E.T.F.s are securities that hold a portfolio of stocks and trade shares throughout the day. At first, these securities mostly just mirrored the holdings of major stock indexes, but they have since grown increasingly complex, with some relying on derivatives to amplify returns.

Trading in E.T.F.s has recently touched a nerve on Wall Street. Big-name investors like Carl C. Icahn and Leon Cooperman have blamed them for causing violent gyrations in the market. Laurence D. Fink, the chief executive of BlackRock, which is a big seller of more traditional E.T.F.s, has warned that leveraged E.T.F. strategies — those that rely on derivatives — could “blow up” the entire industry one day.

In 2009, both the Securities and Exchange Commission and the Financial Industry Regulatory Authority warned about the risks of investing in the strategy. “Investors should be aware that performance of these E.T.F.s over a period longer than one day can differ significantly from their stated performance objectives,” the regulators said in an investor alert.

The back-tested results for the Spruce Alpha fund may not have taken into account how markets and investors would react given the kind of circumstances that took place in August. The hypothetical results could have underestimated the fact that some E.T.F.s are used as trading instruments that big money managers move quickly in and out of in times of extreme market volatility.

In a disclaimer to its marketing materials, Spruce Alpha also noted some of the unreliability of back-tested returns. The hypothetical results “do not represent the results of actual trading” and “were achieved by means of the retroactive application of a hypothetical model that was designed with the benefit of hindsight and could be adjusted at will until desired or better performance results were achieved,” the disclaimer reads.

The tests had apparently not simulated a situation like Aug. 24, when some E.T.F.s seized up in the first few minutes at the start of trading. But a handful of nimble managers still managed to excel, some even maintaining double-digit returns for the year at the end of the month.

Todd Rosenbluth, director of E.T.F. research for Standard & Poor’s Capital IQ, said leveraged E.T.F.s were an inherently risky strategy that is more akin to “gambling than investing” and should be viewed as purely a trading strategy.