Tag Archives: strategy

Lower Risk Versions Of A Dual Momentum Fixed Income Strategy

Summary This article presents the performance and risk of Lower Risk Versions (LRVs) of a dual momentum fixed income strategy as compared to a High Risk Version (HRV) presented previously. The difference between the LRVs and HRV is the number of assets per month; the HRV selects one asset per month, while the LRVs select multiple assets per month. The LRV-3 (3 assets per month), backtested to 1994 using mutual fund proxies, has a CAGR of 10.2%, a standard deviation of 6.3%, and a maximum drawdown of -6.1%. The minimum annual return of LRV-3 is -2.4% in 1994. All other annual returns are positive. The LRVs are more robust than the HRV, and should be used by more conservative investors, who desire reasonable growth with less volatility and drawdown. In a recent article on Seeking Alpha, I discussed a simple tactical bond ETF strategy employing relative strength momentum. This strategy is explained in detail here . I will call the original strategy the High Risk Version (HRV) of the fixed income strategy, since only one ETF is selected each month (out of a basket of five ETFs). This article presents Lower Risk Versions (LRVs) of the same momentum strategy. For LRVs, a multiple number of ETFs are selected each month in order to reduce volatility and drawdown compared to the HRV, while still maintaining a CAGR greater than an equalweight portfolio holding all five assets. My basic objectives of the LRVs are: 1. A CAGR > 10%; 2. A standard deviation (SD) that is less than the SD of an equalweight portfolio of all assets; 3. No negative years of return; and 4. A maximum drawdown based on monthly returns of less than 7%. I started out by making a slight modification to the original HRV strategy in order to turn the strategy into a dual momentum strategy. The original methodology only used relative strength (no absolute momentum) to determine what asset to select. But, in a way, the original HRV that selected only one asset each month was really a dual momentum strategy, because a short-term treasury was included in the basket of assets. In order to determine the effect of selecting multiple assets each month rather than just one asset, I needed to use a true dual momentum approach instead of a relative strength strategy. So I have switched to the dual momentum technique in this study. Dual momentum strategies have been popularized by Gary Antonacci and are well-known to many investors. Dual momentum means relative strength momentum is first used to select the top-ranked asset(s) each month, and then the top-ranked asset(s) have to pass an additional absolute momentum test (must have positive momentum) in order to be selected in any given month. I selected a basket of five fixed income assets that have relatively low correlation to each other. A major challenge in developing fixed income strategies is the short history of fixed income ETFs. This results in rather limited backtesting for the ETFs. To extend the backtesting, mutual fund proxies are used that have longer histories; this permits backtesting of the strategy to the 1990s. Shown below are the assets in the basket, both the ETF and the mutual fund proxy. Convertible Bonds: SPDR Barclays Capital Convertible Bond ETF (NYSEARCA: CWB ) – Vanguard Convertible Securities Fund (MUTF: VCVSX ) High Yield Bonds: SPDR Barclays Capital High Yield Bond ETF (NYSEARCA: JNK ) – Fidelity Advisor High Income Advantage Fund (MUTF: FAHDX ) Long Term Treasury: iShares 20+ Year Treasury Bond ETF (NYSEARCA: TLT ) – Vanguard Long Term Treasury Fund (MUTF: VUSTX ) Short Term Treasury: iShares 1-3 Year Treasury Bond ETF (NYSEARCA: SHY ) – Vanguard Short Term Treasury Fund (MUTF: VFISX ) Emerging Market Bonds: PowerShares Emerging Markets Sovereign Debt Portfolio ETF (NYSEARCA: PCY ) – Fidelity New Markets Income Fund (MUTF: FNMIX ) In the original article, I used CNSAX as proxy for CWB and PREMX as proxy for PCY. But based on comments by EquityCurve in the original article, in order to get backtesting to 1994 instead of 1998, I changed to VCVSX instead of CNSAX and FNMIX instead of PREMX. So backtesting of the mutual funds now goes back to 1994. 1994 turns out to be a difficult year for bonds and I’m glad I could include it in the analysis. (All of this work was performed using the free Portfolio Visualizer software. Any investor can go online and trade the strategies in this article without any cost.) It turns out that the dual momentum strategy using this basket of assets is very robust, and good results are seen if one, two, three, four or all five ETFs are selected each month. There is the usual tradeoff between growth and drawdown depending on the number of assets selected each month. The greater the number of assets selected, the less the risk and growth. I will now present the results of the HRV that selects only one asset each month. These results are similar to the results presented in the original article, and are presented here just to be consistent with the results of the LRVs shown later in this article. The basket of mutual funds is used, and the backtesting timeframe is 1994-present. Two relative strength timing periods are employed to rank the funds: 4-months and 2-months. A 51% weighting on the 4-month ranking and a 49% weighting on the 2-month ranking is used. The 51%/49% weighting split is a good way to ensure that the 4-month timing period determines the better-ranking asset if there is a tie. The total return curves of the HRV, the equalweight portfolio (buy and hold all five assets, rebalanced annually), and the S&P 500 are shown below, together with a table of their relevant parameters and annual returns. Total Return Curve of HRV: (click to enlarge) Tabular Summary of HRV Results: (click to enlarge) Annual Returns: (click to enlarge) It can be seen that the HRV has a CAGR of 15.0%, an SD of 10.4%, and a maximum drawdown (based on monthly returns) of -13.0%. In terms of a risk-adjusted return on investment, the CAGR/SD is 1.44. This compares with holding an equalweight portfolio that has a CAGR of 7.8%, an SD of 7.0%, a maximum drawdown of -17.6%, and a CAGR/SD of 1.11. It can be seen that the HRV substantially increases growth at the expense of volatility (standard deviation). Yet the maximum drawdown is actually better for the HRV than the equalweight portfolio holding all five assets. For the LRVs, I systematically looked at various combinations of timing periods and number of assets selected each month. Overall, when two or more assets are selected each month, the strategy tends to be very robust in terms of what timing periods are used for relative strength ranking. This means the strategy works well for various sets of timing periods and results do not change dramatically when timing periods are varied slightly. With some flexibility in what timing periods to choose, I decided to use the same timing periods that I employed for the HRV in my previous article, namely 4-months and 2-months. I first show graphical results when one, two, three, four and five assets are selected each month. A logarithmic scale of total return is employed. One asset (HRV): (click to enlarge) Two assets (LRV-2): (click to enlarge) Three assets (LRV-3): (click to enlarge) Four assets (LRV-4): (click to enlarge) Five assets (LRV-5): (click to enlarge) The results of LRV-5, compared to the equalweight portfolio, identify the effect of absolute momentum. It can be seen that absolute momentum mainly plays a role in reducing drawdown, and does not significantly affect growth in the years when drawdown does not occur. The beneficial effect of absolute momentum continues to be seen as the number of assets is reduced using relative strength. When the number of assets is reduced using relative strength, higher portfolio growth is seen as expected. The highest growth, of course, comes when only one asset is selected each month corresponding to the HRV. The tabular form of the overall results is shown below: (click to enlarge) The tradeoff between performance and risk is seen in the table above. Based on the objectives stated previously, the best LRV is LRV-3 (three assets each month). LRV-3 has a CAGR of 10.2%, an SD of 6.3%, a maximum drawdown of 6.1%, and CAGR/SD of 1.62. This compares well against the equalweight portfolio that has a CAGR of 7.8%, an SD of 7.0%, a maximum drawdown of -17.6%, and a CAGR/SD of 1.11. Thus, the LRV-3 has significantly higher CAGR, lower SD, and substantially lower drawdown and higher risk-adjusted return on investment than the equalweight portfolio. The equalweight portfolio also has three negative years: 1994 (-6.4%), 1998 (-0.3%), and 2008 (-11.6%), while the LRV-3 only has one year with negative returns: 1994 (-2.4%). In comparison to the HRV, the LRV-3 has lower growth (CAGR of 10.2% versus 15.0%), but the SD (6.3% versus 10.4%) and maximum drawdown (-6.1% versus -14.5%) are greatly improved. And the risk-adjusted return on investment of LRV-3 is significantly better (CAGR/SD of 1.62 versus 1.44). And for 1994, the LRV-3 has a -2.4% return, while the HRV has a -5.4% return. One negative aspect of the LRV-3 is that more trades are required each year compared to the HRV. However, the costs will still be minimal for an account value over $100K. Based on backtest results, the average number of annual trades (buys and sells) is approximately 20 for LRV-3. In a Schwab account, this amounts to a cost of 20 x $9 = $180 per year. So, the cost is about 0.18% for a $100K account. In addition, PCY and CWB are commission-free ETFs on Schwab (and the commission-free SCHO is a good substitute for VFISX). So, the commission costs of trading LRV-3 (neglecting any other costs) are quite minimal. A final step in this study is to ensure the ETF version of the strategy gives similar results as the mutual fund version. The ETF version can only be backtested to 2010, so the 2010-present timeframe is used for comparison. The backtest results for the ETFs and the mutual funds for LRV-3 are shown below. LRV-3 Results Using ETFs (2010 – Present) (click to enlarge) LRV-3 Results Using Mutual Funds (2010 – Present) (click to enlarge) Good agreement is seen between using ETFs and mutual funds. Using ETFs, the CAGR is 7.9%, the SD is 6.2%, and the maximum drawdown is -4.5%. Using mutual funds, the CAGR is 8.3%, the SD is 5.3%, and the maximum drawdown is -4.2%. It should be noted that the performance of the mutual funds from 2010-present is less than the performance between 1994-present. This is probably caused by the Federal Reserve holding short-term rates near zero from 2009-present. When short-term rates are increased, performance should eventually increase (after, perhaps, a short time of reduced performance). Also to be noted is that LRV-3 has gone to all cash (money market) since July 2015. So, for July, August and September, the top three assets based on relative strength have not passed the absolute momentum test. In summary, the LRV-3 should be used by more conservative investors, who desire solid growth (10%) with lower risk, while HRV should be used if more growth is desired (15%) at the expense of higher risk. For those investors, who desire even lower risk than LRV-3 as well as higher risk-adjusted return on investment, LRV-5 might be a better choice. For 1994-present, LRV-5 has a CAGR of 9.0%, a maximum drawdown of only -4.4%, and a CAGR/SD of 1.80. It should be mentioned that this strategy using fixed income ETFs is best employed in non taxable retirement accounts that avoid tax issues. I would also like to thank Terry Doherty for reading over this article and making a number of excellent suggestions.

Build Your Own Leveraged ETF (ETRACS Edition)

Summary A previous article showed that the ETRACS 2x ETNs did not inexorably decay in value even over several years. Other authors have investigated the idea of using leveraged funds to build your own ETF. The application of this strategy to the ETRACS 2x ETNs are investigated, revealing the potential for additional yield. Introduction The ETRACS line-up of ETNs issued by UBS (NYSE: UBS ) provides investors with exposure to a broad range of investment classes. A number of the ETRACS ETNs are 2x leveraged, which means that they seek to return twice the total return of the underlying index, minus fees. This allows the ETNs to offer alluring headline yields, making them attractive for income investors. Additionally, some of these funds pay monthly distributions, although these can be lumpy. A recent article provides an overview of the types, yields and expense ratios of these 2x leveraged ETNs. An interesting feature of the 2X leveraged ETNs is that their leverage resets monthly rather than daily, which is the norm for most leveraged funds on the market. It is known that decay or slippage in leveraged funds will occur when the underlying index is volatile with no net change over a period of time. By resetting monthly rather than daily, this decay can be somewhat mitigated. An article by Seeking Alpha author Dane Van Domelen addresses the decay issue mathematically and shows that in most cases, the decay is not as serious as is often thought. However, this leverage does not come without costs. There is the management cost associated with providing the ETN, as well as a finance cost associated with maintaining the 2x leverage. Finally, it should be noted that investors in ETNs are subject to credit risk from the fund sponsor, in this case UBS. If UBS were to go bankrupt, the ETNs will likely become worthless. However, Professor Lance Brofman has argued that the risk of ETN investors losing money due to UBS going bankrupt is, barring an overnight collapse, minimal because the notes can always be redeemed at net asset value. I recently studied the performance of several of the 2x leveraged ETNs and found that, in general, the 2x ETNs fulfilled their objectives and also outperformed the corresponding (hypothetical) daily-reset 2x ETNs. This suggests that, over the last few years at least, that the 2x ETNs have been suitable (insofar as them being able to meet their objectives vis-a-vis their 1x counterparts) long-term instruments for the leverage-seeking investor. Just to make this point crystal clear, the 2x ETRACS ETNs have allowed aggressive investors to obtain 2x participation in a variety of asset classes in an efficient and stable manner – both to the upside and to the downside – I am not making specific recommendations as to whether the asset classes themselves (e.g. mREITs, MLPs, BDCs, and CEFs, just to name a few of the asset types covered by the ETRACS) are suitable as long-term investments. Building your own ETF In another article entitled ” Build Your Own Leveraged ETF “, Dane Van Domelen explores the possibility of combining leveraged ETFs with cash or other funds for various purposes. For example, Dane posited that a one-third ProShares UltraPro S&P 500 ETF (NYSEARCA: UPRO ), a 3x leveraged version of the SPDR S&P 500 Trust ETF (NYSEARCA: SPY ), two-thirds cash portfolio has virtually the same properties as a 100% S&P 500 portfolio (with periodic rebalancing), but allows you to hold a lot of cash: An interesting special case is where you put one-third of your money in UPRO and two-thirds in cash. At the onset, this portfolio would behave almost exactly as if you had all of your money in the S&P 500. UPRO’s expense ratio should result in somewhat diminished returns, but not much. And it might be worth it to free up two-thirds of your money, for emergencies and so forth. UBS 2x ETN expert Lance Brofman has also considered the same idea : If this hypothetical investor were thinking of either investing $1,000 of his $10,000 in the UBS ETRACS 2X Leveraged Long Wells Fargo Business Development Company ETN ( BDCL) and keeping $9,000 in the money market fund, or investing $2,000 of his $10,000 in the UBS ETRACS Wells Fargo Business Development Company ETN ( BDCS) and keeping $8,000 in the money market fund, either choice would entail the same amount of risk and potential capital gain. This is because BDCL, being 2X leveraged, would be expected to move either way twice as much as a basket of Business Development Companies, while BDCS would move in line with a basket of Business Development Companies. This article seeks to analyze whether it is possible to “build your own ETF” with the suite of UBS 2x leveraged ETNs, by applying the strategy described above by Dane Van Domelen and Lance Brofman. Interestingly, the analysis reveals the potential to add on additional yield to your portfolio. Considering fees The fee required to maintain the 2x leverage of the ETRACS 2x ETNs is based on the 3-month LIBOR, which currently stands at 0.33%. This is added to a variable financing spread (0.40-1.00%) to generate a total financing rate that is passed on to investors. This total financing rate of 0.77-1.33% is much lower than is available for all but the wealthiest of individual investors. Lance Brofman writes : Many retail investors cannot borrow at interest rates low enough to make buying BDCS on margin a better proposition than buying BDCL. This means that from an interest point of view, it would usually be better to buy the leveraged fund than to try and replicate it yourself with a margin loan from your broker. Applying the strategy However, what if the investor wasn’t interested in using leverage in the first place? Can he still make use of the low financing rates charged by the ETRACS 2x ETNs? To explore this, let’s try to apply the strategy described above by Dane Van Domelen and Lance Brofman, which basically entails replicating a 100% investment in a 1x fund with a 50% investment in the corresponding 2x fund and a 50% allocation to cash or a risk-free asset. The following illustrates such an example. Example Let’s say that you had $10K invested in the SPDR Dividend ETF (NYSEARCA: SDY ). SDY charges 0.35% in expenses, which comes out to $35 per year. You could replicate that investment with $5K in the UBS ETRACS Monthly Pay 2x Leveraged S&P Dividend ETN (NYSEARCA: SDYL ), leaving yourself with $5K in cash. SDYL charges 1.01% in total expenses, which on $5K comes out to $50.50. In other words, you’d be paying an extra $15.50 per year if you decided to invest $5K in SDYL compared to $10K in SDY. But wait! You have an extra $5K in cash left over. If you can use that $5K to earn $15.50 per year, corresponding to a rate of return [RR] of 0.31%, you can break even. With any higher rate of return, you would benefit from using the leveraged ETN and investing the rest of your cash. At first glance, it seems that 0.31% is a ridiculously low hurdle to surpass, suggesting that one would nearly always benefit from using the leveraged ETNs and investing the rest of the cash. However, one also needs to consider the risk of the invested cash portion. To mimic, as closely as possible, the risk of the original scenario (i.e. $10K invested in SDY), the $5K cash left over after investing $5K in SDYL should be invested in as risk-free of an asset as possible. Bankrate.com shows that 1.30% 1-year CDs and 1.25% savings accounts are currently available. These investments are insured by the FDIC, and can be considered to be nearly risk-free. Using the above example, investing $5K at 1.30% for one year yields you $65.00. After subtracting the additional $15.5 required for the additional expenses of SDYL ($50.50) vs. SDY ($35), you’d gain $49.50, or an additional 0.495%, from using this strategy! Results The following table shows a list of 2x leveraged ETNs, their corresponding 1x fund, and their respective total expense ratios [TER]. Also shown is the rate of return [RR] required on the risk-free portion to break-even, as well as additional yield that you would be able to obtain on the entire portfolio had the risk-free portion been left in cash paying 0%, a savings account paying 1.25% or a 1-year CD paying 1.30%. A negative number indicates that this strategy would lose money relative to investing the whole portion in the 1x fund. The funds are arranged in descending order of required RR on the risk-free portion. Please see my previous article if further information is required regarding these 2x ETNs. Note that some funds such as the ETRACS Monthly Pay 2xLeveraged US High Dividend Low Volatility ETN (NYSEARCA: HDLV ) and the ETRACS Monthly Pay 2xLeveraged U.S. Small Cap High Dividend ETN (NYSEARCA: SMHD ) so not have corresponding 1x counterparts, so are excluded from this analysis. Ticker TER Ticker TER Required RR Cash (0%) Savings (1.25%) 1-year CD (1.30%) ETRACS Monthly Pay 2xLeveraged MSCI US REIT Index ETN (NYSEARCA: LRET ) 1.96% Vanguard REIT Index ETF (NYSEARCA: VNQ ) 0.10% 1.76% -0.88% -0.26% -0.23% UBS ETRACS Monthly Reset 2xLeveraged S&P 500 total Return ETN (NYSEARCA: SPLX ) 1.56% SPY 0.09% 1.38% -0.69% -0.07% -0.04% ETRACS Monthly Reset 2xLeveraged ISE Exclusively Homebuilders ETN (NYSEARCA: HOML ) 1.96% ETRACS ISE Exclusively Homebuilders ETN (NYSEARCA: HOMX ) 0.40% 1.16% -0.58% 0.05% 0.07% ETRACS 2xMonthly Leveraged S&P MLP Index ETN (NYSEARCA: MLPV ) 2.26% iPath S&P MLP ETN (NYSEARCA: IMLP ) 0.80% 0.66% -0.33% 0.30% 0.32% SDYL 1.01% SDY 0.35% 0.31% -0.16% 0.47% 0.50% UBS ETRACS Monthly Pay 2x Leveraged Mortgage REIT ETN (NYSEARCA: MORL ) 1.11% Market Vectors Mortgage REIT Income ETF (NYSEARCA: MORT ) 0.41% 0.29% -0.15% 0.48% 0.51% UBS ETRACS Monthly Pay 2x Leveraged Dow Jones Select Dividend Index ETN (NYSEARCA: DVYL ) 1.06% iShares Select Dividend ETF (NYSEARCA: DVY ) 0.39% 0.28% -0.14% 0.49% 0.51% UBS ETRACS Monthly Pay 2xLeveraged Closed-End Fund ETN (NYSEARCA: CEFL ) 1.21% YieldShares High Income ETF (NYSEARCA: YYY ) 0.50% 0.21% -0.11% 0.52% 0.55% UBS ETRACS Monthly Pay 2X Leveraged Dow Jones International Real Estate ETN (NYSEARCA: RWXL ) 1.31% SPDR Dow Jones International Real Estate ETF (NYSEARCA: RWX ) 0.59% 0.13% -0.07% 0.56% 0.59% UBS ETRACS Monthly Pay 2xLeveraged Wells Fargo MLP Ex – Energy ETN (NYSEARCA: LMLP ) 1.76% UBS ETRACS Wells Fargo MLP Ex-Energy ETN (NYSEARCA: FMLP ) 0.85% 0.06% -0.03% 0.60% 0.62% UBS ETRACS Monthly Pay 2xLeveraged Diversified High Income ETN (NYSEARCA: DVHL ) 1.56% UBS ETRACS Diversified High Income ETN (NYSEARCA: DVHI ) 0.84% -0.12% 0.06% 0.69% 0.71% UBS ETRACS 2x Leveraged Long Alerian MLP Infrastructure Index ETN (NYSEARCA: MLPL ) 1.16% UBS ETRACS Alerian MLP Infrastructure Index ETN (NYSEARCA: MLPI ) 0.85% -0.54% 0.27% 0.90% 0.92% BDCL 1.16% BDCS 0.85% -0.54% 0.27% 0.90% 0.92% From the table above, we can see that the LRET/VNQ combination would be the worst pair to implement this strategy with, as it requires a 1.76% RR to break even. This means that even with a 1-year CD rate of 1.30%, you would be losing -0.23% using this method. This can be attributed to LRET’s exceptionally high expense ratio of 1.96%, and VNQ’s exceptionally low expense ratio of 0.10%, making it highly expensive to replicate 100% VNQ with 50% LRET. At the other end of the spectrum, the BDCL/BDCS combination appears to be the best pair for this strategy. The required RR is negative 0.54%, meaning that even if you left the 50% risk-free portion in cash, you would be gaining 0.27% on your overall portfolio. Investing the risk-free portion is a 1-year CD improves the performance of the portfolio by 0.92%. This can be attributed to BDCL’s below-average expense ratio of 1.16% and BDCS’ above-average expense ratio of 0.85%. The following chart shows the required RR for the 2x funds in order to implement this strategy. The following chart shows the additional yield that can be harvested by investing the 50% risk-free portion in cash (0%), a savings account (1.25%) or a 1-year CD (1.30%) for the respective 2x funds. Risks and limitations The 50% investment in a 2x fund may not correspond exactly to a 100% investment in 1x fund. It may do better or it may do worse. Periodic rebalancing may help, but this would entail additional transaction fees. In the case where the 1x fund is an ETF, you are additionally exposed to the credit risk of UBS when it is substituted for a 2x ETN (see introduction). In the case where the 1x fund is an ETF, the tax treatment may change when it is substituted for a 2x ETN. Savings accounts and CDs are only FDIC-insured up to a certain value (though if we’re worrying about this we have much bigger problems on our hands than the implementation of this strategy!). Conclusion A previous article showed that the ETRACS 2x ETNs did not inexorably decay in value even over several years, suggesting that the funds can function as efficient long-term investments for the leverage-seeking investor. This article shows that an investor not interested in leverage could still potentially benefit from the ETRACS 2x funds by “building his own ETF”. This simply costs of replicating a 100% investment in a 1x fund with a 50% investment in the corresponding 2x fund, and a 50% investment in a risk-free asset. Additional yields of up to 0.92% per year are available using this strategy. Further enhancements in yields can be achieved by investing the 50% into more risky assets such as corporate bonds, although this alters the overall risk-reward dynamics of the strategy.

Catalyst And 361 Capital Soft Closing Futures Funds

By DailyAlts Staff Mutual funds are closed for a variety of reasons, but the most common is probably a lack of sufficient investor interest, normally as the result of poor performance. On the opposite end of the spectrum, funds that become too popular and command too much investor interest must close themselves to new investors to avoid exceeding the maximum capacity of their strategies. This latter type of fund closing is known as a “soft closing,” and two alternative funds – the Catalyst Hedged Futures Strategy Fund (MUTF: HFXAX ) and the 361 Managed Futures Strategy Fund (MUTF: AMFZX ) – recently joined the ranks of funds that have gotten too popular to continue taking investors’ money. Catalyst Hedged Futures Strategy Fund The $1.6 billion Catalyst Hedge Futures Strategy Fund debuted as a private fund way back in 2005 and was subsequently converted to a mutual fund by Catalyst in August 2013. As of August 31, the fund’s year-to-date returns of 7.61% ranked in the top 10% of funds in the Morningstar Managed Futures category, and the fund has shone particularly bright over the past six months, generating gains while most of its peers were in the red. Undoubtedly, this stellar performance contributed to increased interest in the fund, which Catalyst says is “rapidly approaching capacity.” As a result, the Catalyst Hedged Futures Fund will be closed to new investors starting October 31, 2015. Closing the fund will help Catalyst “maintain the integrity of the strategy” and not sacrifice performance, according to a statement. The fund’s existing shareholders – and possibly advisors – will be “grandfathered in” and allowed to add more money to the fund, while prospective new shareholders will have to wait for a “Part 2” version of the fund, set to be ready “in the coming weeks.” The “Part 2” fund will pursue a very similar strategy to the original fund, which distinguished itself from other managed futures funds by being 100% options-based. The new fund will be of interest to investors concerned about a repeat of the 2008 financial crisis, as the original Catalyst Hedged Futures Fund gained nearly 50% during that period, thanks to its virtually nonexistent correlation to stocks and bonds. For more information, visit catalystmutualfunds.com . 361 Managed Futures Strategy Fund Investors interested in gaining exposure to managed futures via the 361 Managed Futures Strategy Fund , which returned 7.87% in the first eight months of 2015 and ranked in the top 8% of funds in its Morningstar category, have until September 30 to jump on board – after that date, the fund will cease taking money from new investors. “Since our founding in 2001, we’ve endeavored to be excellent stewards of our clients’ capital,” said 361 Captial CEO Tom Florence, in a recent announcement. “With that in mind, we’ve put forth great effort into measuring the capacity of our strategies, in order to ensure that asset growth doesn’t degrade return potential.” Like the Catalyst Hedged Futures Strategy Fund, the 361 Managed Futures Strategy Fund will remain open to existing investors. The fund had just over $1 billion in assets under management as of September 8, and the 361 investment team feels that a “soft close” allows capacity for existing clients, but keeping the fund open for new investors would risk hampering performance. One of the features that makes the 361 Managed Futures Strategy Fund so attractive is the low correlation it has exhibited to major asset classes. According to 361 Capital, the fund has had negative correlations to foreign (-0.07) and domestic equities (-0.15), and very low correlations to bonds (0.22), real assets (0.05), and even other managed futures strategies (0.10), from its December 2011 inception through June 30, 2015. For more information, visit the fund page at 361 Capital . Past performance is not necessarily indicative of future performance.