Managed Futures (CTA)
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.
Details
- aliases: CTA, Trend-Following, Systematic Macro
- category: managed-futures
- child strategies: trend-following, short-term-mean-reversion, carry-cta
- 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
- 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: 0.0
- correlation to bonds: 0.0
- 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
- 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
- academic foundations: Moskowitz, Ooi, Pedersen — Time-Series Momentum (2012), Hurst, Ooi, Pedersen — A Century of Evidence on Trend-Following Investing (2017)