"Managed futures strategies use trend-following models to go long or short across commodities, currencies, interest rates, and equity index futures. The critical feature is directionality: these funds do not need markets to go up. They need markets to move persistently in one direction."
"Crisis alpha refers to the ability of managed futures strategies to capture large, sustained moves in rates, currencies, and commodities during equity selloffs. This positioning allows them to harvest market movements whether they trend up or down."
"A 10% managed futures allocation in a 60/40 portfolio historically improves Sharpe ratio and reduces maximum drawdown by smoothing out the periods when both stocks and bonds fall together."
Managed futures strategies utilize trend-following models to capitalize on market movements across various asset classes. These strategies thrive during periods of market volatility, such as tariff shocks or sustained trends in currencies and commodities. They exhibit low correlation to equities during downturns, providing a hedge against equity selloffs. While they may underperform in stable bull markets, a 10% allocation in a diversified portfolio can enhance risk-adjusted returns and reduce drawdowns. The KraneShares Mount Lucas Managed Futures Index Strategy ETF exemplifies this approach with a focus on systematic trend-following.
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