Bonds vs Managed Futures: A 100-Year Perspective

Rethinking traditional asset allocation

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

  • Managed futures generated a significantly higher long-term return than bonds
  • U.S. Treasury Bonds experienced a 61% loss in real terms historically
  • Correlations of bonds and equities are elevated, limited diversification benefits

INTRODUCTION

Most investors have portfolios that basically represent combinations of equities and bonds. Most investors buy bonds for diversification. And most investors are likely unaware that stocks and bonds are currently highly correlated, significantly reducing the diversification benefits bonds have historically provided.

For much of the 2000s, long-term U.S. government bonds benefited from steadily declining yields, generating attractive returns while maintaining a negative correlation with equities. That dynamic changed abruptly in 2022, when the U.S. Federal Reserve began aggressively raising interest rates to combat inflation. In real terms, U.S. 10-year Treasury bonds lost nearly 40% of their value – a drawdown that many investors, accustomed to stable bond returns, considered almost unthinkable.

While bonds struggled in 2022, managed futures strategies performed strongly, largely because they could shift from long to short bond positions as trends reversed. This resilience has fueled growing interest in managed futures and led to the launch of numerous ETFs offering access to the strategy (read Combining Risk-Managed Equities and Managed Futures – II).

Despite this renewed attention, many investors remain skeptical about the long-term performance of managed futures. In this research article, we compare the performance of bonds and managed futures over the past 100 years.

PERFORMANCE OF BONDS VS MANAGED FUTURES FUNDS

Managed futures funds, also known as CTAs or trend-following funds, take long and short positions across a wide range of asset classes based on recent price trends. A portfolio may be long gold, equities, and bonds while simultaneously short wheat, oil, and the Japanese yen against the U.S. dollar. As a result, the funds tend to be highly diversified and uncorrelated to equities and bonds.