Diving Deep Into The Bridge Part 2

Let's start with a follow up to yesterday's post. We looked at taking a huge annual withdrawal from a bucket of money intended to last for just ten years, all the better if anything was leftover after ten years. It worked out very well but now let's consider the sustainability of the concept if the equity market cuts in half at some point along the way. 

Only 37% of what we looked at yesterday was exposed to equities and even then the beta of the equity sleeve was only 0.71. LDDR shouldn't be impacted by equities getting cut in half but obviously that position will definitely deplete as it is intended to do so toward the end of this experiment the portfolio will be heavier in equity or equity-like exposure. 

It took a little doing but Copilot came up with the following if the S&P 500 cuts in half at some point in the ten period.

The way to read that is if the S&P 500 cuts in half in year three then the expected finishing balance could be $270,000-$340,000 versus $350,000-$420,000 that just assumed lower growth than we've had recently with no equity crash.

Again, I would cut all of those numbers in half to be as conservative as we can with what is a pretty aggressive concept. Following that logic, our worst case outcome is that $450,000 drops to $115,000 (year one crash low end dividend by 2) leftover for a bucket of money we were willing to let go to zero in order to meet an aggressive income need as a bridge to IRA withdrawals. The bigger takeaway for me is about the reasonable probability of engineering a decent, not even great, outcome by thinking outside the lines a little bit. 

Taking a completely different approach on the same scenario, I asked about the survivability of portfolio that was split evenly between LDDR, TJUL which is a 100% downside buffer ETF and SFLR which is a defined outcome product that starts to protect once the S&P 500 is down 20% (it rides the first 20% down with the index). 

That combo is very crash resilient, moreso than the original iteration but it winds up with far less, about $80,000-$100,000 less depending on the sequence of market events. 

Quick pivot to an email solicitation I got for the Evanston Multi-Alpha Fund. It is a multi-manager interval fund that benchmarks to the HFRI Fund of Funds Composite Index. It has a decently long track record with this included for its lifetime performance.

The next images are the general exposures and then more narrowly defined. 

I don't think the narrower exposures could be completely mimicked with retail accessible products but the four strategies certainly can be. Going all the way back to July 2014 when there data starts limits the choices dramatically but it's still doable. 

You can tell from the percentages, what's what. GPAIX isn't so great but I did not want use more than one fund from AQR. Generally speaking, I try to avoid using more than one fund from any provider in the context of actively managed or alternative. Having a tech index ETF and a health care index ETF from the same provider is not what I am talking about. 

That mix compares favorably with Evanston.

In 2022, the Evanston fund was down 8.6% while the mimicking portfolio was up 7.39%. There are now many more funds available to choose from to try to recreate what Evanston is doing. We mimicked a static allocation though which may might be selling Evanston's track record short.

The bigger point is one we've been making for years. It is becoming easier to build very sophisticated portfolios with retail accessible funds that compete with less accessible fund structures that are billed as being superior. 

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.

Diving Deep Into The Bridge

Morningstar posted about safe retirement withdrawal rates. This latest piece added a different element from what they usually cover which is that while the 4% rule is based on a 30 year time horizon, shorter time horizons allow for a higher withdrawal rate. 

Yes that certainly seems obvious but it lends itself to the depletion or bridging strategy that we talk about here frequently. Maybe someone retires at 65 and plans to live off one piece of money like maybe in a taxable account while the bigger rollover IRA has time to grow. Maybe this is bridging Social Security at 70 or RMDs at 75 or something else. 

This idea resonates with me as probably being my path. Most clients are quite a bit older and so my practice income will likely be quite a bit lower in ten years or so. I expect it will still be a meaningful contributor to our needs but maybe not sufficient for everything. I would expect that we'll sell our short term rental property maybe ten years or so for now and then use that money for as long as it will last and then start taking from my IRA. Maybe we could get ten years of that and just bank my RMDs without actually needing to spend that money. 

Products and strategies are continually evolving to make this path a possibility. 

In previous posts we've looked at using small allocations to crazy high yielders like YieldMax or some GraniteShares funds. It is very important to realize these types of funds are going to erode quickly. 

YSPY sells puts on the S&P 500 and it has eroded by more than 1/4 in a year and the distributions have gone from around $0.19 to just under $0.03 lately. Maybe that can be modeled in to do whatever the end user needs or not but the bigger point is to understand the expected erosion factor of the NAV and the distributions. 

LifeX has a small suite of treasury-centric funds that deplete in three years, five years and ten years. They are all about a year old so now they deplete in two, four and nine years respectively. Here's how they work using the nine year product with symbol LDDR.

Putting $150,000 into LDDR would pay $1621 as you see and deplete in nine years. Maybe $150,000 is one third of the bridge account value at the start. There are a lot of higher yielding ideas, some of which we've looked at before, without being crazy high like YSPY having a trailing yield above 30%. 

I think the other $300,000 could be put into a mix of higher yielding equity income and fixed income that could survive a 10% withdrawal rate for ten years. I think the mind set needs to be willing to let it deplete but unlike LDDR, there would be a good chance that it would survive. 

There aren't too many derivative income ETFs with ten year track records. XYLD and SPXX are two that I know of.

They are not great funds but ten years later, taking out all of the respective 9% and 7% yields leaves a very useable piece of money. The S&P 500 has compounded at 15% for the last ten years which probably isn't sustainable going forward. Some scenarios from Copilot for lower SPY returns;

Where this strategy is willing to deplete, the investor could sell a little to meet the income need and still end up with money left over after ten years even if it is less than the $300,000 they started with. Being willing to deplete all $300,000 in ten years and ending up $125,000 left over seems like a pretty good outcome. 

But I think products have figured out how to generate a little more yield than some of these older products. Again I'm not talking about yielding 30% but more like 9-12% even if they might not quite keep up with their distributions. A slow erosion in this context like you see above with XYLD would be fine as opposed to incinerating the NAV of a crazy high yielder in three years. The YieldMax Tesla (TSLY) is down 88% price only in less than four years. That's what I mean by incinerating NAV.

Most of us know about JP Morgan Premium Income (JEPI). It did very well in 2020, 2021 and 2022, it pays out about 8% but on a price basis it has meandered for the last few years. If a higher yielder can generally keep up with its distribution but that's it, that's ok for this purpose. JP Morgan has a similar fund with symbol ROCY which seeks to have distributions be returns of capital which can allow for deferring taxes. ROCY also yields about 8%. JEPI and ROCY have some mechanical differences to look into if this interests you but in terms of the respective portfolios they are different. 

I believe owning both inside a domestic equity sleeve would offer some differentiation but ROCY is too new for a backtest to add value. A small slice to autocallables probably fits here. There are risks to these of course to be explored but I don't believe they are obvious NAV incinerators. 

A few other yieldy equity funds with a little less yield and that are simpler include YieldMax DDDD which targets twice the yield of SCHD so a little over 6%. There is a fund from Pacer with symbol QDPL that targets 4x the yield of the S&P 500 but has been paying more than that. Some of the newer S&P 500 covered call funds have tended to get better upcapture than the older funds. 

On the fixed income front beyond LDDR, I would be inclined to include some catastrophe bonds and a couple of holdings that are less yieldy. Backtesting this isn't that productive but Copilot has thoughts based on the following.

I asked "It is very income centric and looking back for the limited time available it yields about 11% but compounds negatively because LDDR is designed to do so. If we start it today with $450,000 and take out 12%/yr, how much might be left over after ten years if the S&P 500 compounds at 5% and intermediate treasury yields float between 4.5% and 5.5%?"

Short answer:

If your income‑centric portfolio continues to yield ~11% but has slightly negative price return, and you withdraw 12% of the initial balance each year ($54,000), you would likely end up with ~$350k–$420k after 10 years, depending on how much the negative compounding from LDDR drags the total return.

Ok, cut that in half, starting with $450,000 and willing to deplete over ten years but ending up with $175,000-$210,000 would be a very good outcome. 

I also input a version without LDDR and asked the same question.

Removing LDDR changes the math dramatically. An 11% cash yield with slightly positive net total return (even +0.10% to +0.30%) turns the portfolio from a “slowly shrinking annuity” into a “nearly self‑funding withdrawal engine.”

With a $450,000 starting value and a fixed $54,000 annual withdrawal, the portfolio is likely to finish year 10 with ~$525k–$600k under realistic assumptions.

The version without LDDR would be more sensitive to equity market changes though. Testfol.io has those numbers even if for just a brief period.

If you sub in ROCY for JEPI, the portfolio would be more tax friendly. SPYI also has some tax advantages as does MSFO. I did not include an autocallable fund but several of them seem to defer taxes as well. LDDR mostly returns capital as you can see and what little income there is should avoid state taxes. If someone wanted to pay no tax now, they could probably cobble enough funds together that return more capital than some of the ones I've used. Closed end funds tend to do that but I think a lot of CEFs and crazy high yielders would increase the sensitivity to broad market declines dramatically.

If markets compound at closer to normal rates, cool but these will not keep up if all the distributions are taken out of the account. Keeping up with the market is not the problem we are trying to solve with this. We are trying to bridge to something like RMDs or just delay taking from a presumably bigger account, the IRA. Maybe this scenario has $800,000 in a rollover IRA that is allowed to grow untouched for ten years. At 5% CAGR for ten years it would grow to $1.3 million and if the CAGR was 10% $2.07 million.

All the better if there is money left over in the bridge account.

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.

Macrotastic

It has been a while since we checked in on RDMIX. From my first blog post about it, that fund used to be the "Return Stacked 60/40 Absolute Return Index which is a portfolio funds blended together with a lot of embedded leverage in pursuit of capital efficiency. It's a very sophisticated portfolio."

At the start of 2025 it changed to the ReturnStacked Balanced Allocation & Systematic Macro Fund which allocates 50% to domestic equities, 50% to US bonds and 100% to a systematic macro program that can go long or short just about everything. Like many of the ReturnStacked products it leverages up to combine beta/simpler exposures with some sort of alternative diversifier/more complicated exposure to hopefully add alpha. 

I've have been skeptical of their funds. There's a lot to learn from their content and what they are trying to do but too frequently, it appears to me they aren't really solving the problems they're trying to solve and I think the latest iteration of RDMIX is another example. Since the new strategy was implemented at the start of 2025, testfol.io has the fund compounding at 10.38% with a max drawdown of 16.54% and a volatility of 12.65%. Gemini thinks the vol target for the fund is 10-12%. 

Putting 100% into RDMIX is not what they have in mind for how to use it. A 50% allocation is closer to what they have in mind for how to use it and then there's 50% left over for something, maybe more alternatives or just collecting interest or whatever else. Closer to the real world application would be to figure out how much you want in macro and then do the arithmetic to size the overall equity and bond position accordingly. The leverage of their funds allows for not having to reduce equities or fixed income to add alternatives.  

I started with the following to try to assess the fund. Even if it's not the exact intended use I believe it allows for understanding the relative performance.

Portfolio 3 with DYMIX isn't really apples to apples. It has a macro component so maybe there's context but it has a much different volatility profile, I think the sort of low volatility number for the portfolio comes from having a lot of BOXX. The RDMIX/BOXX combo in Portfolio 1 lags Portfolio 2 which I think is reasonably comparable in terms of the allocations and the outcomes sought. Portfolio 2 also slightly outperformed putting 100% into RDMIX which is interesting. Better growth rate with less volatility and without the complexity of leverage or potential drag from costs associated with financing the leverage. Macro is complex enough without the leverage that is part of RDMIX's structure.

The next chart isolates the macro sleeve of RDMIX by shorting out the equity and fixed income and comparing to a couple of different macro funds.

It's a short window because of RDMIX's current strategy inception. The next chart goes much further back. Maybe you look at it and aren't interested in macro which would be fair or maybe you do see some performance attribute you want to include but if you're willing to entertain leverage to build some sort of portable alpha portfolio for yourself, I'm not sure it's worth leveraging up to make room for either of these two macro funds. 

They each do different things. They are different enough that owning both isn't really doubling up on the same thing. The idea of 25% fixed income, 25% equities and 50% macro is not one we've looked at before. For the following, the so-so fund is Fund 1 and the slightly better fund is Fund 2.

There's a little something for everyone here. Portfolio 1 is pretty much an absolute return result while Portfolio 2 looks very similar to VBAIX. Macro Fund 1 only has about 6% exposure to equities according to Finominal while Macro Fund 2 has 49% which accounts for most of the performance difference between the two macro funds. Like I said, they do different things. Blending both together in Portfolio 3 doesn't shoot the lights out but has the highest Sharpe Ratio by a couple of ticks. If you go play around with this yourself, you will see that all three macro-heavy blends did much better than VBAIX in 2022 which is not a surprise but they also did noticeably better in crashes of 2020 and 2025.

Circling back to the first backtest above, if we sub in Macro Fund 1 into Portfolio 2 and take out APHPX, the portfolio has the same CAGR as Portfolio 1 with a little less volatility but it does lag putting 100% into RDMIX. If we sub in Macro Fund 2 into Portfolio 2 and take out APHPX, the portfolio has a better CAGR than 100% RDMIX but a little more volatility than Portfolio 1.

I have no serious interest in this idea beyond curiosity but if you do, one of the box spread ETFs instead of T-bills should be more tax efficient or of course you could try to get some sort of better result than T-bill-like returns but for this post I wanted to isolate the macro strategies.  

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.

Alt Palooza

Late Saturday afternoon, I essentially got to the end of the internet (stealing someone else's joke there) so while I was waiting for it to fill back up, I did what I often do, pulled an insane portfolio idea out of the air and played around with it on testfol.io and Finominal. 

Here's the original Alt Palooza we're playing with.

I also built a risk weighted version using Finominal that tilted the portfolio heavily to APHPX and FLXIX. I've mentioned that Finominal has a tab where it will offer a simplified portfolio but it's usually nowhere close to the original. The simplified suggestion was to put it all in to iShares MSCI World (URTH). Whatever this portfolio is, it is nothing like URTH. Today I clicked on the Fee Reduction tab which is much more interesting. It suggested a fund replacement for each of the five funds above as follows;

Then clicking through on a comparison there is a bunch of things with varying degrees of utility. The next two at the portfolio level are interesting to me. Finominal thinks that no risk is coming from the fixed income sleeve despite 39% of the fund being in fixed income. It's not really fixed income but I think it is more of an indication of neutralizing the current interest rate risk and volatility in traditional fixed income markets. More simply, I think the portfolio gets the attributes that people want from fixed income which is steady returns with lower volatility. 

 

The risk page on Finominal also breaks down the sector risks which in this comparison is non-existent. A sector analysis could be helpful with any portfolio study if there is a market calamity that starts and is related to the excess currently inherent in the tech and tech-adjacent parts of the market with AI spending. 

The backtest is short because of the age of a few of the funds so no real bear market for us to assess but there was some crisis alpha during the Tariff Panic from 2025. I think the cheaper version suggested by Finominal is inferior but that mix does accomplish some of what we're trying to achieve. Now that I've found that tool, I will refer to it when we do these studies.   

QLEIX as the largest holding and despite being equity oriented was actually up 19% in 2022 which is great but I think it would be a mistake to expect that kind of result in any future bear market. QLEIX has some instances of serious differentiation versus the S&P 500. In 2022 that was a good thing but in 2020, not so much, the fund was down almost 14% versus a gain of 18% for the index. 

I asked Copilot how the Alt Palooza might have done in 2022 and how it might to do in future bear markets. 

Taking that assessment at face value is not the right way to use the table. A table like this might be able to point out a vulnerability that may not be obvious at first glance. On the way to making this table, Copilot got a few things wrong that I had to correct. 

Circling back to the results from testfol.io, the risk weighting version is interesting. The volatility is barely detectable but the portfolio has almost the same CAGR as 60/40. In the context of 75/50 ( a portfolio that achieves 75% of the upside and half the downside) the Alt Palooza backtests like a 95/25. Cool!

I think the heavier weighting to FLXIX and APHPX which account for a combined 72% of the portfolio make the risk weighted version more vulnerable to some sort of systemic/credit event as noted in the table. Copilot, what do you think? "The Finominal 'risk‑weighted' version would almost certainly do worse than your original version in a credit event." 

This observation with the risk weighted version is a small scale example of trying to understand why something might have done well and then trying to understand what could go wrong or otherwise threaten the portfolio. 

It's an interesting portfolio but all of these funds are complex. Keeping tabs on them and the overall portfolio would be for more difficult than using just a little bit of complexity to make an otherwise simple portfolio more robust. Simplicity hedged with a little bit of complexity, not the other way around. 

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.

Yieldy But Less Alty

A reader left the following question on an older post.

Any thought on a a 50/50 portfolio of BLNDX and QRPIX? AI seems to think it would be quite complementary.

My answer;

I bet it would work, it sort of backtests well but look at 2020. QRPIX was down a lot and BLNDX was down very slightly while 60/40 was up a lot. I've noticed that AQR funds every so often have a very bad outlying year and then will have the occasional very good outlying year.

The way it backtests, year by year there is a lot of differentiation versus 60/40. That's something you really need to get comfortable with so you don't give up in 2020 only to have a great year like 2022 come along right after.

Do yo consider QRPIX to be macro? I'd probably split the macro (or whatever you think of it as being ) into several funds in case QRPIX has particularly poor run. Same with BLNDX. It's a great fund but I'd build the managed futures/equity sleeve with multiple funds too.

The chart I looked at to give my answer.

There are a couple of years in there where sitting on the 50/50 combo would have been hard to do. Before posting the results below, think about what you might do in early 2021. Then, if 2023 was a reversion to the mean for 2022, how difficult would it have been to hold onto that notion as it lagged far behind VBAIX that year. 

The full 6.5 year result looks great but at some point, real differentiation becomes too difficult to endure. Going forward, there's no way to know whether that combo will outperform but barring some sort of catastrophe with one of the funds, the idea can probably work. Work is not the same thing as outperform. 

Speaking of complex funds and catastrophes, yesterday we mentioned the QIS ETF from Simplify that has more than cut in half possibly due in large part to having built its strategy around going long volatility. 

Sort of related, Corey Hoffstein noticed that Simplify removed the subadvisor from its managed futures fund CTA. A few weeks ago, Mike Green who was one of the brains behind many of the funds left to start his own firm. Per Corey's Twitter thread, Harley Bass who was the other part of the brain trust is also gone as is Paisley Nardini who'd become the face of the firm in various places. 

Some of Simplify's funds do well but some of them like CYA (now closed) and QIS don't. Simplify US Equity Plus Downside Convexity (SPD) is another one that we've looked at a few times and appears to not work well. It's essentially the S&P 500 with a put option overlay to protect against drawdowns. SPD's first real test was 2022. For that year, SPD was down 700 basis points more than SPY.

You can see inside the green box, SPD went down in lockstep with SPY and then kept going down after SPY bottomed. 

Here's a dire, even if not original, bearish take for domestic equities from Paul Tudor Jones. 

Valuation matters but these arguments have no predictive value to tell us when it will matter. My usual take on these things is to not try to predict anything. Instead, I focus on being ready if it happens. Based on stock market history, it seems reasonable to think that between now and maybe 2050, there could be another lost decade for US equities. 

In a lost decade for domestic equities things like managed futures can do well, commodities can do well, macro strategies can do well, dividend streams can continue and foreign equities can do well. A few weeks ago we looked at constructing yieldy portfolios with the following example.

That backtested well but it is a complicated ensemble. I wanted to try to tweak it to be a little simpler and a little less alty.

Less Alty is closer to a normal equity/fixed income portfolio, favoring equities but all of the equity funds are lower beta than the S&P 500. Blended together proportionately, the four equity holdings have a beta of 0.52. MDST is a new name for the blog, it is a derivative income fund that owns MLPs but it has a short track record. 

The yields are 9% and 7% respectively without using any crazy high yielders.

Less Alty is interesting but probably less robust in a lost decade. It might be better for someone looking for more yield without taking on the same volatility as VBAIX and less concerned about the probability of a potential lost decade....a lost decade that of course might never come. 

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.

Or Just Diversify Your Diversifiers

More quickish hits today.

First, more on the DYMIX mutual fund that we looked at yesterday. The fund has done well performance wise but has been very volatile. It has about the same level of volatility as the S&P 500 but is only 50% equities. The mix of equities and macro has meant the fund has taken a very different path to a similar result as SPY. 

A 50/50 blend of the two brings the volatility down noticeably, improves the Sharpe Ratio and has a meaningful impact on max drawdowns and average drawdowns. I have no idea if this can carry forward or not as it probably relies on DYMIX continuing to make good decisions but it is a good and simple example of blending two very volatile things to get a result with less volatility. This is why BTAL has worked as a way to hedge portfolios but 50% to BTAL is absolutely the wrong weighting, that should be much smaller. 

Yesterday, I said that the FOXY ETF from Simplify might turn out to be a useful fund for adding currency exposure, it is a variation on the carry trade. We've also looked at a couple of stinkers from Simplify too. I think we were early to realize that its Tail Risk fund which had the symbol CYA wouldn't work because of the way it relied on going long volatility via the VIX and sure enough the fund went down a ton and closed. 

We've been curious but skeptical of the Simplify Multi QIS Alternative ETF (QIS). QIS stands for quantitative investment strategies. 

Stinker. It's more difficult to look through QIS' holdings to understand what the story is compared to CYA but Copilot thinks that QIS has also been hurt by going long volatility. Ouch.

Very quickly on autocallables, ProShares posted a glossary of terms that might be useful if you're trying to learn about them. 

ETF provider Kurv just listed a capital efficient fund along the lines of WisdomTree or ReturnStacked with the Kurv US Large Cap Tax Optimized ETF (LCTO). The prospectus allows it to be 100% S&P 500/100% fixed income which will usually be municipal bond ETFs. Currently though, it is only 58% in munis so for now the weighting is similar to NTSX from WisdomTree but that fund owns AGG-like exposure instead of just munis and it allocates 90% to equities not 100%.

LCTO is actively managed so this backtest doesn't give it credit for any good decisions related to shortening duration it might have made if it had existed. LCTO has done noticeably better but it has more S&P 500 exposure. Just peeling out the muni bond ETFs, that sleeve compounded at 1.01% for the same period versus -0.23% for AGG.

You can listen to this podcast from Kurv to learn more about what they have in mind. 

LCTO was discussed in the podcast as a portable alpha strategy. I'm not a huge fan of implementing portable alpha this way. 

If an investor puts 67% into NTSX or LCTO, they have 33% left over to either add yield like T-bills or add alternatives to better diversify the 67% they put into the levered fund. That sounds good in theory but how difficult would it be to have 2/3 of your account down 30% as was the case in 2022? Salvaging 2022 would have required really dialing in the exact alts to mitigate that decline. Having to get that right seems much more difficult than avoiding the leverage and diversifying your diversifiers. 

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.

A Farmland ETF?

A lot of (hopefully) quick hits today.

On Wednesday I got a call and an email from the Blueprint Chesapeake Multi-Asset Trend ETF (TFPN). Similar to MFUT from Cambria that we looked at the other day, Jerry Parker is the brains behind the fund and the point of differentiation of the strategy underlying both is they use individual stocks as part of the mix. 

The returns are not identical, if you're curious you can look at the two funds to try to figure out the differences. The website for TFPN has a lot of information including this asset mix that excludes cash. Quick note, managed futures funds typically hold a lot of cash/T-bills to collateralize the futures positions.

I read that as 50% fixed income, 20% each to equities and currencies and 10% to commodities. It feels quadrant inspired or adjacent. I plugged those weightings in as follows.

True to yesterday's post, it has 20% in unconstrained equity beta with SPMO. Commodities with ARCIX might offer some of the attributes of managed futures we talked about yesterday but just with commodities.

That mix offers a very smooth ride. With so little in equities it might have trouble keeping up with the other two longer term but, CEW was the only fund I could come up with for currency and it added almost nothing to the growth rate. Given more time, the FOXY ETF from Simplify might turn out to be a better mousetrap for this idea.

About a month ago we looked at the Dynamic Alpha Macro Fund (DYMIX). The fund is essentially 50% equities and 50% macro. For a macro fund, it has very few moving parts. A month ago the macro positioning held gold, copper and five year treasuries. In that first post we saw that it was struggling and following up on yesterday's post, we did do a little attribution analysis. The decline in gold and to a lesser extent, the decline in copper hurt the fund. One month later and the fund is long corn, sugar and the yen in addition to gold and it is short coffee, cattle and the five year treasury. 

Fast forward a month, gold was up a lot and corn was up 10% which helped the fund lift 9% since that last post. I like the idea of 50% equities with 50% macro but DYMIX might be more of a multi asset fund than a macro fund. I'm not sure but I am keeping tabs on it.

This is something I've been talking about for 20 years. Not so much an ETF, but figuring out how to invest in farmland and if that turns out to be an ETF, cool!

A long time ago, I went down this rabbit hole looking at some very small foreign stocks that owned plantations and the like. It was very difficult to get decent information and just watching the stocks for a while, they were not investible. I will be very interested to see if it comes to market and what it actually will do. This is a very useful alt but I have no idea at this point if this fund will be the answer. More to come. 

Last one. ProShares has thrown its hat into the autocallable ring. 

• ACSP references the S&P 500
• ACQQ references QQQ
• ACRT references the Russell 2000

I sat in on a webinar which focused primarily on ACSP. A couple of high level points; autocallable ETFs actually track more volatile versions of the reference indexes to get the yield up. ProShares also said repeatedly that autocallables are like complimentary cousins to covered call ETFs. They didn't word it this way but covered call funds sell....ahem...call options while autocallable strategies are better thought of as selling puts. 

The presentation included "pre-inception" performance going back to 2010 and showed the year by year yields ranging from 14%-20%. They put up a chart comparing the S&P 500 to the higher vol index (autocall index) used for ACSP and it showed going up less but with more volatility most of the time. In a few of the serious drawdowns, the autocall index actually went down less. If I understood correctly, the distributions are not in jeopardy until there is a 35% drawdown in their respective indexes. Admittedly that won't happen very often and if ACSP is anything like Calamos Autocall (CAIE), then there is a mechanism where distributions resume after some amount of recovery.

I submitted a couple of questions to better understand what the real risk is but they were not answered. We are in a 4-5% world. Supposedly, ACSP will range from 14-20%, the website for the fund shows 18% currently, so there is risk there. The extra 14% is compensating for something and I cannot figure out what that is. Taking that sort of risk is not necessarily bad but I think taking that risk without understanding it is a bad idea. 

JELM from Janus seems to be the lowest yielding of the autocallables at more like 9% (please leave a comment if you know otherwise). In a world of crazy high yielders, it can be easy to lose sight of 9% being a fantastic payout rate. The track record is nowhere long enough for me to use the fund at this point but everything else being equal, 9% will be less risky than 20%.

And "pre-inception?" Really? I felt icky just typing that. 

The information, analysis and opinions expressed herein reflect our judgment and opinions as of the date of writing and are subject to change at any time without notice. They are not intended to constitute legal, tax, securities or investment advice or a recommended course of action in any given situation.