Do futures trading systems fit into your portfolio? It obvioulsy depends upon many things but if you are running a global macro strategy then they definitely should fit. Because of the multi asset class trading approach inherent in global macro, managed futures, also known as futures trading systems have a lot in common with global macro.
The typical futures trading system is a long term trend following program with strict risk management rules. A typical system will have a rule such as buying Donchian six week highs and shorting six week lows, risking one percent of equity per trade, being diversified into at least 50 different markets, all running simultaneously. What this does is give you good risk managed exposure across asset types and allow you to be involved in several trends at once. Most of them wont work out and you will make or lose a little bit of money but some of them will work out extremely well and you will make many multiples of the risk involved. Basically the futures trading system manager is a risk manager first and a return generator second. While they have some bad years they actually have done very well historically as group.
This type of strategy falls well within the boundaries of those acceptable for a global macro portfolio. By using a rules based trend following approach along with discretionary trading you can achieve not just asset class diversification but strategy and time diversification as well. This can and should enable you to achieve far better risk adjusted as well as absolute returns. By using multiple strategies that look at different things you can, as long as they all use risk management, enjoy returns from several unrelated streams.
Many macro managers have stated that they trade at least a small portion of their capital using some kind of futures trading system. This makes total sense since many times you dont have enough great ideas to use all of you capital. In these times you can at least earn some returns from the futures trading system since it is always running.