facts_on_futures

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Facts On Professionally Managed Futures:

In 1973 and 1974, when stocks dropped 41%, commodity prices soared 114%.
When the S&P 500 fell nearly 30% from September to November of 1987, managed futures rose 10%.
While the S&P 500 fell 15% during Iraq's invasion of Kuwait, managed futures rose 19%.
According to Jim Rodgers, in 1996 the Goldman Sachs Commodity Index outperformed every major stock index in the world.
In 1996, futures were the best performing portion of Harvard University's portfolio, returning 46%.
The average CTA tracked by Managed Account Reports from 1994-1996 returned 31.1%.**
Of 119 commodity funds and pools ranked by MAR from 1990 through October 1996, 81% were profitable.**
In 1997, 82.5% of commodity pools tracked by MAR were positive with 51% experiencing double-digit returns.**
Over approximately the past 25 years, when comparing performance of four major advances and declines in the S&P 500 and corresponding performance, futures were positive in each advance. However, during all the largest S&P 500 stock declines, futures were positive. In all but one decline in the S&P 500, advances in futures completely offset losses in the S&P 500!
Stocks have been on a roll for the past five years. But so have many professional CTAs. According to International Traders Research Inc., for the period July 1995 to June 1999, 59 CTAs had a compounded rate of return ranging from 100% to 1044%.
The non-correlation of managed futures and stocks was again highlighted during one of the worst periods ever for stocks. The third quarter of 1998, where the average NASDAQ and New York Stock Exchange stocks were down approximately 50% from their 52-week highs. While stocks were down sharply during the third quarter 1998, the Managed Account Report Trading Advisor qualified Index was up!
With almost a zero correlation to stocks, futures can perform equally as well whether stocks are rising or falling. For example, the city of Detroit's retirement system has been using managed futures in their asset allocation for 11 years. The pension fund reports that during the third quarter of 1998, while stocks performed poorly, the managed futures part of their portfolio was up 32%.

These statistics show futures on their own can be an attractive investment. However, we believe futures most attractive feature is in offering profound diversification to a stock and bond portfolio. Studies show futures can increase the performance and reduce overall portfolio risk when combined with stocks.*

*Past performance is not necessarily indicative of future results. The risk of loss exists in futures trading.

**Managed Account Reports and Stark Research are frequently quoted in financial publications as a source for CTA performance statistics. These statistics apply to CTAs and CPOs who submit their trading results and do not represent the entire universe of Commodity Trading Advisors and Commodity Pool Operators. The statistics don't imply that these results are the officially sanctioned results of the futures industry.

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