Alternatives ETF methodology

90 US listed alternatives ETFs across 9 strategies. A fund is here when its name points to an alternative strategy and its latest prospectus describes one. Either alone is not enough. Many hedged funds hedge only currency, and many prospectuses mention long and short positions or tail risk in passing.

A fund another category already measures stays there: option income funds that hedge in Income, buffer funds in Buffer, leveraged and inverse funds in Leverage. A fund named as an income fund stays in Income too. 19 funds whose names suggest an alternative strategy, but whose prospectus does not, are held back for a hand review. CSM, HOLD and HXE are read on an editorial decision, because their names do not say what they do. The prospectus still decides the strategy. FMF is included on an editorial decision: its name states the strategy and the prospectus does not settle it.

The framework is Morningstar’s category names, from its October 2025 US definitions. This site prints plainer names. Morningstar licenses its own fund assignments. Every assignment here is ETFIQ’s own, made from public filings. Two Morningstar categories are left out because this site already covers them: derivative income is Income, and defined outcome is Buffer.

• Weekly returns 52 seven-day returns ending on one date for the fund and for the S&P 500: the earlier of the fund’s last close and SPY’s. Each week runs from the close on or before one date to the close on or before the date seven days later, with distributions reinvested. Weekly, not daily: a futures fund or a fund holding foreign shares prices at different times from the New York close, so daily returns would pair days that did not see the same news. The year measured today runs from Nov 5, 2025 to Nov 4, 2026.
• The S&P 500 Measured through SPY with dividends reinvested. A holder of the index gets its dividends, and the index level does not include them.
• Correlation The Pearson correlation of the fund’s 52 weekly returns with SPY’s. At 1 the two move together, at 0 there is no pattern, and below 0 the fund tended to move the other way. Two decimals.
• Beta The covariance of the two sets of weekly returns divided by the variance of SPY’s. It shows how far the fund moved, on average, for each 1% move in the index. Two decimals.
• A down week A week in which SPY’s return was below zero. A week that ended exactly level is not a fall. The year to Nov 4, 2026 had 26 of them.
• Down-week capture 100 times the fund’s average return in the down weeks divided by SPY’s average in the same weeks, on unrounded averages. At 100% the fund fell as much as the index, at 50% half as much, and below zero it rose. It needs at least 8 down weeks. A fund whose year had fewer has no data. One decimal. This is not Morningstar’s downside capture ratio, which is usually monthly, compounded and over three years, so the two sites show different numbers.
• Against T-bills The fund’s total return minus BIL’s over the same 52 weeks, in percentage points. BIL holds one- to three-month Treasury bills. It sits beside the score and is not part of it. A fund can steady a portfolio by losing money slowly, and you should see that on the same line.
• When stocks fell The S&P 500’s worst calendar month of the last 12 complete months, measured through SPY with dividends reinvested, from the last close of the month before to the month’s last close. Each fund’s total return covers the same two closes. A fund that did not trade every day of that month has no data. Today that month is March 2026, when SPY returned −4.9%. Each fund’s number is checked against its own NAV return for the month, from the issuer’s daily NAV where ETFIQ stores it, otherwise from the fund’s N-PORT filing. The two must agree within 1 percentage point, or the fund has no data. A fund with neither is held to a limit of 40% either way.
• The Stock Diversification Score The average of two percentiles within one set, the alternatives ETFs with a full year of weekly returns. One percentile is on correlation and one on down-week capture. Lower is better for each, and they count equally. 39 funds are in the set today. How every score is computed.
• The answer in words Fund pages describe down-week capture in words, from the number rounded half up to a whole number, so the words and the number agree. Below zero the fund rose when the S&P 500 fell; at zero it barely moved; from 1 to 94 it fell that share as much; from 95 to 105 it fell with the index; above 105 it fell more, stated as a multiple of the index’s fall.
• Comparisons Two alternatives ETFs are compared only when they run the same strategy, neither is thinly quoted, and only over the same weeks. Each fund is also compared with the index funds it is most often held beside: SPY, VOO, IVV, QQQ, AGG, BND, TLT and GLD.
• Net assets The freshest dated number: the issuer’s daily file or fund page where it states one, then the latest N-PORT filing, a month end that can be months old. Of the 90 funds, 82 carry a number today, 45 of them from a filing and 37 from the issuer. Each fund page names the source and date.

9 funds linked to the Cboe VIX index through its futures, in four groups: long, inverse and short, leveraged, and volatility income. Most are commodity pools or exchange traded notes with no prospectus strategy to classify. Each is listed by hand with the filing that names its index. UVIX and SVIX stay in Leverage.

• The rebuilt indices S&P licenses its VIX futures index levels, so ETFIQ rebuilds the short-term and mid-term indices from Cboe’s daily settlement of every monthly VIX future, by the roll S&P publishes, from 100 on Jan 16, 2018. The short-term index moves a share of the first month into the second at each close, one over the business days in the roll period; the mid-term index holds a third each in the fifth and sixth months and rolls the fourth into the seventh. The total-return level adds a three-month Treasury bill’s interest (H.15, through FRED).