Managed Futures ETF Debuts

March 19, 2019

Newcomer RYZZ Capital Management has entered the ETF market with a managed futures fund. The RYZZ Managed Futures Strategy Plus ETF (RYZZ) will hold a combination of an actively managed equity portfolio paired with two futures portfolios targeting equity index and VIX futures that will engage in long/short pattern trading.

RYZZ lists on the NYSE Arca and comes with an expense ratio of 0.99%.

Strategy

Sunrise Capital Partners is the fund’s subadvisor and is known for its history of hedge fund management. RYZZ looks to achieve positive returns with low correlation to the overall market environment, traditional indexes and long-only investment strategies, its prospectus says, noting the fund can seek exposure to markets at the global level, including emerging markets.

“The goal of the fund is not only to provide competitive returns over time, but to provide risk-adjusted return,” said Jason Gerlach, managing partner of RYZZ Capital Management. Gerlach is also CEO and managing partner of Sunrise Capital Management.

“It’s going to dynamically allocate to a basket of equities and ETFs at its core with a definite long bias,” he added. “We’re flanking that core with a couple of managed futures strategies, dynamic futures models, that we believe are going to offer downside protection and maybe even some upside potential at times when the stock market might not be doing so well.”

Futures Allocation

The pattern trading strategy relies on identifying price and volatility patterns and exploiting them via quantitative models. The fund’s strategies mean that it will typically be leveraged, with net notional exposure expected to range from 150% short to 250% long, according to the fund’s documents.

Gerlach says the models are tweaked for improvements over time as more data is gathered.

“Our goal is to have models that can act as a significant defense mechanism when equity markets sour,” he said.

Contact Heather Bell at [email protected]

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