A Comparison of Annual Returns
Obviously managed futures provide a strategic edge over other investments during periods of adversity and uncertainty. The reason is that CTAs exploit the inefficiencies created by the dislocation in the points of equilibrium established by traditional investments. Therefore, consistent directional volatility is created.
Returns in High-Inflation Years
| Year | U.S. Stocks * | Bonds * | Managed Futures | Consumer Inflation (CPI)** |
Producer Inflation (PPI-CM) |
| 1973 | (14.66%) | (1.11%) | 73.59% | 8.80% | 34.60% |
| 1974 | (26.47%) | 4.35% | 23.85% | 12.20% | 4.10% |
| 1978 | 6.56% | (1.18%) | 11.35% | 9.03% | 17.20% |
| 1979 | 18.44% | (1.23%) | 28.82% | 13.31% | 16.50% |
| 1980 | 32.42% | (3.95%) | 63.69% | 12.40% | 12.80% |
| 1981 | (4.91%) | 1.86% | 23.90% | 8.94% | (3.80%) |
| 1990 | (3.17%) | +6.18% | +21.02% | +6.11% | +6.00% |
| Average | 1.17% | 0.70% | 35.17% | 10.11% | 12.49% |
| Asset Class | Percentage Drawdown Net Change | Drawdown Period | Performance of Managed Futures |
| Stocks | (29.60%) (14.70%) |
Sep 87-Nov 87 Jun 90-Oct 90 |
9.70% 18.60% |
| International Stocks | (24.50%) (31.00%) |
Oct 87-Dec 87 Jan 90-Dec90 |
13.80% 21.00% |
| Managed Futures | (16.90%) (15.00%) |
Apr 86-Dec86 Jun 89-Oct 89 |
* Please note that the returns marked with an asterisk(*) are calculated as changes in logarithms.
Sources for the above numbers include lbbotson Associated and the Managed Futures Association.
** CPI is the Consumer Price Index. Returns represented are only from inflation years greater than 6%.
PPI-CM is the Producer Price Index-Crude Materials.
Past results are not necessarily indicative of future results.