Articles for Financial Advisors

Managed Futures vs S&P 500

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

 

 

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