ETF investors are always searching for unique strategies that offer promises of inflation protection or anti-volatility positioning. These funds are often drawn up using sophisticated back-testing analysis and touted as a strong “alternative” to compliment your existing portfolio of stocks and bonds.

However, there are some instances where the strategy either falls flat from the get-go or simply doesn’t work given the current circumstances surrounding global markets. There is a big difference between theory and practice when applied to investment instruments that follow a sophisticated index or other niche approach.

Let’s examine a few instances of ETFs that can’t seem to get in sync with the markets.

WisdomTree Managed Futures Strategy Fund (WDTI)

At the outset, a managed futures strategy fund sounds like a very complex vehicle and WDTI is no exception. This ETF seeks to provide non-correlated returns to traditional stocks and bonds by investing in a quantitative rules-based index that seeks to identify rising or falling trends in commodity, currency, and Treasury futures.

My attempt to simplify that last sentence is that WDTI invests in long and short positions of various alternative asset classes to try and outperform the market. It’s known as an alternative strategy because it doesn’t correlate with the normal ups and downs of a conventional portfolio.

Of course, that also means it’s hard for investors to understand how the fund is constructed, how its underlying investments change over time, and why its expense ratio is so high at 0.95%.

According to the fund company website, WDTI has negative returns of -3.44% per year since its inception in January 2011 through January 2016. This equates to -16.25% overall during that time frame. In addition, the fund has paid no dividends to shareholders in the last four years.

This ETF currently has $198 million in total assets and was likely conceived as more of an institutional tool than for a typical retail investor. It may very well just be lying in wait for a perfect moment to turn on the afterburners. Nevertheless, I would be careful about fully understanding the methodology behind an intricate fund of this nature before committing capital to its cause.