Return Stacked™ 60/40: Absolute Return Index
The Return Stacked™ 60/40: Absolute Return Index aims to provide exposure to a U.S. 60% equity, 40% bond allocation while “stacking” diversifying alternative exposures, including tail protection, on top. Stacking is achieved by allocating to a custom basket of widely available Mutual Funds and ETFs, which embed a variety of capital efficient exposures to equities, bonds and alternative strategies.
The Index is designed to preserve exposure to core stock and bond allocations, while bolstering expected risk-adjusted returns with non-correlated return streams like trend following, global macro, and tail-hedging strategies.
The Index targets a volatility and drawdown profile similar to a U.S. balanced portfolio. Of course, there is no guarantee that the Index will meet this objective.
For information about the constituent funds and underlying exposures, please refer to the Index Methodology and Stacking Returns™ paper, respectively.
¹ Results prior to the publication date of the index of September 30th, 2021 are hypothetical. You should not take hypothetical data as an indication of future Index data. The Index inception date of November 23, 2020 was the initial date when all open-end funds used in the index began providing capital efficient exposures to meet the index objectives. The benchmark is the Vanguard Balanced Index Fund Investor Shares (VBINX). Past performance is no guarantee of future results and may be lower or higher than current performance.
Historical Performance from October 1st, 2021
Hypothetical Performance Prior to September 30th, 2021²
² Results prior to the publication date of the index of September 30th, 2021 are hypothetical. You should not take hypothetical data as an indication of future Index data. The Index inception date of November 23, 2020 was the initial date when all open-end funds used in the Index began providing capital efficient exposures to meet the Index objectives. The benchmark is the Vanguard Balanced Index Fund Investor Shares (VBINX). Past performance is no guarantee of future results and may be lower or higher than current performance.
Return Statistics September 30th, 2022
Holdings As of September 30th, 2022
|Positions||Ticker||Index Weight %|
|Newfound Risk Managed U.S. Growth||NFDIX||15.00%|
|Rational ReSolve Adaptive Asset Allocation Fund||RDMIX||15.00%|
|Catalyst/Millburn Hedge Strategy Fund||MBXIX||15.00%|
|Standpoint Multi Asset Fund||BLNDX||12.50%|
|Abbey Capital Multi-Asset Fund||MAFIX||12.50%|
|WisdomTree U.S Efficient Core Fund||NTSX||6%|
|WisdomTree International Efficient Core Fund||NTSI||6%|
|Simplify US Equity Plus Convexity ETF||SPYC||10%|
|Simplify Risk Parity Treasury ETF||TYA||5%|
|Simplify Tail Risk Strategy ETF||CYA||3%|
The Index is designed to provide exposure to 60% equities, 40% bonds and capital efficient exposures to alternative strategies, which are designed to be lowly correlated to the traditional allocations. The index provider scrutinized fund documents and interviewed managers to determine underlying fund exposures on a best efforts basis.
|Capital Efficient Funds||Ticker||Dollar Allocation||Equity||Bond||Managed Futures||Global Macro||Convexity||Volatility|
|Newfound Risk Managed U.S. Growth||NFDIX||15.0%||11.2%||11.2%||0.8%|
|Rational ReSolve Adaptive Asset Allocation Fund||RDMIX||15.0%||3.0%||9.0%||3.0%||14.2%||0.8%|
|Catalyst/Millburn Hedge Strategy Fund||MBXIX||15.0%||15.0%||15.0%|
|Standpoint Multi Asset Fund||BLNDX||12.5%||6.2%||12.5%|
|Abbey Capital Multi-Asset Fund||MAFIX||12.5%||6.2%||12.5%|
|WisdomTree U.S Efficient Core Fund||NTSX||6.0%||5.4%||3.6%|
|WisdomTree International Efficient Core Fund||NTSI||6.0%||5.4%||3.6%|
|Simplify US Equity Plus Convexity ETF||SPYC||10.0%||9.8%||0.2%|
|Simplify Risk Parity Treasury ETF||TYA||5.0%||12.5%|
|Simplify Tail Risk Strategy ETF||CYA||3.0%||0.4%|
Notional allocations represent approximate averages estimated based upon fund holdings and strategy descriptions. Actual exposure may substantially deviate from the estimates displayed here.