Equity + Managed Futures at a glance
Equity + Managed Futures is a fixed-allocation portfolio by BestFolio Research, rebalanced monthly. Backtested 1988-02-29 to 2026-07-03 (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 2026-07-03
- 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.
Equity + Managed Futures: frequently asked questions
- What is Equity + Managed Futures?
- 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.
- Who created the Equity + Managed Futures strategy?
- Equity + Managed Futures was developed by BestFolio Research.
- What is the historical return and maximum drawdown of Equity + Managed Futures?
- Backtested from 1988-02-29 to 2026-07-03, Equity + Managed Futures returned 9.7% CAGR with a -31.9% maximum drawdown and a Sharpe ratio of 1.03. Past performance does not guarantee future results.
- How often is Equity + Managed Futures rebalanced?
- Equity + Managed Futures is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Equity + Managed Futures a fixed or tactical strategy?
- Equity + Managed Futures is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.
Backtest Performance (1988-02-29 to 2026-07-03)
| 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 | 3335.5% |
| Backtest Period | 38.3 years |
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- BestFolio Research
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