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It is doing exceptionally well, but pay attention to the returns for each calendar year from 2015 to 2019: https://morningstar.com/funds/xnas/pqtix/quote This fund does well when managed futures funds do well and they usually need definitive trends in capital markets to do so. They hop on the trend up or down and ride it like a surfer. A small allocation can make sense, but probably not too much.
Diane, I have used PQTIX for a few years and a couple of other funds in the Managed Futures space in an attempt to diversity my portfolio and add some assets that are not correlated to the stock and bonds markets. I also thought they might perform well in the inflationary environment we are in now and I thought was coming with the government Covid spending.While managed futures have performed well, as of late, their long term record is not as impressive. I like Managed Futures for the diversifying features but they also have some strong negatives. Opaqueness of strategy and holdings is a major drawback but reading all the literature and reports the advisors or sub advisors publish can help clear a lot of that up. The expense ratios are ridiculously high. There is the opportunity cost of holding them when they may underperform in a bull market and how much that insurance is worth in the next downturn and that is only if the managers models are mostly correct and they can perform as well as they have this bear market next time. I would also try and hold these in a tax deferred account they can be tax inefficient. I hope that helps.
I own some and (more) KMLM in the same space. The latter does not have a long record as an ETF, but its managed futures strategy dates to 1993. It seems to have avoided the string of mediocre years of performance that PQT_X racked up, as Lewis highlighted. ER for KMLM is 0.9%, or half of the PIMCO fund. Nice presentation at kfafunds.com/kmlm in which they explain in detail the make up of their proprietary special sauce, the KFA MLM managed futures strategy. They also detail the long-term performance of their Index. Thanks to @wxman123 for the tip on this ETF.
Managed-futures funds are supposed to latch on to some trend, up or down, to make money. But as far as stocks/SP500 is concerned, PQTIX has been NEGATIVELY correlated. This is seen in the ratio chart of PQTIX:SPY; the bottom panels show PQTIX and SPX. In a ratio chart, down-trend means underperformance, up-trend means outperformance, flat means in-line performance. Timeframe used is 5 yrs but may default to 1 yr later.
My experience is that managed futures and similar strategies work until they don't, but they tend to work when nothing else does. IMHO, holding long term is not a great idea unless they're a very small piece of the portfolio.
Buying right now, after a ~10% runup in the last month for funds like AMFAX, may not be a great idea either, purchase price having very much to do with returns, short and long term.
AHLPX is, generally speaking, a less volatile fund in the space.
I'm glad to see KMLM reaching decent volume levels. Don't own it myself, but may at some point.
As a theory, managed futures sound wonderful, but I like many others have been disappointed. I bought AHLPX after extensive research helped me decide it had the best and least volatile track record. I held it for about six months in 2021 when it basically fell 6 % or so. Since then it is up about 16%.
Like a lot of "black box" funds, it is hard to predict how it will preform when you need it the most.
I think it is easier to have a defined short position or even inverse ETF for a negative correlation to the markets, if you are unable or unwilling to decrease equity exposure.
But, PGAGX - PGIM Wadhwani Systematic Absolute Return Fund gained 0.66%! PGAGX, a fairly new fund, is currently on my watch list. Looking for lower volatility funds in this category. So far, so good.
According to the Financial Times, the investment objective of the related UK fund is to seek a positive return on capital while simultaneously attempting to limit the risk of capital loss using a multi-faceted risk management. PGAGX intends to achieve its investment objective through investment in financial markets globally, gaining exposure through the use of financial derivative instruments to currencies (through forward foreign exchange contracts), fixed income securities (through bond futures) and equity securities (through equity index futures and equity index swaps) or by investing directly in equities.
Per M*, the manager, Dr. Sushil Wadhwani, CBE, is the Chief Investment Officer for QMAW, originally founded as Wadhwani Asset Management in October 2002. Prior to joining QMA, Sushil served as the Founder and Chief Executive Officer of Wadhwani Asset Management. He was formerly a full-time member of the Monetary Policy Committee at the Bank of England from 1999 to 2002. Prior to this, his roles included director of research, head of systems trading and partner at the Tudor Group, and director of equity strategy at Goldman Sachs International Ltd, and as an academic economist at the London School of Economics. He has over 25 years of quantitative modelling experience and runs a high calibre team of quantitative and qualitative research analysts...
@Fred, I'm impressed enough with PGAGX that I bought a first block of shares this week. I'd bet a main reason for relatively low volatility is the fact that it doesn't include commodities.
You must have seen the fact sheet that lays out the investing universe clearly and succintly. I like how they present the holdings, apparently monthly, since the current one as of a couple of days ago was for April, so not just quarterly. As you wrote, PGIM presents it as an absolute return fund.
There is a separate thread on the fund, started by Lewis B.
@fred495: you’re right about PQT_X taking a hit yesterday; so did KMLM. However, with today’s merde show in the markets, KMLM has recovered smartly. I suspect the PIMCO funds will be positive this evening. Thanks for the info on the Wadhwany fund. PGIM seems to have several small shops under its large wing.
Hi @Diane I bought a small amount of PQTAX earlier this year and have been pleased that it has reduced volatility. I have also considered AMFAX. For someone who likes ETFs, they may want to consider the iMGP DBi Managed Futures Strategy ETF (DBMF).
While these funds don't do well during bull markets they have done well during the 2020 bear market and this year.
Comments
So, PQTIX bet has been on other markets outperforming the SP500 and that has only worked recently. I held it for several years but dumped it (prematurely) before its recent spurt. In general, I have been disappointed with both managed-futures and long-short funds.
https://stockcharts.com/h-sc/ui?s=PQTIX:SPY&p=D&yr=5&mn=0&dy=0&id=p09370989141
Buying right now, after a ~10% runup in the last month for funds like AMFAX, may not be a great idea either, purchase price having very much to do with returns, short and long term.
AHLPX is, generally speaking, a less volatile fund in the space.
I'm glad to see KMLM reaching decent volume levels. Don't own it myself, but may at some point.
YMMV.
Like a lot of "black box" funds, it is hard to predict how it will preform when you need it the most.
I think it is easier to have a defined short position or even inverse ETF for a negative correlation to the markets, if you are unable or unwilling to decrease equity exposure.
But, PGAGX - PGIM Wadhwani Systematic Absolute Return Fund gained 0.66%! PGAGX, a fairly new fund, is currently on my watch list. Looking for lower volatility funds in this category. So far, so good.
According to the Financial Times, the investment objective of the related UK fund is to seek a positive return on capital while simultaneously attempting to limit the risk of capital loss using a multi-faceted risk management. PGAGX intends to achieve its investment objective through investment in financial markets globally, gaining exposure through the use of financial derivative instruments to currencies (through forward foreign exchange contracts), fixed income securities (through bond futures) and equity securities (through equity index futures and equity index swaps) or by investing directly in equities.
Per M*, the manager, Dr. Sushil Wadhwani, CBE, is the Chief Investment Officer for QMAW, originally founded as Wadhwani Asset Management in October 2002. Prior to joining QMA, Sushil served as the Founder and Chief Executive Officer of Wadhwani Asset Management. He was formerly a full-time member of the Monetary Policy Committee at the Bank of England from 1999 to 2002. Prior to this, his roles included director of research, head of systems trading and partner at the Tudor Group, and director of equity strategy at Goldman Sachs International Ltd, and as an academic economist at the London School of Economics. He has over 25 years of quantitative modelling experience and runs a high calibre team of quantitative and qualitative research analysts...
Fred
You must have seen the fact sheet that lays out the investing universe clearly and succintly. I like how they present the holdings, apparently monthly, since the current one as of a couple of days ago was for April, so not just quarterly. As you wrote, PGIM presents it as an absolute return fund.
There is a separate thread on the fund, started by Lewis B.
Cheers, AJ
While these funds don't do well during bull markets they have done well during the 2020 bear market and this year.