Are Managed Futures ETFs Working?

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five managed futures ETFs, four live and one dead:

1. WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising or falling markets that are uncorrelated with broad market equity and fixed income returns via diversified combination of commodities, currencies and interest rates futures.
2. First Trust Morningstar Managed Futures Strategy (FMF) – seeks positive returns that are uncorrelated to broad market equity and fixed income returns via a portfolio of exchange-listed futures.
3. ProShares Managed Futures Strategy (FUT) – seeks to profit in rising and falling markets by long and short positions in futures across asset classes such as commodities, currencies and fixed income such that each contributes equally to portfolio risk. This fund is dead as of May 2022.
4. iM DBi Managed Futures Strategy (DBMF) – seeks long-term capital appreciation via long and short positions in futures across the asset classes such as equities, fixed income, currencies and commodities. Fund positions approximate the current asset allocation of a pool of the largest commodity trading advisor hedge funds.
5. Simplify Managed Futures Strategy (CTA) – seeks long term capital appreciation by systematically investing in futures in an attempt to create an absolute return profile, that also has a low correlation to equities, and can provide support in risk-off events.

We focus on average return, standard deviation of returns, reward/risk (average return divided by standard deviation), compound annual growth rate (CAGR), maximum drawdown (MaxDD) and correlations of returns with those of SPDR S&P 500 (SPY) and iShares Barclays 20+ Year Treasury Bond (TLT), all based on monthly data, as key performance statistics. We use Eurekahedge CTA/Managed Futures Hedge Fund Index (Eurekahedge) as a benchmark. Using monthly returns for the five managed futures funds as available through August 2023, and contemporaneous monthly returns for the benchmark index, SPY and TLT, we find that:

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