{
  "slug": "managed-futures",
  "name": "Managed Futures (CTA)",
  "aliases": [
    "CTA",
    "Trend-Following",
    "Systematic Macro"
  ],
  "category": "managed-futures",
  "child_strategies": [
    "trend-following",
    "short-term-mean-reversion",
    "carry-cta"
  ],
  "description": "A systematic strategy that trades a diversified basket of futures contracts (equity indices, rates, FX, commodities) using rules-based momentum, trend, and/or mean-reversion signals.",
  "investment_thesis": "Markets exhibit persistent trends driven by slow information diffusion, herding, and risk transfer; rules-based capture of these trends earns a positive long-run risk premium with low correlation to traditional assets.",
  "edge_source": "Diversification across many uncorrelated markets, disciplined risk management, and exploitation of behavioral biases.",
  "typical_holding_period": "1-6 months for trend; intraday to weeks for short-term",
  "typical_leverage": {
    "min": 3,
    "max": 15,
    "typical": 6
  },
  "expected_volatility": {
    "min": 10,
    "max": 25,
    "unit": "annualized-pct"
  },
  "expected_sharpe": {
    "low": 0.4,
    "high": 0.9
  },
  "drawdown_profile": "Mean-reverting whipsaw markets cause the most pain; long stretches of small losses punctuated by large positive months. Crisis-alpha during sustained dislocations.",
  "correlation_to_equities": 0,
  "correlation_to_bonds": 0,
  "liquidity_profile": "daily",
  "instruments_used": [
    "equity index futures",
    "interest-rate futures",
    "FX futures",
    "commodity futures"
  ],
  "asset_classes": [
    "multi-asset"
  ],
  "primary_risks": [
    "whipsaw / range-bound markets",
    "model risk",
    "execution costs",
    "regime shifts in volatility"
  ],
  "macro_regime_sensitivity": {
    "rising_rates": "Favorable when sustained",
    "falling_rates": "Favorable when sustained",
    "high_volatility": "Favorable if directional",
    "low_volatility": "Hostile (whipsaw)",
    "recession": "Often produces 'crisis alpha'",
    "bull_market": "Favorable when persistent"
  },
  "fee_structure": {
    "management_fee": "1.0%-2.0%",
    "performance_fee": "15%-25%",
    "high_water_mark": true
  },
  "key_metrics": [
    "Sharpe ratio",
    "Calmar ratio",
    "skew",
    "crisis-alpha capture",
    "diversification ratio"
  ],
  "notable_practitioners": [
    "Bill Dunn",
    "John W. Henry",
    "AHL (Man Group)",
    "Winton",
    "Aspect"
  ],
  "exemplar_funds": [
    "man-ahl",
    "winton",
    "aspect-capital",
    "campbell-co"
  ],
  "related_terms": [
    "trend-following",
    "momentum",
    "futures",
    "leverage",
    "crisis-alpha"
  ],
  "related_strategies": [
    "global-macro"
  ],
  "historical_drawdowns": [
    {
      "year": 2009,
      "event": "Whipsaw post-crisis",
      "estimated_drawdown_pct": -10
    },
    {
      "year": 2012,
      "event": "Range-bound markets",
      "estimated_drawdown_pct": -8
    },
    {
      "year": 2018,
      "event": "Trend-reversal whipsaw",
      "estimated_drawdown_pct": -12
    }
  ],
  "academic_foundations": [
    "Moskowitz, Ooi, Pedersen — Time-Series Momentum (2012)",
    "Hurst, Ooi, Pedersen — A Century of Evidence on Trend-Following Investing (2017)"
  ]
}