Unlike typical investors who chase performance, sophisticated institutions often rebalance into managed futures when the strategy is in a drawdown. They take profits after strong years (like 2022) and re-allocate capital during weak periods to maintain strategic exposure.

The most profitable periods for trend following occur when market trends extend far beyond what seems rational or fundamentally justified. The strategy is designed to stay disciplined as prices move to levels few can imagine, long after others have exited.

Conventional definitions of risk, like volatility, are flawed. True risk is an event you did not anticipate that forces you to abandon your strategy at a bad time. Foreseeable events, like a 50% market crash, are not risks but rather expected parts of the market cycle that a robust strategy should be built to withstand.

During profound economic instability, the winning strategy isn't chasing the highest returns, but rather avoiding catastrophic loss. The greatest risks are not missed upside, but holding only cash as inflation erodes its value or relying solely on a paycheck.

Simple replication of managed futures indices is slow and has high tracking error. A superior “informed replication” approach combines backward-looking index data with forward-looking trend system priors and active risk management, resulting in a more robust beta-like exposure.

“Crisis Alpha” is not a guaranteed hedge but the result of a managed futures strategy successfully capturing extreme macroeconomic shifts. The strategy is fundamentally about following major macro themes, with a crisis simply being one of the most intense themes it can follow.

The true value of a large cash position isn't its yield but its 'hidden return.' This liquidity provides psychological stability during market downturns, preventing you from becoming a forced seller at the worst possible time. This behavioral insurance can be worth far more than any potential market gains.

A 50% portfolio loss requires a 100% gain just to break even. The wealthy use low-volatility strategies to protect against massive downturns. By experiencing smaller losses (e.g., -10% vs. -40%), their portfolios recover faster and compound more effectively over the long term.

Contrary to expectations, drawdowns in managed futures frequently occur when equity markets are performing well. The strategy's recovery periods, however, often coincide with equity market turbulence, highlighting its counter-cyclical nature and making it behaviorally difficult to hold.