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Are Managed Futures ETFs Working?

Posted in Commodity Futures, Currency Trading

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider three managed futures ETFs, all currently available:

  1. WisdomTree Managed Futures Strategy (WTMF).
  2. First Trust Morningstar Managed Futures Strategy (FMF).
  3. ProShares Managed Futures Strategy (FUT).

We focus on compound annual growth rate (CAGR), maximum drawdown (MaxDD) and correlation of returns with those of SPDR S&P 500 (SPY) as key performance statistics. We use Eurekahedge CTA/Managed Futures Hedge Fund Index (the index) as a benchmark. Using monthly returns for the three funds as available through August 2018, and contemporaneous monthly returns for the benchmark index and SPY, we find that:

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