1st at Morningstar = 144th in the Real World

361 Capital has a press release out announcing its 361 Managed Futures Strategy mutual fund (AMFZX / AMFQX) was rated the top-performing mutual fund in its category by Morningstar for the 12 months ending June 30, 2013.  Congratulations to them, they are surely doing something better than the rest of Morningstar’s “Managed Futures” category (quotations meaning the heavy use of sarcasm) – but we can’t help but think this is a little like being the cleanest dirty shirt. We’re the curious sort, so we couldn’t help but wonder where their 8.12% return over those 12 months would rank amongst the 784 programs in our database and against our recommended list.

As it turns out, that #1 ranking would put them all the way down to 144th place when looking at all programs (but still in the top 20% of all programs), and below a third of our recommended list. Now, we know this is a little bit of an apples to oranges comparison (after all, those managers above 361 charge the full 2 and 20 fee structure, which is just impossible quite possible to overcome), and to be fair, they weren’t implying they were #1 across the whole managed futures universe, stating clearly it was just in the Morningstar managed futures category.

So while congratulations may be in order, there are just two little problems we see –

1. There’s more to being successful than just last year’s returns – a true ranking needs to consider the risk as well.

2. This is a counter-trend strategy which operates on U.S. stock indices only; meaning – it likely won’t provide the crisis period returns one might expect from a ‘managed futures’ fund during a market crash. Indeed, being counter-trend, we would expect it to suffer losses during a crisis period where stock indices see extended down moves.

The takeaway – be careful out there. 361 may fit in great with what you are trying to do in your portfolio; but if it’s in your portfolio because of the name ‘managed futures’, make sure you understand exactly how it will and won’t correlate to managed futures in a market crisis.


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Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex, and is not intended as investment advice, or an offer or solicitation for the purchase or sale of any financial instrument. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts. Opinions expressed are that of the author.

*The mention of specific asset class performance (i.e. +3.2%, -4.6%) is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.), and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship and self reporting biases, and instant history.

The mention of general asset class performance (i.e. managed futures did well, stocks were down, bonds were up) is based on Attain’s direct experience in those asset classes, estimates of performance of dozens of CTAs followed by Attain, and averaging of various indices designed to track said asset classes.

It should be noted that past market performance is not indicative of future market movement.No market data or other information is warranted by Attain Capital Management as to completeness or accuracy, express or implied, and is subject to change without notice.

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Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.