Lintner Revisited: A Quantitative Analysis of Managed ... - CME Group

cmegroup.com
Exhibit 10, “BTOP 50 vs. S&P 500 During S&P 500’s Worst Five
Drawdowns Since 1987,” illustrates the tendency of CTAs to
perform well during periods which are difficult for equity markets,
albeit through a different lens. It illustrates the performance of
the BTOP 50 Index from peak to valley during the five worst
drawdowns of the S&P 500, each associated with a different
financial market dislocation.
The quarter-by-quarter analysis provides a high level of granularity,
and also provides further evidence that managed futures tend to
perform well during extended dislocations, but do not always do
so. It is also worth noting that the historic quarters referred to in
Exhibit 9 all are referencing periods after the Lintner study, and
thus further corroborate his important findings.
EXHIBIT 10: BTOP 50 vs. S&P 500 Total Return Index’s Worst Five Drawdowns since 1987
Source: AlphaMetrix Alternative Investment Advisors, Bloomberg
*S&P 500 Total Return Index had not completely recoved from its drawdown beginning in 11/07, due in part to its depth and severity; the drawdown
beginning 5/11 is included because it would have qualified as one of the worst had the index recovered to its previous highs
24
Past performance is not necessarily indicative of future results.