Managed-futures guide library
A connected reference from the directional rule to the evidence required for implementation.
Time-Series Versus Cross-Sectional Momentum
Understand own-history direction, relative ranking, and why identical price changes can produce different momentum labels.
Lookback, Decision Frequency and Holding Period
Separate the history used to form a signal from its update schedule, delay and eventual duration.
Moving-Average Trend Rules Without the Mystery
Work through price-versus-mean and fast-versus-slow rules, including ties, warmup and sensitivity to window membership.
Signal Timing and Lookahead: Follow the Information Clock
Trace observation, publication, calculation and delayed use, with practical examples of leakage and missing-data traps.
Reversals and Whipsaw: What Changing Signals Actually Show
Distinguish persistent reversals from repeated threshold crossings, and measure state changes without inventing investment results.
Contract Identity and Expiry: Know What a Futures Price Describes
Identify exchange, product, delivery month, units and settlement terms before interpreting a futures observation.
Continuous Futures Series: A Construction, Not a Contract
Learn how contract selection, switching and blending shape a continuous reference series and limit what it can establish.
Back-Adjustment and the Return Traps Hidden in Smooth Charts
Compare additive and ratio adjustment with checked examples, and learn which differences, ratios and signals remain meaningful.
Roll Schedules and Liquidity: Timing the Change of Contract
Compare calendar and activity-based roll conventions while separating liquidity evidence, information timing and transaction counts.
Contango, Backwardation and Roll: Read the Curve Carefully
Separate a futures curve observed at one instant from price changes through time, roll transactions and realized outcomes.
Quote Units and Contract Multipliers: Make the Arithmetic Match
Convert quotes, ticks and contract counts into consistent dollar sensitivities using specified crude-oil and corn futures examples.
Negative Futures Prices: Contract Context and Arithmetic Limits
Understand the documented May 2020 WTI event and why zero crossings require explicit handling of ratios, logarithms and contract sensitivity.
Volatility Estimation Windows: What the Number Remembers
Understand sampling, window length, annualisation, missing observations and the uncertainty behind a volatility estimate.
Volatility Targeting and Caps: From a Target to a Bounded Exposure
A worked explanation of inverse-volatility sizing, exposure caps, floors, rounding and the limits of a volatility target.
Margin Is Not a Risk Budget
Distinguish initial and maintenance margin from exposure, potential loss and the cash required to keep an account funded.
Correlation and Risk Concentration: Count Exposures, Not Labels
Use covariance, position direction and stress assumptions to distinguish many positions from genuinely different risks.
Cash, Collateral and Liquidity: Funding the Next Obligation
Separate asset value, collateral credit and immediately transferable cash with a worked funding waterfall.
Diversification Without Guarantees
Evaluate diversification across markets, rule horizons and operations without assuming that more holdings ensure protection.
Crisis Performance and Path Dependence
Why a persistent decline, an overnight jump and a fast reversal are different tests for a delayed trend rule.
Drawdowns and Recovery: Depth Is Only Half the Story
Calculate peak-to-trough decline, recovery requirements and underwater duration without confusing deposits or missing data with recovery.
Programme Due Diligence: Questions That Need Evidence
A document-led framework for checking a third-party managed-futures proposal, its identities, controls, costs and evidence limits.
Turnover and One-Way Costs: Count Every Change Once
Define a directional turnover proxy, handle reversals and roll legs, and translate explicit one-way cost assumptions into a budget.
Slippage and Execution Assumptions: Name the Benchmark
A fictional order-book walkthrough showing spread, depth, partial fills and why reference prices do not establish executable fills.
Reproducible Method Comparisons Without Performance Claims
Freeze inputs, timing and tie rules to compare three deterministic directional methods with a two-observation lag and a turnover proxy.
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