Top 3 Managed Futures ETFs of 2022 | ETF Trends

In the tailspin of markets in 2022, alternatives gained strong favor with investors and advisors alike. Managed futures ETFs were some of the top-performing ETFs in 2022, gaining popularity for their ability to thrive in an environment of extended volatility when equities and bonds both suffered.

Managed futures strategies proved their reputation as crisis alpha generators in 2022, capturing the market regime shift and capitalizing on changing trends, offering portfolios a strong diversification opportunity as well as solid performance by the top funds. Managed futures take both long and short positions on a range of asset classes through the futures market, and in a year when so much underperformed, that ability to be short proved a major boon.

  1. The KFA Mount Lucas Managed Futures Index Strategy ETF (KMLM), formerly KFA Mount Lucas Index Strategy, is a fund that is positioned to capitalize on continuing changes in currencies, commodities, and global fixed income markets. The fund is up 25.25% YTD as of December 13 and has net flows of $263.91 million this year. KMLM’s benchmark is the KFA MLM Index, an index that uses a trend-following methodology, and the fund is a modified version of the MLM Index, an index that includes 11 commodities, six currencies, and five global bond markets. The fund rebalances monthly.
  2. The iMGP DBi Managed Futures Strategy ETF (DBMF) is an actively managed fund that seeks long-term capital appreciation by investing in some of the most liquid U.S.-based futures contracts in a strategy utilized by hedge funds. DBMF is up 19.51% YTD as of December 13 and has net flows of $993 million this year. The fund’s position within domestically managed futures and forward contracts is determined by the Dynamic Beta Engine, which analyzes the trailing 60-day performance of CTA hedge funds and then determines a portfolio of liquid contracts that would mimic the hedge funds’ averaged performance (not the positions). It invests across equities, fixed income, currencies, and commodities.
  3. The Simplify Managed Futures Strategy ETF (CTA) was launched in March of this year and seeks long-term capital appreciation through systematic investing while attempting to create an absolute return profile with low correlation to equities. The fund is up 6.39% YTD as of December 13 and has net flows of $296 million this year. CTA utilizes systemic models designed by Altis Partners to compare recent returns of various futures contracts and analyze data points that include relative and absolute momentum signals across equities, commodities, fixed income, and currencies.

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