The two managed futures ETFs with a five-year track record—the WisdomTree fund and the First Trust Morningstar Managed Futures Strategy Fund (FMF)—have underperformed their bogey during the five-year period with average annual returns of minus-0.55 percent and minus-3.31 percent, respectively. These and other ETFs in this category have a mixed track record of beating the Credit Suisse bogey during measured periods over the past five years.
Managed futures strategies are built to provide downside protection in bad markets and provide positive absolute returns in most market conditions. Clearly, the latter has been a challenge of late.
One of the stated objectives of the new iM DBi Managed Futures Strategy ETF is to generate long-term capital appreciation. Obviously, it doesn’t yet have a track record to speak of.
That said, it's off to a good start in the sense that it dropped 1.12 percent over the past one-week period plagued by market volatility, versus a 2.58 percent decline in the SPDR S&P 500 ETF (SPY).