The Nobel Prize winning economic theory called Modern Portfolio Theory shows the relation of risk versus return in the construction of a portfolio.
The graph below shows a Traditional Portfolio of 50% stock and 50% bonds offers much higher risk and for a lower return compared to a portfolio including managed futures. Just by adding 20% managed futures, along with 40% bonds and 40% stock, offers significantly reduced risk with significantly increased return.
Potential Impact of Managed Futures on the Traditional Portfolio Jan.1987 - Feb. 2008
Source: CME Group (Stock - MSCI World, Bond - JP Morgan Gov Bond Global, Managed Futures - CASAM CISDM CTA Eq Weighted)
Past performance is not a guarantee of future results. Unusually high returns may not be sustainable. Investment return and principal value will fluctuate with changing market conditions so that shares, when redeemed, may be worth more or less than their original cost. Returns assume the reinvestment of all dividends and capital gain distributions.Investment return and principal value will fluctuate and it is possible to lose money by investing. Current performance may be lower or higher than the return figures quoted. There are risks involved with investing, including the risk of loss of principal. There is no assurance that the investment process will consistently lead to successful results. You should consider investment objectives, risks, and charges and expenses carefully before you invest.
