Why do managed futures often perform well in crises?

Trend-following CTAs build short positions in falling assets (equities, credit) and long positions in rising safe havens (bonds, gold, USD). Crises create strong, sustained trends that CTAs capture.

What is the time-series momentum signal?

TSMOM goes long assets with positive 12-month return and short assets with negative 12-month return. Unlike cross-sectional momentum, it bets on each asset's own trend rather than its rank vs. peers.

Managed Futures CTA Analytics Calculator

Analyze managed futures / CTA strategies: trend-following signal strength, time-series momentum, diversification benefit vs. equity/bond portfolios, and option-like payoff profile in equity tail events.

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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Analyze managed futures / CTA strategies: trend-following signal strength, time-series momentum, diversification benefit vs. equity/bond portfolios, and option-like payoff profile in equity tail events. Use the managed futures result to inform your calculation.

Managed Futures CTA Analytics Calculator

How to Use

Frequently Asked Questions

Why do managed futures often perform well in crises?

What is the time-series momentum signal?