01 Jan Learning From Auspice Capital's "The CTA VAI (Value Added Index)"

Managed Futures funds consistently add value over the long term including during financial crisis periods.

In this article, Absolute Momentum will be used interchangeably with trend following or time series momentum. Relative Momentum will be used interchangeably with cross-sectional momentum or relative strength.

The CTA Value Added Index (VAI) was developed to demonstrate the risk-adjusted benefit of including an allocation to Managed Futures strategies within a core equity benchmark portfolio.

The paper shows that Managed Futures funds consistently add value over the long term including during financial crisis periods.

Research Paper: The CTA VAI (Value Added Index)

Author: Tim Pickering

Company: Auspice Capital Advisors