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Btop 50 Vs Sp 500 During Drawdowns
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Btop 50 Vs Sp 500 During Drawdowns

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  • 1. BTOP 50 vs. S&P 500 During the S&P’s Worst Five Drawdowns Since 1987The study below, published by CME Group in their brochure, Lintner Revisited: A Quantitative Analysis of ManagedFutures, supports the famous landmark study by the late Harvard University professor Dr. John Lintner. In his studyDr. Lintner concluded that managed futures can increase the performance and reduce the risk in an overallinvestment portfolio. It is important to note the study below is not based on academic theory. It is based on actualperformance statistics of the S&P 500 and the BTOP50. The BTOP50 Index seeks to replicate the overall compositionof the managed futures industry with regard to trading style and overall market exposure. The BTOP50 comprises thelargest trading advisor programs, as measured by assets under management.Trading futures and options involves substantial risk of loss no matter who is managing your money. Such an investmentis not suitable for all investors. Past performance is not necessarily indicative of future results. Please note that theBTOP 50 Index may not be representative of any individual CTAs performance.*S&P 500 Total Return Index had not completely recovered from its drawdown beginning in 11/07, due in part to its depthand severity; the drawdown beginning 5/11 is included because it would have qualified as one of the worst had the indexrecovered to its previous highsSource: BloombergVFM711

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