Managed Futures vs S&P 500
The table below shows the five worst periods for the S&P 500, from the beginning of 2002 to the end of 2011. These negative returns are compared to returns from managed futures, as represented by the Barclays CTA Managed Futures Index.
5 Worst Periods for S&P 500 [2002–2011]
Period | S&P 500 | Managed Futures |
7-16-1990 to 10-11-1990 | -19.2% | 9.7% |
11-28-1980 to 8-12-1982 | -27.1% | 38.8% |
8-25-1987 to 12-4-1987 | -33.5% | 9.7% |
3-24-2000 to 10-9-2002 | -47.4% | 22.5% |
10-9-2007 to 3-9-2009 | -55.2% | 18.3% |
The next table covers the same period (2002–2011) and shows annualized returns for four different balanced portfolios. During this period, having a portion in managed futures helped limit downside risk but required a modest to moderate weighting in managed futures, something the client may perceive as being unacceptable—either due to the long-term track record of managed futures or their perceived risk (when thought of as a stand-alone asset).
5 Worst Periods for S&P 500 [2002–2011]
| 60/40 | 10% MF* | 20% MF* | 30% MF* |
Annualized Return | -19.2% | 9.7% | -19.2% | 9.7% |
Standard Deviation | -27.1% | 38.8% | -27.1% | 38.8% |
Maximum Drawdown | -33.5% | 9.7% | -33.5% | 9.7% |
60/40 = 60% S&P 500 and 40% Barclays Aggregate Bond Index
* MF = managed futures as represented by the Barclays CTA Managed Futures Index