A number of exchange-traded funds that launched during the long-running, recently departed U.S. equity bull market were promoted as proverbial shelters from the storm when the sky eventually fell. Now that the sky has fallen with a mighty crash, how have those funds performed?

There are many products in this broad space of investment strategies ranging from low-volatility to hedged to long/short strategies, among others. The performance of these funds during the coronavirus-induced market meltdown has been all over the map, even within the same category.

For example, the JPMorgan Long/Short ETF (JPLS) was down 15.8% year to date through March 17, while the WisdomTree Dynamic Long/Short U.S. Equity Fund (DYLS) dropped 22.8% during that period.

That said, JPLS has done better on a relative basis versus the SPDR S&P 500 ETF (SPY), which plunged 21.5% year to date. 

Below is a list of several ETFs that were built for these times and have performed well during the selloff. Of course, these funds might fall out of favor when the market eventually heads north. But their performance in the current maelstrom illustrates the importance of having products that help protect portfolios when long-only equity strategies get smashed.

AGFiQ US Market Neutral Momentum Fund (MOM)
MOM is one of two funds being profiled here from AGF Management Ltd., a Toronto-based asset manager with a suite of factor-based ETFs that employ alternative, active risk-mitigation and income-focused strategies.

MOM, a ticker symbol that conjures a bit of comfort in these trying times, provides isolated exposure to the spread return between high- and low-momentum price stocks. Specifically, it tracks the Dow Jones U.S. Thematic Market Neutral Momentum Index that reconstitutes and rebalances monthly in equal dollar amounts in equally weighted long high-momentum (high returns) positions and equally weighted short low-momentum (low returns) positions within each sector.

The aim is to produce positive returns no matter the direction of the overall market, but that’s dependent upon high-momentum price stocks outperforming low-momentum price stocks.

It’s a strategy that has paid off big time this year, with a one-month return of 13.1% and a year-to-date return of 24.3%. It has average annualized three- and five-year returns of 8.3% and 3.1%, respectively.

MOM debuted in 2011 and has attracted just $4.3 million in assets. Its net expense ratio is a stiff 2.62%, which no doubt has scared off many investors. But its recent performance might give investors a reason to take a closer look at this fund.

AGFiQ US Market Neutral Anti-Beta Fund (BTAL)
This AGF-sponsored product provides exposure to the spread return between low- and high-beta stocks. It follows the Dow Jones U.S. Thematic Market Neutral Anti-Beta Index, which reconstitutes and rebalances monthly in equal dollar amounts in equally weighted long low-beta positions and equally weighted short high-beta positions within each sector.

BTAL seeks to generate positive returns in any market conditions, and that depends on low-beta stocks outperforming high-beta stocks. And like MOM, it has delivered the goods in 2019.

In the case of BTAL, the fund gained 13.3% in the past month and was up 18% year to date. In addition, it has produced three- and five-year average annual returns of 10.6% and 5.5%, respectively.

Like with MOM, this fund also debuted in September 2011, but it has done much better in attracting money with total assets of $143.7 million. It, too, comes with a hefty sticker price at a net expense ratio of 2.11%.

Invesco S&P 500 Downside Hedged ETF (PHDG)
PHDG debuted in 2012 and has just $21.3 million in assets to show for it, but it has been a solid performer in recent years despite its downside-hedged orientation during a bull market. In addition, its net expense ratio of 0.39% is a reasonable price for an actively managed product based on a hedging strategy.

This fund aims for positive total returns in all markets, and the intent is that these returns aren’t correlated to broad equity or fixed-income markets. Its M.O. is to apply a quantitative, rules-based strategy in search of returns that beat the S&P 500 Dynamic VEQTOR Index, which is built to provide broad equity exposure with an implied volatility hedge by dynamically allocating between equity, volatility and cash.

As of yesterday, PHDG’s allocation was 59.2% in equities and 40.8% in CBOE Volatility Index (VIX) Futures. 

This fund was up 13.6% during the past month and 17% in 2019. Its three-year average annual return is 10.9% and it’s five-year average return is 5.7%.

ProShares Managed Futures Strategy ETF (FUT)
This actively managed fund uses the S&P Strategic Futures Index as a performance benchmark and seeks to profit in rising and falling markets by taking long and short positions in futures across a range of asset classes.

Managed futures are designed to shine when traditional asset classes stumble, a concept known as “crisis alpha.” While the handful of other ETFs in the managed futures category have held up much better than the S&P 500 Index during the current downturn, FUT is the only product in this group with a positive year-to-date return through yesterday’s trading.

This fund employs a risk-weighting methodology where each commodity, currency and fixed-income position contributes an equal amount of estimated risk to the overall portfolio during its monthly rebalancing.

FUT was up nearly 5% during the past month and 2.3% so far this year. The fund, which launched in 2016, has a three-year average annual return of 0.25%. Its expense ratio is 0.75%. But it has gathered just $2.6 million in assets, a figure that might improve if investors catch wind of its recent performance.