Are ferrite beads supposed to be magnetic?
Yes, ferrite will be ferromagnetic. A strong magnet should glomp onto the core that's inside the plastic snap-on housing. It should be visible when you open the housing since the two halves of the core must be in contact for the core to work properly. 



There will be negligible remanence so it won't be attracted to, say, iron filings as a magnet would be. It also won't be highly electrically conductive (certainly not like copper or aluminum). 

If it isn't ferromagnetic (attracts a magnet) maybe it's fake or something.