Bonds vs Gold vs Managed Futures: A 100-Year Perspective

Rethinking traditional asset allocation

October 2026. Reading Time: 10 Minutes. Author: Nicolas Rabener.
SUMMARY

  • Managed Futures were better diversifiers than bonds or gold over the last century
  • Bonds and gold had more severe drawdowns, especially in real returns
  • Traditional asset allocation is ill-suited for a world with record debt levels

INTRODUCTION

If you could pick only bonds or gold as a portfolio diversifier, which would you choose?

The answer likely depends on the type of bonds and the investment horizon. The U.S. 10-Year Treasury currently yields around 5%, implying an attractive real return of roughly 2%, assuming inflation averages 3% over the next decade. That assumption, however, is easy to challenge given the U.S. government’s large deficits and record debt levels. While financial restructuring in the U.S. seems unlikely in the short to medium-term, the same cannot be said for Japan or China, both of which also carry high public debt alongside declining populations. These conditions have made gold, despite offering no yield, an increasingly attractive safe-haven asset.

Forecasting is a treacherous exercise, prone to unexpected turns. Looking back, however, is far more straightforward – and lets us answer the question with the benefit of hindsight. In this research article, we examine bonds, gold, and managed futures as portfolio diversifiers over the past 100 years.

PERFORMANCE

We use the U.S. 10-Year Treasury for bonds, sourcing this and gold data from Professor Aswath Damodaran’s data library at NYU Stern. For managed futures, we use a backtested managed futures index developed by AQR. Since the AQR index is only available through 2020, we extend the series thereafter using realized returns from the AQR Managed Futures Strategy Fund (AQMIX) (read Bonds vs. Managed Futures: A 100-Year Perspective and Managed Futures vs Factor Investing: A 100-Year Perspective).

When comparing the performance of bonds, gold, and managed futures over the last century, we find similar returns for bonds and gold, but a signific