Managed futures

Time-series momentum stands as one of the most reliable and heavily backtested anomalies in quantitative finance, serving as a foundational alpha source for modern managed futures and trend-following strategies. However, a recent academic paper by Matti Suominen and Erik Hjalmarsson, titled “Boundaries of Time Series Momentum,” uncovers a structural vulnerability that every practitioner must account for. The authors demonstrate that while equity market trends persist reliably during normal business cycles, they systematically break down and aggressively reverse when market valuations reach historical extremes. This phenomenon establishes clear macro “boundaries” where chasing the trend shifts from a highly profitable strategy to a severe drawdown risk.

A single backtest can show that strategy was profitable, but it does not always show whether the strategy was competitive. This is especially true for systematic futures strategies. A trend-following strategy can have a positive Sharpe ratio, a long live-like performance history, and a reasonable drawdown, but those numbers are difficult to interpret without a relevant comparison group.
A broad equity index is often not the right benchmark for this type of strategy. A monthly rebalanced multi-asset futures strategy has a different objective, different risk profile, and different return drivers than a long-only stock index. A more useful question is whether the strategy performs well compared with other systematic trend-following futures strategies.
This case study shows how the Quantpedia API can be used to build a custom peer group benchmark for strategy evaluation. The workflow has two steps. First, Quantpedia strategy metadata is used to screen and define a comparable peer group. Second, the historical equity curves of the selected strategies are downloaded, converted into daily returns, and aggregated into an equal-weighted peer group benchmark.