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.