Tag Archives: managed-futures

The Best And Worst Of February: Managed Futures

Managed futures mutual funds and ETFs had a strong month in February, with the average fund in the group returning +1.77% while the S&P 500 Index dropped 0.13% and the Barclays US Aggregate Bond Index gained 0.71%. Most funds generated positive returns for the month, and the top three funds gained between 3.67% and 6.34%, while only two funds in the entire category lost more than 0.88% in February. Top Performers in February The three best-performing managed futures mutual funds in February were: The PIMCO TRENDS fund was the category’s top performer in February, gaining an impressive 6.34%. Unfortunately, the fund – which debuted on the last day of 2013 – was still down for the year ending February 29, with one-year returns of -2.93% ranking it in the bottom 37% of its category. The fund’s one-year beta, relative to the Credit Suisse Managed Futures Liquid Index, of 0.60 was roughly in line with the category average of 0.66, while its one-year alpha of -4.27% compared unfavorably with the category average of -2.60%. PQTAX’s one-year Sharpe ratio through February 29 was -0.23, compared to -0.01 for the category as a whole. The SFG Futures Strategy Fund ranked second among managed futures mutual funds and ETFs in terms of February performance, with monthly gains of 3.92%. But like the PIMCO TRENDS fund, SFG’s Futures Strategy underperformed for the year ending February 29, returning -3.93% and ranking in the bottom third of the category. Its one-year beta and alpha stood at 0.75 and -6.38%, respectively, giving it a Sharpe ratio of -0.37. Of February’s top-three performers, the Altegris Managed Futures Strategy looked best beyond the past month’s performance. Its February gains of 3.67% contributed to its one-year return of +4.75% through February 29, ranking in the top 20% of the category. The fund, which debuted in August 2010, had three-year annualized returns of +3.71%. Its one-year beta of 0.81 indicates a relatively high correlation with the Credit Suisse index, but its alpha of 2.21% and Sharpe ratio of 0.48 highlight its outperformance. Worst Performers in February The three worst-performing managed futures mutual funds in February were: Dunham’s Alternative Strategy Fund was February’s worst performer in the managed futures category, returning a dismal -3.25%. DNASX’s underperformance has been enduring, as its -11.92% one-year returns through February 29 ranked in the bottom 8% of the category. Its one-year beta of -0.20 indicates it has very low (modestly inverse) correlation to the Credit Suisse index, but this favorable feature is overshadowed by the fund’s -11.26% one-year alpha. Its one-year Sharpe ratio, a measure of risk-adjusted returns, stood at an abysmal -2.29. The First Trust Morningstar Managed Futures Strategy ETF was the only exchange-traded fund among the top or bottom three for February. It returned -1.22% for February and -3.97% for the year ending February 29. The fund had a beta of 0.39, alpha of -4.64%, and a one-year Sharpe ratio of -0.61. Finally, the Discretionary Managed Futures Strategy Fund was February’s third-worst performer in the category, returning -0.88% for the month. The fund’s one-year return of -1.90% ranked in the bottom 46% of funds in its category, and its beta of 0.03 ranked among the lowest in the category. The fund’s one-year alpha was -2.09%, indicating that it underperformed the index even as it remained mostly uncorrelated with it. In risk-adjusted terms, FUTEX’s returns resulted in a one-year Sharpe ratio of -1.09. Note : Alpha and Beta statistics are relative to the Credit Suisse Managed Futures Liquid Index. Past performance does not necessarily predict future results. The Jason Seagraves contributed to this article.

(Non)-Correlated November

Depending on your perspective, November proved to be a rather correlated or non-correlated month. U.S. stocks and Managed Futures are the only two asset classes we track with positive results in November (likely from unique return drivers), while Long-Only Commodities continues to plummet, and Managed Futures is positive on the year. Those that know that Managed Futures can find return drives when the markets are moving up, down, and from various different sectors won’t be surprised to see that it was also able to make a +2.84% gain, when the iShares S&P GSCI Commodity-Indexed Trust ETF (NYSEARCA: GSG ) had another big downward move in November, down -9.03%, bringing the YTD performance to -27.34% (Disclaimer: Past performance is not necessarily indicative of future results) . As FT Alphaville points out, this is the 5th-worst November the index has ever had. Believe it or not, November 2014 was worse, as was its full-calendar year performance . As for the actual return drivers from Managed Futures in November, a trending dollar is Managed Futures’ friend . Many are speculating that if the Fed decides to raise interest rates, it could push the dollar higher, and in doing so, could give Managed Futures that extra help before the year draws to a close. Many are waiting to see what happens to the markets in December, pending the Fed decision. It will be a nail-biter to the end. (click to enlarge) (Disclaimer: past performance is not necessarily indicative of future results.) Source: All ETF performance data from Morningstar Source: Managed Futures = Newedge CTA Index, Cash = 13-week T-Bill rate Bonds = Vanguard Total Bond Market ETF (NYSEARCA: BND ) Hedge Funds= IQ Hedge Multi-Strategy Tracker ETF (NYSEARCA: QAI ) Commodities = iShares S&P GSCI Commodity-Indexed Trust ETF ( GSG ) Real Estate = iShares U.S. Real Estate ETF (NYSEARCA: IYR ) World Stocks = iShares MSCI ACWI ex-U.S. Index ETF (NASDAQ: ACWX ) US Stocks = SPDR S&P 500 Trust ETF (NYSEARCA: SPY )

Catalyst And 361 Capital Soft Closing Futures Funds

By DailyAlts Staff Mutual funds are closed for a variety of reasons, but the most common is probably a lack of sufficient investor interest, normally as the result of poor performance. On the opposite end of the spectrum, funds that become too popular and command too much investor interest must close themselves to new investors to avoid exceeding the maximum capacity of their strategies. This latter type of fund closing is known as a “soft closing,” and two alternative funds – the Catalyst Hedged Futures Strategy Fund (MUTF: HFXAX ) and the 361 Managed Futures Strategy Fund (MUTF: AMFZX ) – recently joined the ranks of funds that have gotten too popular to continue taking investors’ money. Catalyst Hedged Futures Strategy Fund The $1.6 billion Catalyst Hedge Futures Strategy Fund debuted as a private fund way back in 2005 and was subsequently converted to a mutual fund by Catalyst in August 2013. As of August 31, the fund’s year-to-date returns of 7.61% ranked in the top 10% of funds in the Morningstar Managed Futures category, and the fund has shone particularly bright over the past six months, generating gains while most of its peers were in the red. Undoubtedly, this stellar performance contributed to increased interest in the fund, which Catalyst says is “rapidly approaching capacity.” As a result, the Catalyst Hedged Futures Fund will be closed to new investors starting October 31, 2015. Closing the fund will help Catalyst “maintain the integrity of the strategy” and not sacrifice performance, according to a statement. The fund’s existing shareholders – and possibly advisors – will be “grandfathered in” and allowed to add more money to the fund, while prospective new shareholders will have to wait for a “Part 2” version of the fund, set to be ready “in the coming weeks.” The “Part 2” fund will pursue a very similar strategy to the original fund, which distinguished itself from other managed futures funds by being 100% options-based. The new fund will be of interest to investors concerned about a repeat of the 2008 financial crisis, as the original Catalyst Hedged Futures Fund gained nearly 50% during that period, thanks to its virtually nonexistent correlation to stocks and bonds. For more information, visit catalystmutualfunds.com . 361 Managed Futures Strategy Fund Investors interested in gaining exposure to managed futures via the 361 Managed Futures Strategy Fund , which returned 7.87% in the first eight months of 2015 and ranked in the top 8% of funds in its Morningstar category, have until September 30 to jump on board – after that date, the fund will cease taking money from new investors. “Since our founding in 2001, we’ve endeavored to be excellent stewards of our clients’ capital,” said 361 Captial CEO Tom Florence, in a recent announcement. “With that in mind, we’ve put forth great effort into measuring the capacity of our strategies, in order to ensure that asset growth doesn’t degrade return potential.” Like the Catalyst Hedged Futures Strategy Fund, the 361 Managed Futures Strategy Fund will remain open to existing investors. The fund had just over $1 billion in assets under management as of September 8, and the 361 investment team feels that a “soft close” allows capacity for existing clients, but keeping the fund open for new investors would risk hampering performance. One of the features that makes the 361 Managed Futures Strategy Fund so attractive is the low correlation it has exhibited to major asset classes. According to 361 Capital, the fund has had negative correlations to foreign (-0.07) and domestic equities (-0.15), and very low correlations to bonds (0.22), real assets (0.05), and even other managed futures strategies (0.10), from its December 2011 inception through June 30, 2015. For more information, visit the fund page at 361 Capital . Past performance is not necessarily indicative of future performance.