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Multialternative mutual funds and ETFs averaged losses of 1.60% in January, bringing their average one-year returns through the end of the month to -4.23%. Over the longer three- and five-year periods, multialternative funds have generated positive annualized returns, but at just +0.87% (three-year) and +1.66% (five-year), those returns have delivered negative alpha of 0.81 and 0.99, respectively, relative to Morningstar’s long-only Moderate Target Risk Index. As a whole, the category is host to 163 funds with combined assets of $62.5 billion. At $8.9 billion, the John Hancock Global Absolute Return Strategies Fund (MUTF: JHAIX ) is the largest fund in the category with a 14.2% market share, while the top 10 funds hold a total of $31.7 billion in assets – just over 50% of the category’s total assets. Top Performers in January January’s top-performing multialternative fund was able to generate big gains of 7%, while the second- and third best funds added between 2-3%. The three best-performing multialternative funds in January were: CMG Global Macro Strategy Fund (MUTF: PEGAX ) Absolute Strategies Fund (MUTF: ASFIX ) Vanguard Alternative Strategies Fund (MUTF: VASFX ) PEGAX, the top-performing fund of January, only launched in December 2015. In its first full calendar month, PEGAX returned an impressive +7.00%. According to Morningstar, $10,000 invested in the fund at its inception would have grown by $120 as of February 17 – not bad for just over two months. ASFIX (one of the oldest funds in the category) and VASFX produced gains of 2.87% and 2.83%, respectively, in what was a volatile January for the markets. Of the two funds, only ASFIX has been trading at least a year, and it returned +0.31% for the 12 months ending January 31. The fund’s one-year alpha and beta numbers were -2.25% and -0.65 (relative to the Morningstar Moderate Target Risk Index), through that date, with a Sharpe ratio of 0.07 and volatility of 5.49%. These numbers compare somewhat favorably to the category averages of -2.29%, 0.49, -0.82, and 5.76%. Worst Performers in January While the bottom three funds struggled as equity markets sold off in January, there is a silver lining – the month’s worst-performing fund was solidly in the black for the year ending January 31. The three worst-performing multialternative funds in January were: Catalyst Macro Strategy Fund (MUTF: MCXAX ) Quantified STF Fund (MUTF: QSTAX ) Tocqueville Alternative Strategies Fund (MUTF: TALSX ) Although MCXAX was January’s worst-performing fund by a long shot at -10.24%, the fund was actually the category’s top performer for the year ending January 31, with gains of 32.05%! With a beta of 2.71 to the Morningstar Moderate Target Risk Index, these one-year gains produced an alpha of 42.08% and a Sharpe ratio of 1.19. However, volatility came in at a whopping 26.03% – numbers that are somewhat reminiscent of Barry Bonds’ late-career stats. QSTAX saw its shares fall by 8.05% in January. The fund, which only launched in November 2015, doesn’t have a long enough track record for further analysis. Finally, TALSX was the third-worst performing multialternative fund in January, with one-month losses of 6.53%. For the year ending January 31, TALSX lost 9.45%, thanks to an alpha of -5.30%. Its beta over the time period was 1.05, while its one-year Sharpe ratio stood at -1.00, and its annual volatility was 9.53%. Past performance does not necessarily predict future results. Jason Seagraves contributed to this article. Scalper1 News
Scalper1 News