While the theory about portfolio diversification sounds fine, how could adding an investment in managed futures impact a traditional portfolio?
Contrary to popular belief, research shows that portfolios including managed futures generate higher returns and have less volatility than portfolios that do not include managed futures. The following chart shows the returns, volatility and Quick Sharpe Ratio for stocks, bonds, and managed futures from January 1990 through December 2003. As you can see from the data, managed futures generated a higher return than stocks and bonds and had lower volatility than stocks during that 14 year period.
