June 6, 2011
Attain Capital
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We’ve written in the past about Wisdom Tree’s Managed Futures Strategy Fund (WDTI) and our hangups with the product. We ruffled enough feathers to get a direct response to our criticisms, and now, chief investment strategist and co-founder Luicano Siracusano has defended the fund to Opalesque. We were eager to gain more insight into the offering, but unfortunately, found some of the answers a little lack luster. Some nuggets from the interview included:
“We looked for a way to create an ETF that is not correlated with US stocks and US bonds.”
Not something correlated with managed futures ? That’s what the name implies…
“Technically this is not an index fund.”
So it is not tracking the managed futures index? Again, what about the name of the product?
In the past eight years the DTI benchmark has outperformed US stocks, US bonds and some of the long-only commodity indexes including the Goldman Sachs index.
What about its performance compared to the managed futures indices?
“…some CTAs may be interested in our ETF as a way to put their cash to work when they’re in between rolling positions and want to get the returns that correspond to trend following strategies.
No CTA worth a darn is going to take on unknown risk on a model not of his/her own design. In addition, we’re not sure he understands that the bulk of CTAs manage ‘futures accounts’… through which you can’t buy ETFs in…
We respect the folks at Wisdom Tree, and aren’t really trying to pick a fight. But these interview answers confirm what we’ve been saying all along. Naming your product a ‘managed futures ETF’ heavily implies that it is designed to track managed futures. But by the CIO’s own admission, it was deisgned to be non-correlated to stocks and bonds, not to be correlated to managed futures, and is not an index fund (meaning it doesn’t track an index). All we’re saying is that this product isn’t likely to track alongside managed futures very well moving forward (and hasn’t in the past), and, because of that, is poorly named. It should be re-named ‘single trend following model ETF’ or something similar, instead of misleading people into thinking they are getting managed futures exposure.
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June 7, 2011
I agree, and they are not the only ones. Only 6 out of 14 supposed managed futures mutual funds that I reviewedreally provided managed futures exposure. If I recall correctly, your blog has previously mentioned a couple of others that do not – the two Rydex funds.
June 8, 2011
Absolutely correct. For us, it’s a lot about the presentation of the project.