I wonder what impact (if any) these managed futures mutual funds will have on the markets/trend following..

The AQR Momentum fund describes its strategy as follows,

“The Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months relative to other stocks in the investment universe.

The Fund uses a systematic approach to construct its portfolio that starts with the investment universe, ranks the stocks in the universe by their total return over the prior twelve months excluding the last month, selects those that rank in the top third, weights them by market capitalization, and rebalances at least quarterly.”

This is basically trend following as I understand it, although it is in someways less sophisticated, and in someways more complicated. The relative performance aspect differs from most trend following I am aware of. AQR Hedge Funds used Momentum and other metrics that are more “fundamental” blended together and are long/short strategies.

“Managed Futures” type mutual funds are a huge new market recently opened up. Rydex was the first mover, followed by Direxion, and now AQR. Hopefully, David Harding will soon sub-advise a Mutual Fund to make his strategies available to a wider and less affluent audience.

Actually, a quick google yields this page which explains the difference between the 2.

But I agree with you, this is not a huge philosophical shift for “Cliffy”, just a shift of instruments (diversifying from Equities markets probably)

Cliffy has been into the momentum (trend following) thing since forever.