Market Cycles and Managed Futures Drawdowns

Alpha Simplex

Kathryn Kaminski

Research

8 Pages

Kathryn Kaminski examines the behavior of managed futures strategies across various market cycles. She finds that drawdowns in trend-following strategies differ significantly depending on market context, with faster recoveries often occurring during equity downturns and more prolonged lags in bullish environments.

Key Takeaways

Drawdowns vary by cycle: Trend-following losses deepen or shorten depending on the prevailing equity market environment.
Lags in bull markets: Trend strategies often recover more slowly when drawdowns occur during bullish equity phases.
Faster rebound in downturns: Trend-followers tend to bounce back more quickly when equities are under prolonged stress.
VIEW FULL REPORT

Join our newsletter to have all of this content + Exclusive Newsletter Bonus Content delivered to your inbox every week

Related Content

Alternative Assets
State of Startups 2025
Feb 2026
Market Outlooks
2026 U.S. Real Estate Market Outlook
Feb 2026
Alternative Assets
Alternative Investments: Outlook 2026
Jan 2026

The information contained in this communication is of a general nature for informational purposes only, and does not constitute financial, investment, tax or legal advice. The information contained within this communication reflects the opinions of those referenced herein, and do not reflect the opinions of The Idea Farm, L.P. and its affiliates. Such opinions expressed herein are as of the date of production and are subject to change at any time without notice due to various factors, including changing market conditions or tax laws. Where data or information prepared by third parties is presented, no representation, warranty, or undertaking, expressed or implied, is given to the accuracy or completeness of such information by The Idea Farm, L.P. or any other person. While such sources are believed to be reliable, The Idea Farm, L.P. does not assume any responsibility for the accuracy or completeness of such information and does not undertake any obligation to update the information contained herein as of any future date. Any links to third party websites are offered only for use at your own discretion. The Idea Farm L.P., and its affiliates, are separate and unaffiliated from any third parties listed herein and are not responsible for their products, services, policies or the content of their website. All investments are subject to varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy or product referenced directly or indirectly in this communication will be profitable, perform equally to any corresponding indicated historical performance level(s), or be suitable for your portfolio. Past performance is not an indicator of future results.

Scroll to Top