CTAP combines long US equity exposure with a managed futures overlay, attempting to capture stock market returns while using trend-following strategies across commodities, currencies, and rates to provide crisis alpha when equities stumble.
How It Works
The fund maintains 100% notional exposure to US equities through derivatives while simultaneously running a systematic managed futures program. The futures sleeve follows price trends across multiple asset classes, going long or short based on momentum signals. This creates a barbell structure where the managed futures component can potentially profit during equity drawdowns while adding minimal drag during bull markets.
Key Features
- Portable alpha structure keeps full equity exposure while layering on uncorrelated returns
- Managed futures historically shine during sustained equity bear markets, unlike traditional hedges
- Single-ticker access to a strategy typically requiring separate allocations and rebalancing
Risks
- Whipsaw markets can hurt both sleeves simultaneously — losing on stocks and trend reversals
- Derivatives-heavy structure means tracking error and potential funding costs during market stress
- Brand new fund with zero track record attempting a complex strategy that could fail to deliver
Who Should Own This
Best suited for investors who want equity-like returns but lose sleep during corrections. Works as a core holding replacement for those who typically panic-sell during 20%+ drawdowns. The managed futures overlay acts like portfolio insurance that can actually pay you during crises rather than just limiting losses.