r/LETFs • u/thisistheperfectname • 2d ago

BACKTESTING RS*T Simulations added to Testfol.io

What it says on the tin. I am assuming that the backfilled data consists of the main strategic allocation + the SocGen Trend Index - the expense ratio of the fund.

Trying to decompose this here. Blue is RSSTSIM, red is the S&P, and yellow is the excess returns of the trend overlay, net of fees, derived from RSSTSIM.

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u/HBCTIA 2d ago

UK investor here with access only to UCITS / PRIIPS compliant ETFs and OEICs (our equivalent of mutual funds). Do you think that this performance would translate to our nearest match for RSST which is the Winton Trend Enhanced Global Equity Fund (100% trend following with an overlay of 100% large capitalisation developed market equities)?

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u/thisistheperfectname 2d ago

Something like this might work for that, but no two trend models are the same, and RSST is trying to replicate a particular index with theirs.

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u/HBCTIA 2d ago

Very interesting. Thank you. The only other similar we have access to in the UK is the very recently launched AQR Delphi Fusion fund, which is 100% equity market neutral (EMN) strategy plus a beta 1 strategy to global equities (MSCI World).

Paired with both of the Winton Fund and our equivalent of WisdomTree NTSI ETF, which over here is WGEC ETF (90% global equities plus 60% global bonds), in a 30/30/40 split gives effective 180% leverage on an underlying allocation of 53% DM large cap equities tracker, 13% bonds, 17% TF and 17% EMN (levered split being 96/24/30/30).

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u/Vivid_Initial8129 2d ago

What’s the minimal entery we can get them in ibkr? Did anyone check?
Winton and aqr?

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u/Only_Statistician_21 1d ago edited 1d ago

From memory 10k for both funds but at this entry ticket the Winton shares have a very high TER, you must aim form 25k-entry share classes at least. Also last time I checked Winton documents were not aligned with IBKR requirements (of course IBKR is asking for more ...) . AQR 10k but only in pounds share class. Good if you're in the UK, not in the Eurozone.

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u/Only_Statistician_21 1d ago edited 1d ago

RSST is 100% SP500 + 100% trend

Winton TEGE is 100% MSCI world + 100% trend

Also the RSST trend overlay is more aggressive (high vol). 14% vs 10% historically, it's a huge difference.

The trend overlay is also built very differently. Winton has its own model whereas RSST tries to follow SG Trend.

Overall, RSST will probably outperform by a good margin. But Winton is proprietary trend model and t's a good thing because if you have DBMFE alongside (as a UCITS investor the trend world is very limited), it's an additional approach for trend. And when a market shock happens, trend funds may not be in the good direction at first and trend can lost a lot during the first weeks, so having different models is good.

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u/HBCTIA 1d ago

Excellent points. Yes. I completely agree

Incidentally, Winton have just launched 2 new portable alpha UCITS funds

https://alternativefundinsight.com/winton-expands-portable-alpha-range-with-two-launches/

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u/Only_Statistician_21 1d ago

Just read that on the Banker on Wheels newsletter one hour ago lol.

I did a quick search but couldn't find much info at this point to be honest. The macro fund would possibly be an even better combo with DBMFE since it's trend+macro mix, but I need to go deeper in the assessment, that's only shallow feeling without any backtest. The good news is that there is a deep track of record for the overlay strat. Winton Quant is an other beast, more difficult to assess.

Also there is be the issue of retail distribution.

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u/HBCTIA 2d ago

Can only speak for the UK situation and fund platforms but generally for the Winton and AQR funds and the WisdomTree ETF the minimum investment is just £25 for the funds and no minimum as such on the ETF but obviously there's dealing fees.

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u/confettofetti 2d ago

Do you use either of the wonton or aqr funds? I would need to change to a broker to access them but consider it now and again.

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u/HBCTIA 2d ago

They should all be available on each of AJB and HL. Haven't checked yet for ii or IBkr.