The managed futures industry has a long history of providing risk-mitigating properties to investors’ portfolios. In this paper, we take a closer look at the characteristics that make managed futures a valuable risk-mitigating, and performance-enhancing, part of a portfolio. We discuss the concept of ‘crisis alpha’: the ability to generate strong performance during traditional crisis periods. Additionally, we show how adding managed futures to a traditional portfolio can lead to improved risk and return characteristics. Finally we demonstrate the well-known ‘managed futures smile’: the ability of managed futures to perform well in both equity bear and equity bull markets.