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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. Scalper1 News
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