Research

Crisis alpha with a higher return potential

Recent market volatility is a powerful reminder of the value of including trend–following strategies in a portfolio due to their strong defensive properties.

By: Roberto Croce Avishek Hazrachoudhury Sladja Carton Suren Karapetyan

Updated: 4/14/2026

Key Takeaways

Trend-following strategies, backed by their long and proven track record of defensive performance, have played a critical role in portfolio crisis risk offset.
Our research found that risk-taking in a trend-following approach is dominated by beta timing, rather than relative value investments implied by trend
positioning within asset classes.
Furthermore, beta timing is the main driver of “crisis alpha” of trend following, exhibiting a negative correlation to equities, particularly during periods of market stress. In contrast, relative revalue contributes very little to crisis alpha.
This suggests it may be possible to keep the crisis alpha characteristics intact while reallocating the relative value component toward a richer set of alpha signals.
Increasing exposure to trend beta and complementing it with a market neutral strategy, such as carry, results in a more resilient portfolio with a similar crisis alpha profile but higher return potential, particularly in environments where equities are performing well.

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Crisis alpha with a higher return potential

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