Multi-alternative mutual funds and ETFs recorded their fourth-straight month of gains in June, returning +0.42% in the aggregate. Of the 151 funds in the category, over 62% (94) posted gains; and 49 beat the +0.84% returns of the Morningstar Moderate Target Risk benchmark.
Top Performers in June
The three best-performing multi-alternative funds in June were:
- GMO SGM Major Markets Fund (GSMFX)
- LoCorr Multi-Strategy Fund (LMUAX)
- Catalyst/Millburn Hedge Strategy Fund (MBXIX)
The GMO SGM Major Markets Fund posted returns of +7.54% in the month of June. This brought the fund’s six- and twelve-month returns through June 30 to +5.98% and +5.21%, respectively. The fund, which launched in October 2011, had three-year annualized gains of 4.24%, ranking in the top decile of the category. Its three-year Sharpe ratio of 0.70 was particularly attractive in comparison to the category average of 0.36.
The LoCorr Multi-Strategy Fund notched an impressive gain of 6.72% in June, bringing its total returns for the first half of 2016 to +3.30%. The fund struggled in the second half of 2015, though, and thus its total returns for the full year ending June 30 were still deeply in the red, at -4.76%. The fund’s one-year beta, relative to the Morningstar Moderate Target Risk benchmark, was quite high at 0.73 (compared to the category average of 0.39), and its alpha of -5.65% was far worse than the category average of -2.90%.
The Catalyst/Millburn Hedge Strategy Fund may have been the third-best performing market neutral fund in June, with one-month returns of +6.34%, but it was the very top-performing fund in its category for the six-month, twelve-month, and three-year periods ending June 30, with respective gains of 14.91%, 19.32%, and 14.22% (annualized). Its Sharpe ratios for the one- and three-year periods ending that date were 1.53 and 1.25, in comparison to category averages of -0.38 and 0.36 – very impressive!
Worst Performers in June
The three worst-performing multi-alternative funds in June were:
The Catalyst Macro Strategy Fund lost 8.79% in June, bringing its total returns for the first half of 2016 to a woeful -21.51%. For the full year ending June 30, the fund lost 5.96%, ranking in the bottom 21% of the category. Its one-year standard deviation of 26.71% was 4.65 times the category average of 5.74%.
The Quantified STF Fund lost 7.00% in June and 16.00% for the first six months of 2016. The fund launched in November of 2015, and thus doesn’t have longer-term performance data.
The Sandalwood Opportunity Fund lost 6.31% in June, bringing its six- and twelve-month returns through the end of the month to -11.05% and -19.33%, respectively. The fund, which launched in November 2012, had three-year annualized returns of -5.26%, and one- and three-year Sharpe ratios of -2.86 and -0.88.
Past performance does not necessarily predict future results.
Jason Seagraves contributed to this article.