Managed Futures: The Empire Strikes Back

Evaluating managed futures ETFs

October 2022. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • The AUM in managed futures ETFs has increased six-fold to $1.2bn in 2022
  • However, the performance of these ETFs was highly dispersed
  • Some have low correlations to the managed futures benchmark index, which is problematic 


A snapshot of the performance of asset classes in year-to-date 2022 highlights a world of pain. Stocks, bonds, real estate, private equity, and venture capital all generated negative returns. Almost every investor will have lost money.

The only major asset class that is in the green is commodities, although less than perhaps expected as the return of the S&P GSCI Commodity Index is barely positive for the year. The long-term performance of commodities has been negative, which makes it difficult for most investors to maintain consistent exposure to this asset class.

However, managed futures products, also known as CTAs or trend following strategies, provide exposure to rising and falling commodities, as well as other asset classes, which is more palatable for most investors. There have been a few ETF launches that provide access to this strategy, which allows even retail investors to add these to their portfolios (read Managed Futures: Fast & Furious vs Slow & Steady).

Unfortunately, ETFs and liquid alternative mutual funds often do not provide the same characteristics as the underlying products they are based on. In this research article, we will evaluate the performance of managed futures ETFs.


We focus on managed futures ETFs trading in the U.S. stock market, which only includes the following fives products: WisdomTree Managed Futures Strategy Fund (WTMF), First Trust Morningstar Managed Futures Strategy Fund (FMF), iM DBi Managed Futures Strategy ETF (DBMF), KFA Mount Lucas Index Strategy ETF (KMLM), and Simplify Managed Futures Strategy ETF (CTA). WTMF was launched in 2011, so has a meaningful track record, while CTA was launched in 2022 and therefore lacks sufficient data for analysis. 

The combined assets under management of these ETFs was only $200 million in 2020, but has increased to $1.2 billion as of today. Despite on