Multialternative Funds: The Best and Worst of March

Multialternative Funds The Best and Worst of MarchMultialternative mutual funds and ETFs returned an average of +1.33% in March, bringing the category’s total return to -0.67% for the first quarter of 2016. As a group, the category is trailing the Morningstar Moderate Target Risk Index for both the month and quarter. That index generated returns of 4.99% and 2.15%, respectively. For the one-year period ending March 31, multialternative mutual funds and ETFs averaged a loss of 4.85% and a Sharpe ratio of -0.87.

March’s  top- and bottom-three performers were all open-ended mutual funds. The category has few ETFs, but the month’s respective best- and worst-performers of the set were the Cambria Global Asset Allocation ETF (GAA) and the ProShares Hedge Replication (HDG), which notched respective gains of 5.00% and 2.00%. On average, the few multialternative ETFs greatly outperformed the category’s mutual funds for the month.

Top Performers in March

The three best-performing multialternative mutual funds in March were:

The GMO Special Opportunities Fund was March’s top performer, returning an impressive +6.22%. This brought its Q1 total to +1.28%, and its one-year return, for the period ending March 31, to +2.35%. GSOFX’s one-year Sharpe ratio of 0.24 was by far the highest of the top (or bottom) three funds reviewed this week.

Virtus had the two next-best performers in March with its Alternative Inflation Solution and Alternative Income Solution funds posting respective one-month gains of 6.08% and 5.32%. For Q1, VSAIX returned +1.25%, while VAIAX returned -0.61%; and for the year ending March 31, they had respective losses of 9.91% and 12.84%. The funds’ one-year Sharpe ratios were -0.97 and -1.19, respectively.

Worst Performers in March

The three worst-performing mutual multialternative mutual funds in March were:

CMG’s Global Macro Strategy Fund suffered losses of 13.22% in March, bringing its Q1 return to -7.51%. The fund, which debuted on December 8, 2015, hasn’t had a very promising start.

The Hartford Real Total Return and Granite Harbor Alternative funds were the second- and third-worst performing multialternatives in March, with respective losses of 3.83% and 3.62%. For Q1 and the year ending March 31, HABMX had returns of -6.97% and -15.94%, while GHAFX’s were worse still at -22.21% and -25.25%. The funds had respective one-year Sharpe ratios of -2.44 and -1.59.

Inflows & Outflows

For the year ending March 31, the multialternative fund with the greatest inflows was the $9.3 billion John Hancock Global Absolute Return Strategy (JHAIX), which added $3.5 billion in assets under management (“AUM”). The fund with the greatest outflows* was the Goldman Sachs Absolute Return Tracker Fund (GARTX), which saw its AUM decline by more than $994 million. The funds had respective one-year returns of -5.34% and -3.52%.

Past performance does not necessarily predict future results.
Jason Seagraves contributed to this article.

* Does not include funds that were liquidated prior to March 31, 2016. 

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