Bonds vs Gold vs Managed Futures: A 25-Year Perspective
Rethinking traditional asset allocation
October 2026. Reading Time: 10 Minutes. Author: Nicolas Rabener.
SUMMARY
- Gold would have diversified best over the last 25 years
- Bonds and managed futures provided similar diversification benefits
- Bonds are likely to become riskier going forward
INTRODUCTION
In our recent article, Bonds vs. Gold vs. Managed Futures: A 100-Year Perspective, we concluded that investors can replace U.S. government bonds and gold with managed futures. Given that the latter can allocate to either and capture trends in both fixed income and safe-haven assets like gold, this was perhaps not surprising.
However, the managed futures index we used was largely a backtest from AQR and did not reflect realized returns of funds. Backtested returns are typically overstated, which implies the analysis should be viewed with some skepticism.
Given this, we replicate the analysis over the last 25 years, where realized returns are available.
PERFORMANCE
We use the SG Trend Index, which provides equal-weighted exposure to the 10 largest CTAs, from 2000 to 2019, and then the iMGP DBi Managed Futures Strategy ETF (DBMF) thereafter, which seeks to replicate this index’s returns. Low-cost ETFs are readily available for exposure to the U.S. 10-Year Treasury Bond and gold (read Bonds vs. Managed Futures: A 100-Year Perspective).
The 2000 starting point comes from the SG Trend Index’s inception and coincides with the implosion of the tech bubble. Over the last 25 years, gold performed best, and bonds performed worst.
