November 2018 | Public Version

Integrating managed futures into a portfolio historically resulted in higher returns, reduced drawdowns, and lower volatility. As indicated in the chart below, a 10% or higher allocation to managed futures exposure would have significantly improved portfolio performance. The need for an asset class like managed futures continues to grow in today’s post-quantitative-easing environment where the five traditional asset classes (stocks, bonds, gold, real estate, and cash) may no longer be as effective in reducing portfolio risk, while allowing investors to achieve their long-term goals. Throughout 2018, we published research on managed futures and what we believe makes it compelling as the next asset class. In this report, we summarize our key findings and provide considerations for integrating managed futures exposure into a portfolio.

Based on monthly return data from 12/31/1979 to 10/31/2018. Source: Bloomberg LP.

Return per risk calculated as annualized return divided by standard deviation.

¹For illustrative purposes only. The notional exposure value for managed futures is typically higher than the money invested as a result of the inherent leverage in managed futures products (i.e., $10 may buy $40 in exposure). In terms of dollars invested, a 50/70 Portfolio may look like 50% U.S. Equities, 40% cash and cash equivalents and 10% managed futures investments (100% total).

Historical annualized returns, risk (standard deviation) and maximum drawdowns based on monthly return data for BarclayHedge CTA Index (Managed Futures), S&P 500 Price Index (U.S. Equities), MSCI World Index (World Stocks), Bloomberg Barclays US Aggregate Bond Total Return Index (Bonds), FTSE NAREIT All Equity REITS TR Index (Equity REITs), S&P GSCI TR Index (Commodities), and LBMA Gold Price PM (Gold) from 12/31/1979 to 10/31/2018. Blended indices assume a monthly rebalance to the target allocation. Source: Bloomberg LP.

Alternative investments may not be suitable for all investors and an investment in alternative funds is suitable only for investors who can bear the risks associated with the illiquidity of the fund’s shares and should be viewed as a long-term investment.