How Low Correlating Assets Can Reduce Risk in a Portfolio

Substituting 20% of bonds for 20% of managed futures increased returns and decreased risk of the portfolio over the past three years despite managed futures carrying more risk than bonds on a standalone basis

Stocks are proxied by the ETF SPY, bonds by the ETF AGG, and Alternatives are managed futures proxied by the ABYIX mutual fund. Time frame is from 5/1/2019 through 4/30/2022. Portfolio returns are hypothetical and assumed to be rebalanced monthly. Risk is defined as monthly standard deviation. Performance numbers are annualized.