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Thursday, I mentioned a backtest that the ReturnStacked guys put up on YouTube showing the negative correlation between equities and managed futures. A little later, I noticed how much the ReturnStacked Bonds & Managed Futures (RSBT) is down. With RSBT, "for every $1 invested, the RSBT aims to provide $1 of exposure to U.S. bonds and $1 of exposure to a managed futures strategy."

Using the same four managed futures mutual funds they used on YouTube, I built out the following. 
 

Portfolio 2 should replicate RSBT and being short CASHX to build that one should at least partially address the financing cost. Portfolio 3 is an unleveraged version. 

To be clear, no one suggests putting 100% of a portfolio into RSBT and I wouldn't tell anyone to put 100% into the unleveraged version, they're just for what I believe is apples to apples context. Looking at the numbers, I don't know why anyone needs this and I don't think it solves any problems. 

Changing things up a little to a more modest allocation to managed futures with bonds without any leverage.
 

Simple isn't always the better choice but it often is the better choice. 

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