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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund


The correlation data was obtained from Portfolio Visualizer using monthly returns.
Link

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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund

Numbers are numbers, but the fund didn't react to the double whammy of the equity drop or interest rates going up last week. Interesting.


@rila3400 wrote:


The correlation data was obtained from Portfolio Visualizer using monthly returns.
Link


 

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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund

TMSRX looks like it might be a good fund for this category. For me, the king is IQDNX/IQDAX. 

Adding IQDNX to the correlations run by FD1001 starting from 2/23/18 (sorry, I am an idiot when it comes to computers so I am not savvy in presenting a table): VTI: -0.24, BND: 0.0, PIMIX: -0.09, HYG: -.20, VBINX: -0.23. It's correlation with TMSRX is 0.01 (so that would be a good combination). The annualized returns during this time: IQDNX 6.41%, TMSRX 4.22%. 

Other funds to consider: BAMBX (which has already been mentioned), PCBAX (lower annualized returns), and perhaps GPAIX (higher standard deviation).

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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund


@Chin wrote:

TMSRX looks like it might be a good fund for this category. For me, the king is IQDNX/IQDAX. 

It's correlation with TMSRX is 0.01 (so that would be a good combination).

 


Thanks, @Chin, for bringing IQDAX, a multialternative fund, to our attention.

The strategy, according to the fund's fact sheet, seeks to provide investors with an "All-Weather" investment solution:

"By allocating to various diversified alpha strategies including equity long/short, global macro, managed futures and volatility."

It had a great performance during the March meltdown, it gained an incredible 7.1%! The only negative is a 2.46% ER and the 1% redemption fee if the fund is held for less than 60 days. But it will go on my watch list for sure. Especially its low correlation to TMSRX is very attractive:

                         1 Week      1 Month     3 Months      YTD        12 Months      3 Years

TMSRX               0.2%          0.8%            4.8%         7.9%           9.2%             N/A

IQDAX               1.7              0.6               0.3             9.2             10.0                8.1

The other share class, IQDNX, with a $1 million initial minimum investment, is out of my league.

Thanks, again.

Fred

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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund

Found another interesting fund ARBIX with lower SD than TMSRX + better LT performance

YTD chart

arbix.PNG

longer term since 2-23-2018

arbix-1.PNG

PV(link)

PortfolioCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
ARBIX5.40% 3.14%6.38%1.18%-3.10% 1.131.76
TMSRX4.56% 5.41%8.07%-3.63%-4.68% 0.540.79
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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund

@fred495 and thanks for bringing up TMSRX. I am thinking about adding that now. I know IQDNX has a minimum of $1 million, but I am fortunate to have access to that share class through my work retirement plan with a low minimum, so I mentioned it in case there is a possibility others might have access with a lower minimum also. As far as the high ER, I am sometimes willing to look past that if the fund delivers on results or it's intended purpose. I personally believe it has so far. 

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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund

Short 46% equities, long 54% cash, 95% unclassified? Sounds like a mess..... Talk about a black box.


@FD1001 wrote:

Found another interesting fund ARBIX .......

 

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Re: TMSRX - T Rowe Price Multi Strategy Total Return Fund


@FD1001 wrote:

Found another interesting fund ARBIX with lower SD than TMSRX + better LT performance

PV(link)

PortfolioCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
ARBIX5.40% 3.14%6.38%1.18%-3.10% 1.131.76
TMSRX4.56% 5.41%8.07%-3.63%-4.68% 0.540.79

 

Thanks, FD.

I am looking seriously at multi-alternative funds as a way to diversify my portfolio away from an over reliance on intermediate core/core plus funds such as GIBLX, for example, which on Friday lost a whopping 0.73%. On the other hand, multi alternative fund IQDAX gained 0.39%.

Fred

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