Worst Start
This year a series of pronounced trends has provided a strong tailwind. The MSCI All-Country World Index lost 10 percent this year through Feb. 12. Oil has declined 22 percent to about $29, the biggest decline since the start of 2009. Yields on U.S. Treasuries last week fell to the lowest in more than three years.
“Globally investors have pulled back from risk assets and are buying assets they perceive to be safer,” said Yao Hua Ooi, one of the managers of the $11 billion AQR Managed Futures Strategy Fund. The AQR fund, the industry’s largest, attracted $2.5 billion last year and $625 million this year through Feb. 10, according to data compiled by Bloomberg.
The funds have done well in other stock market downturns. The SG Trend Index gained 26 percent in 2002 and 21 percent in 2008, years when the Standard & Poor’s 500 Index lost 22 percent and 37 percent, included reinvested dividends.
Josh Charlson, another Morningstar analyst, said the funds can be out of favor for long periods of time and there is no way to know when they will bounce back.
Still, he said, “they have a role to play in a portfolio if you are look for something that won’t perform like your stocks and bonds.”