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Managed Futures – Setting Expectations

As we review the current results of various Managed Futures strategies we find a wide set of potential returns, as well as a wide variety of options as to the type of investments offered. These strategies include single manager, multi manager and indexed.

Most of the liquid strategies have 3 years or less of returns in an act 40 format and are in a fund wrapper rather than an ETF. We have listed a range of the well-known and longer lived strategies to review, with very little correlation between the groups. The one consistency we could find is that (to a varying degree) when the global stock markets began the year with large sell-offs, all the strategies we found provided a positive experience to clients during January and February 2016.

Rocaton and Orion Portfolio Solutions spend significant research time on Managed Futures strategies and other Diversifiers due to the lack of consistency found between strategies with similar names/classifications. Our goal is to provide our advisors with strategies that work within the MMS approach and provide the types of diversification needed to build out evolved client portfolios.

FTJ FundChoice MMS Strategies:

Name (CTAs)Year to Date Return    1-Year Return  3-Year Return   5-Year Return  1/1/16-2/29/16
AQR Managed Futures (single)-6.90+4.20+3.44
Abbey Capital Futures Strategy Fund (Multi)-3.89+4.16
361 Capital Managed Futures (single)-1.71-3.71+1.72

Other MF Strategies:

Name (CTAs)Year to Date Return    1-Year Return   3-Year Return   5-Year Return   1/1/16-2/29/16
Altegris (5)+4.20+1.05+1.72+8.18
Wisdom Tree (DTI index)+1.98-3.32-3.72+2.21
Natixis (single)+5.29-7.76+11.37+4.43+7.69
Longboard (single)-8.15-11.79+5.37+4.26
Goldman Sachs (single)+4.97
Steben (3)+5.88-4.76+6.94
Witherspoon (12)-3.05-12.04-2.20+1.31
Princeton (15-30)+1.22-10.79-3.67-4.49+1.82
Guggenheim (single)-5.18-13.40+1.99-2.66+1.31

All returns as of 2/19/16 per Morningstar


The information, analysis, and opinions expressed herein are for general and educational purposes only. Nothing contained in this commentary is intended to constitute legal, tax, accounting, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. All investments carry a certain risk, and there is no assurance that an investment will provide positive performance over any period of time. An investor may experience loss of principal. Investment decisions should always be made based on the investor’s specific financial needs and objectives, goals, time horizon, and risk tolerance. The asset classes and/or investment strategies described may not be suitable for all investors and investors should consult with an investment advisor to determine the appropriate investment strategy. Orion Portfolio Solutions does not guarantee any minimum level of investment performance or success of any index portfolio or investment strategy.  Past performance is not indicative of future results.  Information obtained from third party sources are believed to be reliable but not guaranteed. Orion Portfolio Solutions makes no representation regarding the accuracy or completeness of information provided herein. All opinions and views constitute our judgments as of the date of writing and are subject to change at any time without notice.