Equity + Managed Futures
US equities paired with managed futures and gold for genuine diversification across regimes. Backtest max drawdown: -32.3%.
Strategy & methodology
US equities paired with managed futures and gold for genuine diversification across regimes.
- Strategy type:
- Fixed allocation
- Rebalance frequency:
- Monthly
- Original publication:
- Not recorded. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (3)
- KMLM: RYMFX x1.2 before Dec 2, 2020
- VTI: VTSMX before May 31, 2001
- VTI: VFINX before May 31, 2001
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
US equities paired with managed futures and gold for genuine diversification across regimes. Backtest max drawdown: -32.3%. This is a fixed-allocation portfolio. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 5d967872, published 2026-10-01
Is Equity + Managed Futures still working in 2026?
Equity + Managed Futures returned 18.88% over the trailing 12 months and 61.12% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 9.72%. Its full-backtest maximum drawdown was -32.27%. The full sample contains 9885 daily NAV observations from 1988-02-29. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -0.70% below its high-water mark of 2026-09-22, 9 days ago, and its longest run below a previous high was 4.6 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 18.88% | Not annualized | -5.60% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 61.12% | Not annualized | -11.38% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 3480.09% | 9.72% | -32.27% | 9885 | 1988-02-29 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-09-22, 9 days before 2026-10-01, and it is -0.70% below that level now. The longest run below a previous high in the full backtest was 4.6 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
Equity + Managed Futures at a glance
Equity + Managed Futures is a fixed-allocation portfolio by BestFolio Research, rebalanced monthly. Backtested 1988-02-29 to 2026-10-01 (38.6 years): 9.7% CAGR, 1.03 Sharpe, -32.3% max drawdown, 10.5% volatility.
- Type
- Fixed Allocation
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1988-02-29 to 2026-10-01
- CAGR
- 9.7%
- Sharpe
- 1.03
- Max Drawdown
- -32.3%
- Volatility
- 10.5%
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 2026-10-01, Equity + Managed Futures returned 9.7% CAGR with a -32.3% 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 2026-10-01)
| Metric | Equity + Managed Futures |
|---|---|
| CAGR | 9.7% |
| Max Drawdown | -32.3% |
| Sharpe | 1.03 |
| Sortino | 1.84 |
| Volatility | 10.5% |
| Calmar | 0.30 |
| Total Return | 3480.1% |
| Backtest Period | 38.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- BestFolio Research
Further reading
Holding Equity + Managed Futures alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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