Equity + Managed Futures at a glance
Equity + Managed Futures is a fixed-allocation portfolio by BestFolio Research, rebalanced monthly. Backtested 1988-02-29 to 2026-06-25 (38.3 years): 9.7% CAGR, 1.03 Sharpe, -31.9% max drawdown, 10.6% volatility.
- Type
- Fixed Allocation
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1988-02-29 to 2026-06-25
- CAGR
- 9.7%
- Sharpe
- 1.03
- Max Drawdown
- -31.9%
- Volatility
- 10.6%
Equity + Managed Futures — Fixed Allocation Portfolio
US equities paired with managed futures and gold for genuine diversification across regimes. 30% VTI (total US market), 20% QQQ (Nasdaq-100 growth), 35% KMLM (managed futures trend-following), and 15% GLD (gold). The managed-futures sleeve is the one diversifier that tends to profit when stocks and bonds fall together, as in 2022. Rebalanced monthly.
Backtest Performance (1988-02-29 to 2026-06-25)
| Metric | Equity + Managed Futures |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.7% |
| Maximum Drawdown | -31.9% |
| Sharpe Ratio | 1.03 |
| Sortino Ratio | 1.79 |
| Annualized Volatility | 10.6% |
| Calmar Ratio | 0.30 |
| Total Return | 3309.5% |
| Backtest Period | 38.3 years |
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- BestFolio Research
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