Managed Futures Funds: Best And Worst Of November

by: Brian Haskin

Managed futures funds performed solidly in November, with the Morningstar category gaining 2.68% in the aggregate - the second best month for 2015 behind January. The month's gains accounted for more than 100% of the entire year's gains for the category, as its one-year return improved to +2.60% through November 30.

Longer term, the managed futures category has underperformed the private fund index as represented by the Credit Suisse Managed Futures Liquid TR USD Index. This is seen in the negative alpha for the category of 2.13% versus the index. However, the group of mutual funds and ETFs included in the category do behave somewhat differently from a risk perspective given the low beta of 0.57 relative to the Credit Suisse index.

In this month's category review, we look at the three best- and worst-performing managed futures funds in November, in terms of their monthly returns, as well as their long-term term performance. As you will note, only three of the funds have track records of 3 years or more.

Top Performing Funds

The best-performing managed futures funds in November were:

Each of these funds posted November gains well in excess of the +2.68% category average, and all three solidly outperformed for the year ending November 30, too. Only one of the funds - the Arrow Managed Futures Strategy Fund - had a three-year track record, with annualized gains of 3.65%, and a Sharpe ratio of 0.43 over that time. Broken down, the fund's long-term returns consisted of a 0.68 beta and -2.57 alpha versus the Credit Suisse index. At +5.92% in November, it was the third-best managed futures mutual fund to own that month, and at +9.14% for the year ending November 30, it trailed only Salient Trend Fund on that basis.

Speaking of which, the Salient Trend Fund was the month's top-performing managed futures mutual fund, with gains of 7.37%. For the year ending November 30, the fund handily beat the category average of +2.60% with gains of 10.65%.

The Equinox BH-DG Strategy Fund was November's second-best performer among managed futures funds, with gains of 7.06%. For the year ending November 30, the fund returned 7.37%, which while being the weakest of the month's other top funds, was still well in excess of the category average.

Worst Performing Funds

The worst-performing managed futures funds in November were:

At -2.19% for the month, the Equinox IPM Systematic Macro Fund was November's worst-performing managed futures fund. The fund only debuted in July 2015, and thus it doesn't have longer-term performance data available, but according to Morningstar, $10,000 invested in the fund at its inception would have turned into $9,810 as of November 30, compared to $10,127 for the category as a whole.

The Dunham Alternative Strategy and Altegris Macro Strategy funds were both launched more than three years ago, which gives us more return data to analyze. First, for the month of November, the funds posted respective losses of 1.31% and 0.84%. For the year ending November 30, their respective returns were -3.10% and -0.36%. Longer term, DNASX posted three-year annualized gains of 1.16%, while MCRAX had three-year annualized losses of 3.25% through November 30.

In terms of three-year beta, alpha, and Sharpe ratios, DNASX definitely looked more attractive. Through November 30, its three-year beta stood at 0.01 - almost entirely uncorrelated with the broader managed futures market - and its alpha stood at 1.16. MCRAX, by contrast, had a three-year beta of 0.46 and -7.55 alpha. The funds' respective Sharpe ratios stood at 0.23 and -0.52.


Category-wide gains of 2.68% in November come on top of the 1.82% gains from October, which had reversed the prior month's 1.21% losses. With the Federal Reserve's long, and much anticipated interest rate increase now complete, the divergence in global interest rate policy is fully under way. December, and 2016, could prove fruitful for the managed futures category as a whole.

Past Performance does not necessarily predict future results.

Meili Zeng and Jason Seagraves contributed to this article.