Thanks, read it. I am wondering if the key benefit of KMLM is its exclusion of stocks more than anything, as having so many moving parts in the index makes me wonder if its performance gets constantly diluted unless many of the underlying assets move in the same direction, at the same time.
I would like to unpick what happened in 2022 and the previous years it did very well when the (stock) market didnât, meaning how did the individual components do, just for my own learning.
The thing is with these funds, that the exposure to the assets varies by time. That means if an asset has a strong trend, the fund will have higher exposure to that and ebenefit from that trend.
Some good news on the product front:
- The DBMF UCITS fund has a new share class. Itâs an ETF called iMGP DBi Managed Futures Fund R USD ETF (LU2951555585) and names ongoing charges of 0.75% (much lower than the 1.12% from the R USD MF, but maybe they made a mistake). Trading (and ticker names) should start soon.
- Winton opens a new MF with MSCI World (through derivatives) plus an overlay of their trend program (reminiscent of the US RSST ETF). Their trend program is also part of the SG Trend index, but I couldnât identify if it was exactly the same. The trend program on top of a simple USD collateral (Winton Trend Fund (UCITS)) was available since 2018. The new fund is called Winton Trend-Enhanced Global Equity UCITS. It names ongoing charges of 1.10% for the I share classes. On the RR forum they plan to push for USD I and EUR I on IBKR. Those have 50k minimum subscription each.
Both really big news actually.
There is then essentially almost no reason for US etfs anymore for the majority of people that want to implement some managed futures.
Only if you especially value that funds duch as CTA/KMLM exclude equities.
At IBKR trading mutual funds costs about 5 USD. That can be pretty negligible. But TER is higher than MCW stock index funds. Your numbers seem reasonable, but I didnât double-check.
WHT is zero on all layers for IE/LU funds. They both use short-term US Treasuries as collateral (WINT just converts this to stock exposure with futures). Since they are acccumulating funds, there are full Swiss taxes on the interest.
US funds are a bit unpredictable (how much distribution this year, what will have US WHT applied to it, what does the Swiss tax law say about it). The maximun is the maximum of US WHT and your Swiss tax rate on all distributions.
Edit: Clarify Swiss taxes
Do you mean that capital gains will be taxed as income (i.e. on par with dividends) in case of Winton fund(s)? I check the summary prospectus, Winton does not envisage to give out dividends.
Paging @Tony1337
Helix certainly meant the USD interest with that, on the colateral in T-Bills that is used 
Everything else will be capital gains, that are normally tax free.
There shouldnât be zero taxes as the interest from the collateral is taxable and there are no expenses of similar magnitude (capital losses from futures are, of course, ignored). But there also should have been taxes on KMLM. Maybe they didnât look closely.
Last yearâs distribution is taxed for example, as it came from the colateral. Also this year the withholding tax was reimbursed by ibkr for that.
Real tricky with taxes.
About right, yes.
One problem for US funds will always be the distributions of commodity futures returns. As those are classified as income in the US, and therefore have withholding tax on them.
There two scenarios are possible:
- Switzerland classifies it as income and you are taxed regularly and can claim DA-1.
- Switzerland classifies it as capital gains and you lose the 15% wht as it canât be claimed by DA-1
Scenario 2 is preferable if oyur marginal tax rate is higher than 15% (Which will basically always be the case when you are working). But you will always lose at least 15% on those distributions.
On average thatâs something along the line sof 1/4 of the return of the funds.
So nothing too crazy, but an equivalent ucits fund will have better tax treatment there.
Then there is also the handling of short-term capital gaisn distributions, which is kind of unclear. For fund slike CTA ictax classifies them as taxable (while some other funds donât). In my opinion this is wrong of them, as itâs still capital gains, and I will try to list my own values in my tax return and not use ictax.
So overall, if you donât value the unquieness of some US funds very highly (like KMLM/CTA), I would go for ucits funds.
alright, so iâll try to update my approximation of âtotal costsâ for the funds mentioned earlier:
| Fund | Mgmt | Trading | WHT-Diff | Total |
|---|---|---|---|---|
| KMLM | 0.90% | 0.15% | 0.25% | 1.40% |
| DBMF | 0.75% | 0.08% | - | 0.83% |
| WINT | 0.99% | 0.36% | - | 1.35% |
WHT-Diff for KMLM of 0.25% is based on a) an arbitrary long-term average return [on the futures portion] of 5%, b) a ratio of 1/3 for the commodities portion (as they donât do equities, otherwise itâd be 1/4) and c) a 15% US WHT on that.
happy to update / complement (other funds as well) after some feedback
At first glance this looks like a reasonable assumption.
Just to clarify, when you say WINT you mean (Winton Trend Fund (UCITS)) or new/upcoming Winton Trend-Enhanced Global Equity UCITS?
The apples to orange comparison would also be of a lot of interest in this case 
I know RSST contains US equity (SP500) only, but comparison of total cost and tax drag would be of interest.