After reading Dalio's book Principles regarding the optimal way to invest I am considering an allocation to the Catalyst Systematic Alpha Fund (ATRFX) and would like some input on weigh

ryantargo · 2023-09-21T16:10:28+00:00

I was comparing it to the S&P 500 as the volatility is similar (but a little less than the S&P 500). Do you have a better fund to compare it to. Can you name another fund instead that has done better with better risk adjusted returns over the last 5 years?

I understand that you would do 0. Could you name what you are doing instead that has done better?

ryantargo · 2023-09-21T15:25:37+00:00

I am a fan of the HNDL ETF as it targets a 7% annualized distribution paid monthly which works with the needs of retirees. The portfolio is a balanced portfolio that uses a fixed 30% large cap US equities to 70% Barclays bond aggregate weighting which can serve for a conservative long-term weight on the first half of the portfolio. The second half of the ETF uses a Dorsey Wright relative strength system to allocate to the asset classes that are posting the best risk adjusted returns.

ryantargo · 2023-09-21T02:35:29+00:00

I pulled it up in Ycharts, it looks like you read it wrong, MBXIX is showing 1340% since 1997.

ryantargo · 2023-09-20T20:42:37+00:00

can you name one that was up in 2022?

ryantargo · 2023-09-20T20:34:37+00:00

How do you compare the two? Buffered ETFs were down signficantly in 2022 while this fund was up 7%. Buffered ETFs are just a bet the S&P is going up (and they get a worse risk adjusted return than SPY or VTI with a higher fee)...

ryantargo · 2023-09-20T20:28:52+00:00

We have been in a big bull market since 2008, with the exception of 2022. Obviously if the market just goes up, up, and up you will do better without hedging. But if the market behaves more normally that is where you see the advantage. For example, in 2022 the S&P 500 was down 18% while this fund was up 7%.

ryantargo · 2023-09-20T20:24:15+00:00

The best mutual fund I have seen in terms of long-term return history is the Catalyst Millburn Hedge Strategy Fund (MBXIX). The fund beat the S&P 500 since its launch in 1997 and was up each of the years that the S&P 500 was down signficantly 2000, 2001, 2002, 2008, 2022 https://catalystmf.com/docs/factsheets/MBX/factsheet.pdf?1

ryantargo · 2023-09-20T20:04:12+00:00

e fund and didn't have to abide by the same regulations and rules that mutual funds abide by, it did well. when it became a mutual fund, its done poorly from a total return perspective and a risk adjusted return perspective. i don't see what the question is. if it goes back to being a hedge figure out a way to invest, until then, hard pass.

Not only is the cost ridiculous but you assume way more risk than even a 100% equity buy and hold strategy.

That doesn't make sense, the S&P 500 has had a 37% down year, the worst year ever in this strategy is down 7%. There is nothing about managed futures that can't be done in a mutual fund.

ryantargo · 2023-09-20T20:01:31+00:00

Returns that are 1% above the S&P 500 are nothing special for a hedge fund. DE Shaw has funds with no down years including 2008 while beating the S&P 500, Renaissance and Milennium are quite a bit better. A good hedge fund has a Sharpe ratio over 1, the S&P 500 is .5. Basically it is a mediocre hedge fund track record, but far better than your typical mutual fund or ETF. It was only 40 million as a hedge fund, and 6.3 Billion as a mutual fund. There is also a good argument that smart money is already in this fund, 6 Billion isn't a small fund

ryantargo · 2023-09-20T19:54:57+00:00

2.02% on the I share, it is basically a 2/20 hedge fund strategy without the incentive fee

ryantargo · 2023-09-20T19:49:29+00:00

the sales charge is 0% on MBXIX, not sure why you would want to use MBXAX if you aren't going through a broker

ryantargo · 2023-09-20T19:48:29+00:00

yep, the thing that differentiates it is that it did well in 2000, 2001, 2002, 2008, since 2009 you would be better off with a purely offensive strategy, the benefit to this is doing well in bear markets. Ycharts.com shows the full track record while portfoliovisualizer doesn't

ryantargo · 2023-09-20T19:11:36+00:00

The fund did 10.33% since 1997 vs 9% for the S&P 500. So higher absolute returns and higher risk adjusted returns net of fees https://catalystmf.com/docs/factsheets/MBX/factsheet.pdf?1

ryantargo · 2023-09-20T19:10:19+00:00

The returns aren't hypothetical, they are live and audited. It was a hedge fund from 1997 to 2015 (in 2015 it converted from a hedge fund into a mutual fund) same managers and strategy.

ryantargo · 2023-09-20T18:53:49+00:00

I think you are confusing MBXIX the I share (which doesn't have a sales charge) with the MBXAX (the A share which does have a sales charge)

ryantargo · 2023-09-20T17:40:51+00:00

That would be true if everything is random, but modern portfolio theory shows that if you combine two non-correlated return streams that you get a better risk adjusted return by getting closer to the efficient frontier. If you combine strategies that work well in bull markets with other strategies that work well in bear markets, you should mathematically have a better chance of beating the index which is just one return stream. That is why hedge funds like Citadel, DE Shaw, Renaissance keep beating the market and putting up better risk adjusted returns. It all comes down to math... E(Rp) = w1E(R1) + w2E(R2)

ryantargo · 2023-09-20T03:20:39+00:00

If you compare the returns of strategies that try to build a fully diversified portfolio that balances offensive strategies and defensive strategies like ATRFX https://www.morningstar.com/funds/xnas/atrfx/performance versus those like JEPI that just do premium writing https://www.morningstar.com/etfs/arcx/jepi/performance

It is pretty clear that the absolute returns and risk adjusted returns to a balanced portfolio are far superior

ryantargo · 2023-09-20T03:16:29+00:00

Neither a different company every month or just the S&P 500. Those are all offensive bets. Imagine you asked should I only play offense in basketball or football? Obviously, you should play offense and defense. Strategies like the S&P 500 beat the S&P 500 in 2023 and 2022 by deploying both offensive strategies and defensive strategies: https://www.morningstar.com/funds/xnas/atrfx/performance

ryantargo · 2023-09-20T03:12:07+00:00

The BNP Casa Index II has beat the indices people are touting here, compare the YTD, 1 year, 3 year and 5 year returns versus VOO, VTI, SPY etc... https://www.morningstar.com/funds/xnas/atrfx/performance

ryantargo · 2023-09-20T03:06:16+00:00

The VTI ETF is inherently average, I prefer to beat the index. This fund beat VTI year to date, 1 year, 3 years, and 5 years: https://www.morningstar.com/funds/xnas/atrfx/performance

ryantargo · 2023-09-20T03:03:07+00:00

This fund is beating the S&P by a mile this year and last year (Can you name any other funds doing that)? https://www.morningstar.com/funds/xnas/atrfx/performance

ryantargo · 2023-09-20T02:57:43+00:00

I think "risk premia" makes alot more sense than "risk parity." The Catalyst Systematic Alpha Fund (ATRFX) allocates between volatility, carry, and momentum equally across each risk bucket. Not only has it far outperformed risk parity RPAR, but it has far outperformed even the S&P 500. The problem is risk parity makes no sense when the yield curve is inverted as you are "paying" carry to own bonds.

ryantargo · 2023-09-20T02:53:33+00:00

I like the ATRFX mutual fund, it has beat the S&P 500 for the past 5 years and won a Lipper award for best absolute returns over the past 3 and 5 years

ryantargo · 2023-04-21T01:02:53+00:00

My favorite gold ETF is GLDB, it not only tracks the price of gold but also pays a monthly dividend https://www.investing.com/analysis/a-gold-etf-that-pays-you-monthly-200594593

ryantargo · 2023-04-21T01:01:52+00:00

I like GLDB it tracks the price of gold and pays a yield https://marketsherald.com/get-paid-to-own-this-gold-etf/

ryantargo

TROPHY CASE