When CTAs don't deliver expected results

Summary

The video explains why CTA/managed futures strategies sometimes fail to deliver expected crisis protection in the short term. Even though CTAs have historically offered outperformance and crisis alpha, strong prior equity trends left many managers long and needing time to reposition. As new trends develop, their portfolio benefits may return over the medium to long term.

• CTAs historically provided outsized performance and crisis protection.
• Investors often expect crisis alpha over very short timeframes.
• Many CTAs were positioned long strong equity trends before recent market weakness.
• Repositioning takes time, and complementary trends may emerge over the medium-to-long term.