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Managed Futures vs Factor Investing: A 100-Year Perspective

Rethinking traditional asset allocation

Nicolas Rabener
10 min read
1 Jun 2026

SUMMARY

  • Managed futures generated higher returns than a simple market-neutral multi-factor portfolio
  • Naturally, the factor selection matters
  • Combining both generated the largest diversification benefits

INTRODUCTION

In our recent research report, Bonds vs. Managed Futures: A 100-Year Perspective, we showed that managed futures delivered significantly higher returns and lower drawdowns than U.S. government bonds over the past century. The contrast was particularly striking in real terms, where bonds suffered a 61% drawdown. These findings stand in sharp contrast to conventional asset allocation frameworks, in which bonds occupy a central role while managed futures remain largely absent.

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