Via Attain Capital

Even since we witnessed an uptick in market volatility last month, we’ve all been curious to see which alternative investments were able to capture returns off of a “correction” or mini-crash. We did our best to highlight a couple of managed futures managers that captured the market volatility, but the question remained, how did managed futures do as a whole?

Managed Futures Indices Performance August 2015

(Disclaimer: Past performance is not necessarily indicative of future results)
Barclayhedge CTA Index: 30% of funds reporting

The four Managed Futures Indices we track (primarily of trend followers) were down an average -1.90% on the month of August, and down -1.60% YTD. The Morningstar Managed Futures Mutual Fund Category had similar results, down -2.67% in August, and -1.39% on the year (performance as of (8/31/2015) {Disclaimer: Past performance is not necessarily indicative of future results}.

Now, we’re well aware that it’s just one month, and that even those alternatives who lose money are likely to do it in a less volatile way than pure stocks. But this really comes back to why investors bought an alternative and what they are expecting out of it. If they’re expecting negative correlation (often times conflated with non-correlation). Here’s a table to help you understand that managed futures is non-correlated. Those interested in Managed Futures should be looking to see how Managed Futures performs during a full on, months long actual crisis.

From a strategy standpoint, we know that trend following strategies struggled while short term and relative value managers we track were able to capture returns from the whipsaw markets. But those are just three strategies in the managed futures space. As we discussed in our yearly strategy review, that’s just a fractional of the strategies, all designed to produce different return drivers.

It will be interesting to see how these same managed futures managers respond the markets post-jolt. It will be interesting to see if September proves to be as if you shocked yourself from a plugin outlet, or a full on shock to the system.

P.S. –Attain’s Family of Alternative Funds performance will be up soon. Sign up here to get an email of the monthly performance and research updates on the family of funds.