Carry On Wayward Fund

ReturnStacked ETFs added some very interesting info to the pages for its ETFs. They are now providing transparency on risk weighting of the markets that they invest in as well as whether they are long or short for managed futures and carry. 

Here's today's screen shot for Stocks and Managed Futures (RSST).

And for Stocks and Futures Yield (RSSY) aka carry. 

There's a lot of differentiation between the two. Additionally, RSST is long metals while RSSY is short the same metals. Managed futures and carry do two different things and the screenshots do a great job of explaining the difference. Managed futures goes long markets in favorable trends and short markets in unfavorable trends. The variation of carry that RSSY uses goes long markets in backwardation and short markets in contango. Those are different things (repeated for emphasis) and so they can be differentiated return streams from each other. I've heard managed futures and carry referred to as being cousins. Similar but different. 

The chart compares RSSY to RSST, the S&P 500 and the AQR Managed Futures Fund. RSST appears to be more volatile than RSSY and there appears to be short stretches where the two trade similarly and other short stretches where they diverge. 

The chart goes back to RSSY's inception and where RSST and RSSY have sawtoothed to small declines, I don't think there's much information yet for backtesting how much differentiation either fund adds to a portfolio but I do think they painting a good picture of how they differentiate from each other.

I don't believe there is a fund that just tracks carry in this manner but the breakout of information for RSSY versus RSST is helpful for learning about carry in case a fund ever does come along. There's plenty to ready about carry and the research is pretty consistent about it being a differentiated return stream so it is surprising there is no fund that just does what the carry half of RSSY does (please comment if you know of a fund that does this).

As for the title of the post, the song is Carry On Wayward Son, the lyrics have the word my, but the title does not. 

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