Quant Stars
"Judging the performance of any investment over a six month period is arbitrary," said Jon Sundt, president and chief executive officer of La Jolla, California-based Altegris Investments Inc. "The real question is how will it perform over time. And with managed futures, they have stood the test of time."
The S&P 500 rose 1 percent between July 2000 and March 2011, compared with an annual gain of 8.2 percent for managed futures, Altegris said.
Two of the funds invest with David Harding, whose $20 billion Winton Capital Management LLC has returned an average 17 percent a year since 1997, according to an investor, who asked not to be identified because the London-based firm's returns aren't public.
Offshore Exemption
Three of the funds use Jaffray Woodriff's $4.6 billion Quantitative Investment Management LLC , based in Charlottesville, Virginia. That fund has gained an average of 13.5 percent since it was founded, according to another investor who also requested not to be identified.
Because the underlying traders bet on rising as well as falling prices, their performance doesn't tend to move in lock- step with stock and bond markets, said Matthew Osborne, co- portfolio manager of the Altegris fund.
In 2008, the worst year for stock performance in seven decades, an Altegris-run futures index that tracks the performance of 40 such managers rose 15.5 percent, Osborne said.
Still, investors may be surprised at how little is left for them after each manager's cut. The U.S. Securities and Exchange Commission requires most mutual funds that invest in other managers to disclose so-called acquired-fund fees and expenses at the front of the offering document. The futures funds are exempt because they invest through off-shore subsidiaries, which don't fall under the SEC's purview, according to Morningstar's Papagiannis.
'Loosened Up'