Managed Futures Mutual Funds September Update

With the books closed on September, it’s time to update our look at so-called managed futures mutual funds. Once again, the results aren’t pretty (for the mutual funds): on average, they’re lagging the benchmark managed futures indices by -7.59% after the effect of load fees (and -3.25% before load fees). Only AQR Managed Futures Strategy managed to stay ahead of the average of the three major managed futures indices (after considering load fees).

Despite our misgivings about managed futures mutual funds, new contenders have continued to pop up since we conducted our original investigation of these funds. Some of the funds that have launched recently include the Taylor Xplor Managed Futures Strategy Fund (TMFIX), Global Managed Futures Strategy Fund (RYSQX), and another ETF: the Horizons Auspice Managed Futures Index (HMF.TO). Once these new funds have established a track record long enough for comparison, we will begin recording their performance in our tracking table.

We don’t think mutual funds are the best vehicle to access the managed futures asset class if you have the capital to stand on your own and invest in individually managed accounts (see after the chart for why), and the numbers continue to back us up. Read ‘em and weep below (Disclaimer: past performance is not necessarily indicative of future results).

Click to embiggen.

Sorted by YTD Return After Load

Earlier this year we expanded our look at managed futures mutual funds to consider the new entrants into the space. We have been critical of these products for a few reasons. For one, they are being marketed as managed futures products, but many do not contain any actual managed futures exposure; rather they merely utilize a trend following model to approximate such exposure. Then there are some that actually do invest in underlying managed futures managers (kudos to you), but do so at a very high cost with extra layers of fees and, more often than not, a high front end sales (load) fee.  And then there are those which are not providing managed futures exposure and charging load fees: the worst of the worst. Although the load fees may be waived for investors hitting certain “breakpoints” due to larger investments, we still feel the bulk of these funds will underperform the managed futures indices even without the hefty load fees.

2 comments

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  2. Thanks for the updates. Could you please be so kind and include the 361 Managed Futures fund to your list? It is reportedly up 7.61% as of 10/17/12, uses a counter-trending methodology, only trades equity futures and has amazingly long stretches of constant NAV.

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Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history.

Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.

Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.

Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.

RCM receives a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.

See the full terms of use and risk disclaimer here.

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