September once again dealt a blow to managed futures performance, which after a second lackluster month in a row, is just above zero on the year. This year’s red-hot asset class – real estate – has fallen a bit from its 2012 peak (at least by the ETF we track the asset class by), while US stocks are at their highest level on the year. The other managed money on our scoreboard – hedge funds – are at their highest level since February, but are still lagging well behind even bonds.

With only one quarter left in the year, it would likely take a fairly significant economic downturn to propel managed futures to the top of the charts. Of course, the time to diversify is before the crisis hits, not afterwards… but we’ve been early (and wrong) on the crisis call all year. In the end, most money managers are probably just thankful Apple (AAPL) hasn’t become an asset class yet. At up 65% on the year, that would be one tough benchmark to beat.

Managed Futures = Newedge CTA Index, Cash = 13 wk T-Bill rate,

Bonds = Vanguard Total Bond Market ETF (BND), Hedge Funds = DJCS Core Hedge Fund Index

Commodities – iShares GSCI ETF (GSG), Real Estate = iShares DJ Real Estate ETF (IYR)

World Stocks = MCSI World Index (ex USA), US Stocks = S&P 500