The S&P 500 fell in 24 of the 52 weeks measured, losing 0.99% on average in those weeks. ETFIQ tracked 63 alternatives ETFs over the same stretch, sorted by strategy, to see how each behaved when stocks were down. Eighteen of the 63 rose, on average, in those same weeks. Across all 63, the median fund's down-week average came to 34% of the index's loss, a number the industry calls down-week capture. A negative capture number means the fund rose while the index fell; a small positive number means it fell, but by less.
The seven strategies did not behave alike. Managed futures, with 18 funds, had the lowest median correlation to the S&P 500 at +0.26 and the lowest median down-week capture at 11.9%, and seven of its 18 funds rose in down weeks. Event driven, a smaller group of five, had a median correlation of +0.19 and a median down-week capture of −7.8%, meaning the typical fund in that group gained ground while stocks fell. Hedged equity, the largest strategy with 21 funds, sat at the other end: a median correlation of +0.90 and a median down-week capture of 56.1%, with only three of its 21 funds rising in down weeks. Long-short equity, multi-strategy, global macro and the single market-neutral fund fell in between or, in market neutral's case, showed a negative correlation of −0.65 with a down-week capture of −110.8%.
Individual funds spread widely inside their own strategies. BTAL, the market-neutral fund, averaged +1.10% in weeks the index fell, for a down-week capture of −110.8%, but it also finished 23.4 points behind T-bills over the full year. CTA, a managed futures fund, averaged +0.80% in down weeks with a capture of −80.7%, finishing 6.1 points ahead of T-bills. At the other end, QTR, a hedged equity fund, averaged −1.46% in the index's down weeks, a capture of 147.7%, meaning it fell by more than the index did, while finishing 12.2 points ahead of T-bills for the year as a whole.
Falling less, or even rising, when stocks fall is not the same as making money. Of the 63 funds, 50 finished ahead of T-bills over the same 52 weeks; among the 18 funds that rose on average in down weeks, 12 also beat T-bills. BTAL is one case where the two outcomes split: it rose in down weeks by the widest margin in the table, yet trailed T-bills for the year. QIS, a multi-strategy fund, shows the same split from a different angle, with a down-week capture of 64.9% and a T-bill gap of −41.7 points, the widest shortfall in the table.
Readers can pull any ticker from the second table on the live desk to check its correlation, down-week capture and T-bill comparison against the full 52-week history behind these numbers.