CTA/Managed futures managers - What is happening behind the averages?

A look at early estimates suggests that CTA / managed futures managers, on average, generated zero return for the month, yet a look at a sample of managers shows a large degree of dispersion, over 20% in a month. The median was also zero. Some managers provided protection and others matched the equity decline. The challenge for any investor is to find out which side of the dispersion continuum their choice will fall. This is not an easy task, but some questions will make allocation decision easier.

• How many market traded? More markets offer more diversification.
• How much equity exposure? A portfolio can be wrong-footed on an equity reversal to the downside in the short run.
• How fast will the model adjust to different shocks? Very long trend models may not react to fast changes. 
• Are their stop-losses? Stops offer protection from shocks.
• Is there volatility targeting and positioning? Volatility targeting may cause delevering at the wrong time.
• Are other strategies used beyond trend-following? This balance can provide diversification during stale time but may hurt when markets move.

These questions scratch the surface and there are not hard rules on what will happen. A strong review of shock periods using daily data is required, but last month again showed that all managed futures managers are not same.