Managed Futures, CTAs and Trend Following

Trend following is the trading system with the best evidence in this knowledge base and one of the hardest to live with. The rule is simple: buy futures markets that have been rising, sell those that have been falling, size each position by its volatility, and hold until the trend reverses. Peer-reviewed research finds it profitable across ~58 futures and forwards for more than 25 years (Moskowitz, Ooi and Pedersen, Journal of Financial Economics, 2012) and, in a longer backtest, across 67 markets back to 1880 (Hurst, Ooi and Pedersen, Journal of Portfolio Management, Fall 2017). A live industry of commodity trading advisors (CTAs) has run it for fifty years — Campbell & Company has traded the Campbell Fund since 1 Jan 1972, Dunn Capital since 1974, Man AHL since 1987 — and their records are published in indices. Those indices show why trend following earns its reputation as "crisis alpha": the SG Trend Index gained ~+27.3% in 2022, its best year, and the SG CTA Index ~+20.1%, while US stocks and bonds fell together (Société Générale indices via Hedgeweek and AlphaWeek, reported). They also show why investors give up on it: the SG Trend Index lost ~3.3% in 2023 (StoneX, reported), fell ~10.5% in the first half of 2025 before ending the year up only ~2.4% (Alternatives Watch; Top Traders Unplugged, reported), and spent most of 2011–2019 earning little. Industry assets are large and growing again: BarclayHedge put managed-futures assets at ~$364.8bn at the end of 2025 and ~$425.5bn at the end of Q1 2026 (BarclayHedge/ION Analytics table, units inferred as $bn). This section explains the CTA as a business and a registration category, the rules of trend following, the founders (Dunn, Campbell, the Turtles and Chesapeake, Man AHL, Winton and Aspect), the indices and what they show by year, crisis alpha in 2008 and 2022, the lean decade, the research and its replication by cheap ETFs, fees and capacity, and how to judge a trend follower's record.