Managed futures may not generate crisis alpha if there is no crisis, a sustained decline in equities. In addition, managed futures may not provide as strong a cushion diversification effect during normal times since the correlation between equities and managed futures is slightly positive, and there is no managed futures yield.
So how can an investor get the best of both worlds, the cushion protection from bonds and the crisis protection from managed futures? It can be done by using the inherent advantage of margin in futures.
Managed futures generally have a margin-to-equity level of under 20%; consequently, the excess cash, non-margin funds, can be managed as a corporate bond portfolio. Similarly, managed futures can be employed as an overlay on a bond portfolio to provide both current yield and crisis alpha. The combination will be uncorrelated with equities but, as a combination, will generate a better stand-alone return than a cash-futures combination or a bond-only allocation.
I am working on a more extended research piece to show the numbers for why this combination works.