Managed futures mutual funds and ETFs took full advantage of the Brexit induced market volatility and bounced back from two consecutive months of losses with impressive gains in June. The average fund in the category returned +3.24% for the month, and 52 of the category’s 61 distinct funds posted gains. The category did underperform the Credit Suisse Managed Futures Liquid Index, though, as it posted gains of 3.95% in June.
Top Performers in June
The three best-performing managed futures funds in June were:
- Arrow Managed Futures Strategy Fund (MFTFX)
- Mariner Managed Futures Strategy Portfolio
- Monte Chesapeake Macro Strategies Fund (MHBAX)
The Arrow Managed Futures Strategy Fund’s outstanding performance in June pushed its returns for the first half of 2016 and the year ending June 30 well into positive territory. The fund posted a 12.12% gain in June, bringing its year-to-date and full-year returns through June 30 to +10.35% and +13.35%, respectively. Its one-year standard deviation of 18.18%, however, is nearly twice as high as the Credit Suisse Managed Futures Liquid Index, which had a one-year standard deviation of 9.26%.
The Mariner Managed Futures Strategy Portfolio returned +9.23% in June. Those outsized gains were only enough to bring its six-month returns through June 30 to +0.11%, and its one-year returns through that date remained in the red at -3.74%. The fund had the highest one-year standard deviation of any fund reviewed this month, at 21.09%. The category average, for comparison’s sake, was 10.35%.
The Monte Chesapeake Macro Strategies Fund was the third-best-performing managed futures fund in June, recording a 8.76% gain. This surge put its six-month returns into positive territory at +1.11%, but its full-year returns through June 30 were still negative, at -2.38%.
Worst Performers in June
The three worst-performing managed futures funds in June were:
- ELEMENTS S&P CTI Total Return ETN (LSC)
- TFS Hedged Futures Fund (TFSHX)
- Dunham Alternative Strategy Fund (DNASX)
The ELEMENTS S&P CTI Total Return ETN, a commodities focused fund, lost 2.72% in June, but its six- and twelve-month returns through June 30 were still good-looking, at +4.21% and +4.57%, respectively. Indeed, for the year spanning from July 1, 2015 through the end of June 2016, the ELEMENTS S&P CTI Total Return ETN was in the top 1% of the category.
Similarly, the TFS Hedged Futures Fund posted a disappointing 2.60% loss in June, but remained in the black for the six and twelve months ending June 30, with respective returns of +1.15% and +3.24%. Its low volatility – with a one-year standard deviation of 6.35% – did not serve it well in June, when the most volatile funds tended to outperform.
The Dunham Alternative Strategy Fund is also a low-volatility fund, with a one-year standard deviation of 5.46% for the year ending June 30. Normally, low volatility is an attractive feature, but that’s not how the month of June played out: The Dunham fund reported a 1.93% loss, and unlike its other bottom-three performers for the month, its six- and twelve-month returns were deep in the red, at -10.40% and -12.78%, respectively.
Past performance does not necessarily predict future results.
Jason Seagraves contributed to this article.