Research

Trend-following crisis alpha: Does it come from beta timing or market selection?

Proprietary research from Fidelity analyzes the drivers of crisis alpha in managed futures’ trend-following strategies and argues that complementary approaches can be used to enhance strategy efficiency and stability without giving up defensiveness.

By: Roberto Croce Avishek Hazrachoudhury Sladja Carton Suren Karapetyan

Updated: 4/16/2026

Key Takeaways

Proprietary Fidelity research explores whether the performance of trend-following strategies is driven by the timing of beta exposures or the ability to select markets within each asset class to take relative value positions based on trend signals.
This research follows a four-step framework:

Defines prototypical characteristics of trend-following strategies and how they can be viewed as crisis alpha.
Decomposes trend exposures into beta-timing and relative value portfolios, using a simple trend-following model.
Studies how much each contributes or detracts from crisis alpha.
Considers the benefits of enhancing a trend strategy by investing less in the cross-sectional trend portfolio while using other signals as potential drivers of relative value positioning.

As expected, analysis across key metrics including risk-adjusted returns, correlation, and downside correlation, underscores the unique value of trend-following strategies as a complement to equity, with demonstrated historical ability to perform during periods of market dislocations.
Importantly, the results suggest that it may be possible to keep the crisis alpha characteristics intact while enhancing trend strategies with a richer set of alpha signals in the relative value component of the portfolio.

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Trend-following crisis alpha: Does it come from beta timing or market selection