361 Managed Futures Strategy Fund &
361 Global Managed Futures Strategy Fund
2018 began much like 2017 ended, with equity markets trending higher. For the month of January, the S&P 500 Index gained 5.73%, while the MSCI World Index returned 5.28%. Despite trending markets with little volatility, both of 361’s Managed Futures Funds had positive months with the 361 Managed Futures Strategy Fund (AMFZX) gaining 0.51%, while the 361 Global Managed Futures Strategy Fund (AGFZX) gained 1.09%.
Trading in the U.S. and Asia generated profits, however, Europe continued to be a drag on the portfolio, costing AGFZX roughly 0.2%.
For AMFZX, counter-trend trading in the equities markets accounted for an approximate gain of 1% to the Fund. Gains were equal across contracts with a slight performance edge to the Russell 2000 Index.
The Fund does deploy a volatility trading strategy which was a slight detraction of approximately 50 bps for the month. Given the recent events regarding some volatility trading strategies outside of 361 Capital, it is important to note that we do not use any explicit or implicit leverage with this strategy. Further, VIX exhibited behavior inconsistent with environments we look to exploit and as a result, our model removed us for any exposure to volatility prior to the events of early February.
As it relates to the core of the strategy, with increased volatility, both AMFZX and AGFZX should have a richer opportunity set and be well positioned to provide much sought-after diversification during a challenging time for most investment strategies.