Portfolio Builder
Designing Diversified Managed Futures Portfolios
Advanced Alpha Advisers works with family offices and institutional investors to construct diversified portfolios of managed futures strategies.
Rather than allocating to a single manager, investors often build multi-manager portfolios designed to diversify trading styles, time horizons, and market exposures.
Why Multi-Manager CTA Portfolios
Allocating to multiple strategies can improve portfolio stability and reduce dependence on any single trading approach.
Benefits may include:
• Diversification across systematic and discretionary strategies
• Exposure to different trading horizons (short-term, medium-term, long-term)
• Reduced strategy-specific drawdown risk
• Improved portfolio risk balance
No single strategy performs well in all market environments. Portfolio construction focuses on combining strategies that behave differently across market regimes.
Example Portfolio Construction Framework
A diversified managed futures allocation may combine multiple strategy types.
Illustrative example:
| Strategy Type | Role |
|---|---|
| Short-Term Systematic | Tactical trading and volatility capture |
| Medium-Term Trend Following | Trend participation across asset classes |
| Quantitative Macro | Macro regime signals |
| Options / Volatility Strategies | Convexity and crisis diversification |
This structure can help create multiple sources of return within the managed futures allocation.
Portfolio Design Considerations
When constructing CTA portfolios we evaluate:
• strategy correlations
• volatility targets
• drawdown characteristics
• capital efficiency and margin use
• operational infrastructure and transparency
The objective is to design a portfolio where risk contributions are balanced across strategies rather than concentrated in a single manager.
Implementation Structures
CTA portfolios may be implemented through:
• Separately managed accounts (SMA)
• managed futures funds
• hybrid portfolio structures
The appropriate structure depends on investor preferences regarding liquidity, transparency, and operational control.
Ongoing Portfolio Oversight
Portfolio construction is an ongoing process.
Oversight may include:
• performance monitoring
• correlation and risk analysis
• periodic rebalancing
• evaluation of new managers or strategies
Who This Is For
This framework is designed for:
• family offices
• Qualified Eligible Participants (QEPs)
• institutional investors allocating to alternative strategies
Discuss Portfolio Construction
If you are evaluating managed futures allocations or building a diversified CTA portfolio, Advanced Alpha Advisers can assist in reviewing portfolio structure and manager selection.