Part of the problem for the investment category has been the lack of a stock bear market: These funds look their best when other assets are struggling. Another part has been the behavior of commodity prices. Most managed-futures funds use trend-following strategies that have them hopping aboard rising commodities and then getting out when the price starts to decline. That tactic worked spectacularly well in 2008, when commodities rose en masse in the first half of the year, and then fell in the second half. Since then, though, commodities have bounced to and fro, leaving managed-futures funds chasing their tails.