Daily ETF Watch: ProShares Debuts Alts Fund

October 03, 2014

New managed futures fund invests in commodities, currencies and fixed income.

On Thursday, ProShares rolled out a managed futures ETF that joins two other funds offered by First Trust and WisdomTree.

The ProShares Managed Futures Strategy ETF (FUTS) tracks the S&P Strategic Futures Index and comes with an expense ratio of 0.75 percent.

The underlying index takes a quantitative approach, using momentum to determine whether it should adopt a long or short position in each of its 24 components, which include 16 commodities, six developed-market currencies and two Treasury debt securities.

The biggest ETF operating in the managed futures space is the WisdomTree Managed Futures Strategy ETF (WDTI | C-73), which is actively managed and has nearly $180 million in assets. WDTI made its debut in early 2011. Despite its active management, the fund implements what the firm describes as a “quantitative, rules-based strategy” that is meant to reflect the performance of the Diversified Trends Indicator, which is very similar to FUTS’ benchmark in terms of its use of long and short positions, momentum weighting and components.

The only other competitor is the First Trust Morningstar Managed Futures Strategy Fund (FMF), which has a little more than $12 million in assets under management and launched in July 2013. Like WDTI, it is ostensibly actively managed and its portfolio is based on the Morningstar Diversified Futures Index. It can hold long, short or flat positions.

FMF was rolled out just a few months after iShares closed its own managed futures ETF, the iShares Diversified Alternatives Trust (ALT). Although the nearly four-year-old fund had nearly $60 million in assets under management, iShares said that it had failed to resonate with investors and shut it down.

WDTI and FMF annual expense ratios of 0.96 percent and 0.95 percent, respectively, about 20 basis points more than FUTS. The lower price, likely due to its closer adherence to its benchmark, could provide FUTS with an advantage over both funds.

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