With the books closed on October, 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 -6.22% after the effect of load fees (and -1.88% before load fees). Only three of the twenty-three funds were ahead of the indices for the year (after considering load fees). The “Single Strategy” funds have shown the largest range in outcomes – sporting the only funds with returns above zero, and also the funds with the deepest losses this year.
Despite our misgivings about managed futures mutual funds, new contenders have continued to pop up since we conducted our original investigation of these funds. In this month’s table we have included the Goldman Sachs Managed futures Strategy (GMSAX), the Hatteras Managed futures Strategy (HMFAX) the Taylor Xplor Managed Futures Strategy Fund (TMFIX), and another ETF: a Canadian offering called the Horizons Auspice Managed Futures Index (HMF-A.TO). Because these funds started during 2012, their YTD returns do not reflect a full 10 months of performance, thus they were not included in each category average.
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).
Sorted by YTD Return After Load
*Indicates funds with less than 10 months of data, which are not included in category averages.
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.