361 Managed Futures Strategy Fund & 361 Global Managed Futures Strategy Fund
The S&P 500 Index posted gains for the seventh straight month in May, earning 1.41%. Volatility remained extremely low, as the S&P 500 Index realized volatility of less than 8% during the month. However, despite low volatility, most markets were fairly noisy or choppy during the month. The main exception continues to be Nasdaq 100 Index, which is the main driver of the trading models in AMFZX. So far in 2017, the Nasdaq 100 Index has been positive 70% of days and has earned nearly 20%. May was no exception as the index gained 3.68%.
In May, the 361 Global Managed Futures Strategy Fund (AGFZX) and the 361 Managed Futures Strategy Fund earned 0.45% and 0.18% respectively. AMFZX had two positive long trades during the month but gave much of its gains back on one short trade. AGFZX had 21 trades during the month and was profitable on 81% of them. However, given the extremely low volatility, the gains tended to be smaller. While 2017 has been a difficult environment, both AGFZX and AMFZX performed in line with expectations returning 3.45% and -1.09% respectively.