361 Managed Futures Strategy Fund &
361 Global Managed Futures Strategy Fund
The S&P 500 Index continued its upward trajectory, earning 2.06% during July. Volatility remained muted, with the S&P 500 Index realizing volatility of 5.6%. The more volatile Russell 2000 Index experienced volatility of just 10.2% during the month. Globally, the most volatile market traded in either the 361 Managed Futures Strategy Fund (AMFZX) or the 361 Global Managed Futures Strategy Fund (AGFZX) was the CAC 40 Index (France), which realized volatility of just 12.6% in July.
While volatility remained low, there were many markets that were choppy—creating some profitable trading opportunities. AMFZX earned 0.36% during the month, taking advantage of some market noise at the beginning of July. However, after getting off to a choppy start, the NASDAQ 100 Index posted profits for 12 straight trading days beginning July 7th. AGFZX benefited from profitable opportunities in the United States, Europe and Asia, generating a gain of 1.26% in July. Year-to-date both funds have produced positive returns, with AMFZX earning 0.81% and AGFZX gaining 4.94%. This puts both Funds significantly ahead of their managed futures peers, as the Morningstar Managed Futures Fund category has lost roughly 2% in 2017.
While 2017 has not been the most conducive environment for our style of trading, we have protected capital, while also producing gains. Should markets normalize, we remain confident that both Funds can add value as uncorrelated investments, having the ability to produce gains in the face of increasing market volatility, precisely when more traditional investments are likely to suffer.