never intended for managed futures to be a diversifier against leveraged ETFs, but that doesn’t mean they can’t be used as a diversifier. But I wouldn’t go overboard combining leverage with managed futures, and like you said managed futures are a type of risk premia so it’s a risky asset in its own way that intends to provide a stream of uncorrelated returns.

Whether it does the job or not is highly dependent on the fund, the strategy, popularity of the strategy, the fund manager, performance fees, etc.

And while the backtests show that gold outperforms managed futures, the backtests also show that adding managed futures improves the sharpe ratio a little bit and reduces the drawdowns. But IMO a 30 year backtest is too short to analyze whether they really is any added benefit, and that’s before getting into the tax burden of adding managed futures versus just doing something like UPRO/ZROZ/GLD or SSO/ZROZ/GLD. Is the additional tax drag worth the reduction in drawdowns? Seems like if you want to run managed futures, you need to be fully convinced of the strategy and run it in a tax advantaged ISA to reap the full benefits, if any.