There are clearly long periods of strong and poor performance. There is an uptrend in performance through the Financial Crisis, but the slope turned down during the post-crisis or QE period. Nevertheless, the second half of 2014 marked a new period of performance. This new era is completely different than past periods. (We looked at log value and see the same pattern.)
Of course, we fitted the entire period which would not be available to investors, but the story holds. If an investor looked at holding a managed futures basket when the non-linear curve slope is rising for the index and selling during periods of declining slope, you would have have positive style tailwinds. This is not a model, but may be a good rule of thumb.