CTAs: With or Without Trend Following in Equities?

Evaluating the equity risk exposure within managed futures

Nicolas Rabener
10 min read
24 Jun 2024

SUMMARY

  • CTAs benefitted significantly from pursuing trend following in equities
  • Excluding equities from a managed futures strategy would have decreased the return
  • However, CTAs without equities would still have generated attractive diversification benefits

INTRODUCTION

There often is a large discrepancy between what investors are talking about and what they are allocating to. Take managed futures as an example, these have become more popular in financial blogs and threads on X as they generated attractive diversification benefits in 2022 when stocks and bonds declined.

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