Managed Futures: Crisis Alpha

What this chart shows

The chart below shows the cumulative performance of a Managed Futures Index versus two traditional asset classes. We highlight three periods where managed futures were able to generate significant outperformance when traditional asset classes, namely equities, experienced sustained periods of volatility and large losses. The adaptability of managed futures strategies allows them to generate Crisis Alpha, profiting from price trends across assets in times of market turmoil. The final circled period also shows the strategy’s ability to generate positive returns, regardless of equity market conditions, illustrative of the strategy’s near zero correlation to traditional asset classes and effectiveness as a diversifier. 

Cumulative Return Managed Futures vs Traditional Asset Classes 

Crisis Alpha





















What it means for investors

The adaptability of managed futures strategies allows them to generate Crisis Alpha. By utilizing a strategy which can earn positive returns in times of crisis, it adds “dry powder” to the broader portfolio, giving investors the option to purchase assets at deeply discounted prices, and potentially enhancing long term returns. 

Performance of Managed Futures Strategy during 10 Worst Months for ASX 300 TR Index

Managed Futures Graph

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