U-Catalyst Strategy Overview
| CAGR | 23.1% |
|---|---|
| Maximum drawdown | -13.1% |
| MAR ratio | 1.77 |
| History | 23 years (281 months) |
U-Catalyst is the UCITS version of Catalyst, developed by Randy Harris of Dual Momentum Systems for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The growth axis, the three-state inflation axis, the six-cell allocation table, the energy circuit breaker and the drift bands are all Catalyst's. The full logic is on the Catalyst page. This page covers what is different and what to hold.
How It Works
| Regime | Holding |
|---|---|
| Reflation (growth up, inflation elevated and rising) | Energy |
| Cooling (growth up, inflation elevated but fading) | Energy 50% / Technology 50% |
| Goldilocks (growth up, inflation quiet) | Technology |
| Stagflation (growth down, inflation elevated and rising) | Gold, commodities, managed futures, one third each |
| Easing (growth down, inflation elevated but fading) | Half the stagflation sleeve, half intermediate Treasuries |
| Disinflation (growth down, inflation quiet) | Intermediate Treasuries |
If energy falls 15% from its high while held in the reflation regime, a circuit breaker moves that position to intermediate Treasuries until energy recovers to within 10%.
What Is Different From Catalyst
Catalyst's defensive holding is a tail-risk fund (CAOS), which combines short-term Treasury positions with options that pay off in a crash. There is no UCITS fund like it, so U-Catalyst holds intermediate Treasuries in every place Catalyst holds the tail-risk fund: the disinflation regime, half of the easing regime, and the circuit breaker.
Intermediate Treasuries were chosen by testing every reasonable replacement: short-term Treasuries, long Treasuries, managed futures, a long / short Treasury switch, and blends. Intermediate Treasuries came out ahead on a risk-adjusted basis over the full history, ahead of the original tail-risk fund itself, and close to the top since 2013, when the tail-risk fund's real history begins. Blends of intermediate Treasuries with a quarter of another holding scored almost the same, so the choice sits on a broad plateau rather than a peak.
Gold, in the stagflation sleeve, is held through a physical gold ETC, because UCITS rules do not allow a gold-only fund.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| Energy | SPDR S&P U.S. Energy Select Sector UCITS ETF (Acc) | SXLE | GXLE | IE00BWBXM492 |
| Nasdaq 100 | iShares Nasdaq 100 UCITS ETF (Acc) | CNDX | CNX1 | IE00B53SZB19 |
| Gold | iShares Physical Gold ETC | IGLN | SGLN | IE00B4ND3602 |
| Commodities | Invesco Bloomberg Commodity UCITS ETF (Acc) | CMOD | CMOP | IE00BD6FTQ80 |
| Managed futures | iMGP DBi Managed Futures Fund R USD UCITS ETF | DBMF | DBMG | LU2951555585 |
| Intermediate Treasuries | iShares $ Treasury Bond 7-10yr UCITS ETF (Acc) | CBU0 | none | IE00B3VWN518 |
Performance Highlights
May 2003 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-Catalyst | +23.1% | -13.1% | 3.91 | 5.50 |
| Catalyst | +24.5% | -14.4% | 4.48 | 5.10 |
| S&P 500 | +11.3% | -51.0% | 11.72 | 0.82 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
U-Catalyst gives up about 1.4% a year of return to Catalyst, but with a shallower worst drawdown and a lower Ulcer Index it comes out ahead on risk-adjusted return. Since September 2013, when the tail-risk fund's real history begins, the two are close: U-Catalyst returned 22.8% a year against 24.2%, with a UPI of 5.39 against 5.31. The history begins in 2003 because that is when the breakeven inflation series starts.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- Gold is held as an ETC. UCITS rules do not allow a fund that holds only gold, so gold is held through the iShares Physical Gold ETC, a security backed by physical gold. It is not a UCITS fund, but it is UCITS eligible and widely available to investors in the UK, Europe and elsewhere.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-Catalyst is for investors outside the US who want a concentrated, macro-driven satellite position, built from UCITS funds and a physical gold ETC, that changes holdings with the economic regime rather than with price momentum alone.
Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. U-Catalyst is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period, including DBMF and the energy, commodity and Treasury funds. Investors should carefully consider their risk tolerance and consult with a financial advisor.
For the latest details, visit www.DualMomentumSystems.com