Episode 26

STACKED UNPACKED: Return Stacking, Capital Efficiency, and Overlay Strategies in Q3

In this Q3 2026 commentary, Rodrigo Gordillo and Corey Hoffstein walk through all eight Return Stacked® ETFs, exploring how trend and carry strategies can interpret the same markets differently. The conversation also covers merger arbitrage, the combination of gold and Bitcoin, and practical use cases for advisors weighing how to add alternatives to their portfolios.

Topics Discussed

Asset growth and core value proposition of the Return Stacked® suite of ETFs for advisors
Managed futures replication methodology using combined top-down and bottom-up models
Macro positioning and inflationary growth signals within trend-following strategies
Harvesting multi-asset risk premia and economic signals through futures yield and carry strategies
Differentiating corporate bond risk profiles by pairing core Treasuries with merger arbitrage
Combining gold and Bitcoin to address currency debasement and inflation concerns
Tactical and rules-based duration management strategies for fixed income portfolios using Return Stacking

The performance data quoted above represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted above.

For prospectus and performance and risks visit the fund pages.

RSST – https://www.returnstackedetfs.com/rsst-return-stacked-us-stocks-managed-futures/

RSIT - https://www.returnstackedetfs.com/rsit-international-stocks-managed-futures/

RSBT – https://www.returnstackedetfs.com/rsbt-return-stacked-bonds-managed-futures/

RSSY – https://www.returnstackedetfs.com/rssy-return-stacked-us-stocks-futures-yield/

RSBY – https://www.returnstackedetfs.com/rsby-return-stacked-bonds-futures-yield/

RSBA – https://www.returnstackedetfs.com/rsba-return-stacked-bonds-merger-arbitrage/

RSSB – https://www.returnstackedetfs.com/rssb-return-stacked-global-stocks-bonds/

RSSX – https://www.returnstackedetfs.com/rssx-return-stacked-us-stocks-gold-bitcoin/

BTGD – https://quantifyfunds.com/stackedbitcoingoldetf/btgd/

RSSX does not invest directly in Bitcoin or Gold. Exposures to gold and bitcoin will be done via exchange traded funds and futures contracts, hence the fund does not invest directly in bitcoin or any other digital asset, and does not invest directly in gold or gold bullion.

Investors should carefully consider the investment objectives, risks, charges and expenses of Return Stacked® ETFs lineup before investing. This and other important information about the Return Stacked® ETF lineup is contained in their respective prospectus. For a prospectus or summary prospectus with this and other information about the Funds, please click the links above. Investments involve risk. Principal loss is possible. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. Brokerage commissions may apply and would reduce returns.

Tidal Investments, LLC (“Tidal”) serves as investment adviser to the Funds and the Funds’ Subsidiary.

Newfound Research LLC (“Newfound”) serves as investment sub-adviser to RSST, RSIT, RSBT, RSSY, RSBY, RSBA, RSSB, and RSSX.

ReSolve Asset Management SEZC (Cayman) (“ReSolve”) serves as futures trading advisor to the Return Stacked® Bonds & Managed Futures ETF (RSBT), the Return Stacked® U.S. Stocks and Managed Futures ETF (RSST), the Return Stacked® U.S. Stocks & Futures Yield ETF (RSSY), the Return Stacked® Bonds & Futures Yield ETF (RSBY), Return Stacked® U.S. Stocks & Gold/Bitcoin ETF (RSSX), Return Stacked® International Stocks & Managed Futures (RSIT) and their respective Subsidiaries.

Quantify Chaos Advisors, LLC (“Quantify”) serves as the sub-adviser to the STKd 100% Bitcoin & 100% Gold ETF(BTGD). Quantify has entered into a brand licensing agreement with Newfound and Resolve granting Quantify the right to use the “STKd” brand, a derivative of Return Stacked®. Neither the Trust nor the Adviser is a party to this agreement. In exchange for the branding rights, Quantify will pay Newfound and ReSolve a fee based on a percentage of the Fund’s unitary management fee.

The Return Stacked® ETFs suite is distributed by Foreside Fund Services, LLC, Member FINRA/SIPC. Foreside is not related to Tidal, Newfound, ReSolve or Quantify.

Definitions:

Duration: refers to the average life of a debt instrument and serves as a measure of that instrument’s interest rate risk. Beta: how much an investment moves vs. a benchmark (like the market). Alpha: refers to returns above that of a passive market benchmark SocGen: is a common abbreviation for Société Générale S.A. Trend index: tracks returns from trend-following strategies, aiming to capture gains from sustained market price movements across assets. Alpha merger Index: tracks returns from merger arbitrage strategies, aiming to capture deal-related profits independent of the broader market.

A fund’s NAV is the sum of all its assets less any liabilities, divided by the number of shares outstanding. The market price is the most recent price at which the fund was traded.

Investments involve risk. Principal loss is possible. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. Brokerage commissions may apply and would reduce returns. Bitcoin Investment Risk: The Fund’s indirect investment in bitcoin, through futures contracts and Underlying Funds, exposes it to the unique risks of this emerging innovation. Bitcoin’s price is highly volatile, and its market is influenced by the changing bitcoin network, fluctuating acceptance levels, and unpredictable usage trends. Not being a legal tender and operating outside central authority systems like banks, bitcoin faces potential government restrictions. The value of bitcoin has historically been subject to significant speculation, making trading and investing in bitcoin reliant on market sentiment rather than traditional fundamental analysis. Blockchain Technology Risk: Blockchain technology, which underpins bitcoin and other digital assets, is relatively new, and many of its applications are untested. The adoption of blockchain and the development of competing platforms or technologies could affect its usage. Cayman Subsidiary Risk: By investing in the Fund’s Cayman Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The futures contracts and other investments held by the Subsidiary are subject to the same economic risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the 1940 Act, and, unless otherwise noted in the Fund’s Prospectus, is not subject to all the investor protections of the 1940 Act. Commodity Risk: Investing in physical commodities is speculative and can be extremely volatile. Commodity-Linked Derivatives Tax Risk: The tax treatment of commodity-linked derivative instruments may be adversely affected by changes in legislation, regulations, or other legally binding authority. As a registered investment company (RIC), the Fund must derive at least 90% of its gross income each taxable year from certain qualifying sources of income under the Internal Revenue Code. If, as a result of any adverse future legislation, U.S. Treasury regulations, and/or guidance issued by the Internal Revenue Service, the income of the Fund from certain commodity-linked derivatives, including income from the Fund’s investments in the Subsidiary, were treated as non-qualifying income, the Fund may fail to qualify as RIC and/or be subject to federal income tax at the Fund level. The uncertainty surrounding the treatment of certain derivative instruments under the qualification tests for a RIC may limit the Fund’s use of such derivative instruments. Commodity Pool Regulatory Risk: The Fund’s investment exposure to futures instruments will cause it to be deemed to be a commodity pool, thereby subjecting the Fund to regulation under the Commodity Exchange Act and the Commodity Futures Trading Commission rules. Because the Fund is subject to additional laws, regulations, and enforcement policies, it may have increased compliance costs which may affect the operations and performance of the Fund. Credit Risk: Credit risk refers to the possibility that the issuer of a security will not be able to make principal and interest payments when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Derivatives Risk: Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates, or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. Digital Asset Risk: Digital assets like bitcoin, designed as mediums of exchange, are still an emerging asset class and are not presently widely used as such. They operate independently of any central authority or government backing and are subject to regulatory changes and extreme price volatility. Equity Market Risk: By virtue of the Fund’s investments in equity securities, equity ETFs, and equity index futures agreements, the Fund is exposed to equity securities both directly and indirectly which subjects the Fund to equity market risk. Common stocks are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from specific issuers. Equity securities may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Fund invests. Gold Investment Risks: The Fund will not invest directly in gold but will gain exposure through gold futures contracts and Underlying Funds. These investments are subject to significant risk due to the inherent volatility and unpredictability of the commodities markets. The value of these investments is typically derived from the price movements of physical gold or related economic variables. Leverage Risk: As part of the Fund’s principal investment strategy, the Fund will make investments in futures contracts to gain long and short exposure across four major asset classes (commodities, currencies, fixed income, and equities). These derivative instruments provide the economic effect of financial leverage by creating additional investment exposure to the underlying instrument, as well as the potential for greater loss. New Fund Risk: The Fund is a recently organized with no operating history. As a result, prospective investors do not have a track record or history on which to base their investment decisions. Non-Diversification Risk: The Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified funds. Underlying Fund Risk: The Fund’s investment strategy, involving indirect exposure to bitcoin and gold through one or more Underlying Funds, is subject to the risks associated with bitcoin as well as gold. Shareholders in the Fund bear both their proportionate share of expenses in the Fund and, indirectly, the expenses of the Underlying Funds.

Transcript

Corey Hoffstein: 00:00:00

What I do wanna talk about, though, is often the

Corey Hoffstein: 00:00:02

question I ask to advisors, like, "What is your plan to get back in?

Corey Hoffstein: 00:00:07

You've gotten out.

Corey Hoffstein: 00:00:08

Maybe you got that part of the trade right.

Corey Hoffstein: 00:00:11

What's your plan to get back in?"

Rodrigo Gordillo: 00:01:31

Thanks everybody again for joining us to another

Rodrigo Gordillo: 00:01:34

episode of Stacked Unpacked.

Rodrigo Gordillo: 00:01:36

We were just talking, uh, with Corey at how it feels like we're doing

Rodrigo Gordillo: 00:01:39

these every couple of days now.

Rodrigo Gordillo: 00:01:41

Um, just the quarters are going by so quickly.

Rodrigo Gordillo: 00:01:44

But, uh, for those of you who don't know us and this is the first time

Rodrigo Gordillo: 00:01:46

joining us, my name's Rodrigo Gordillo.

Rodrigo Gordillo: 00:01:48

I'm president of Resolve Asset Management and co-founder of the

Rodrigo Gordillo: 00:01:52

Return Stacked suite of ETFs.

Rodrigo Gordillo: 00:01:54

I'm also joined with Corey Hoffstein, CEO of Newfound Research and

Rodrigo Gordillo: 00:01:57

co-founder of Return Stacked ETFs.

Rodrigo Gordillo: 00:01:59

Now, before we begin, I'd like to kind of point everybody, if you

Rodrigo Gordillo: 00:02:05

haven't already seen, the commentary.

Rodrigo Gordillo: 00:02:08

If you go to our website returnstackedetfs.com,

Rodrigo Gordillo: 00:02:12

and you hover over Insights and then Literature.

Rodrigo Gordillo: 00:02:17

Number one, the Literature page is a, fountain of knowledge here, where you can

Rodrigo Gordillo: 00:02:21

look at different tags and decide what you wanna focus on when you visit it.

Rodrigo Gordillo: 00:02:25

Um, we have our Start Here, A Case for Not Making Room for Alternatives,

Rodrigo Gordillo: 00:02:28

which is a, a favorite of ours, along with product literature here, um,

Rodrigo Gordillo: 00:02:33

whether it's presentations or product briefs or quarterly commentaries,

Rodrigo Gordillo: 00:02:37

foundation guides and so on.

Rodrigo Gordillo: 00:02:38

So take a look at that.

Rodrigo Gordillo: 00:02:39

But if you click on the Commentary button to filter for that, you'll see the Q3,

Rodrigo Gordillo: 00:02:44

commentary, available to you for review.

Rodrigo Gordillo: 00:02:46

So we'll be sharing that on screen so you guys can follow along.

Rodrigo Gordillo: 00:02:51

But if this is your first time really looking at the Return Stack suite of

Rodrigo Gordillo: 00:02:56

ETFs, you know, this is, um, uh-- We started back in twenty twenty-three,

Rodrigo Gordillo: 00:03:02

and since then we have brought eight ETFs to market, and the suite has grown

Rodrigo Gordillo: 00:03:07

from zero to one point six billion dollars in assets under management.

Rodrigo Gordillo: 00:03:10

And I think that one of the things that I would credit behind the growth of, of this

Rodrigo Gordillo: 00:03:14

ETF suite is that we solve a very real problem for most advisors, individuals,

Rodrigo Gordillo: 00:03:19

allocators, which is introducing diversifying strategies and assets to a

Rodrigo Gordillo: 00:03:24

portfolio, I can tell you from personal experience, can be very difficult, and

Rodrigo Gordillo: 00:03:29

it's a very difficult proposition when it requires you to sell the favorite asset

Rodrigo Gordillo: 00:03:33

classes of stocks and bonds, to make room for these diversifiers, these odd-moving

Rodrigo Gordillo: 00:03:38

asset classes in your portfolio.

Rodrigo Gordillo: 00:03:40

And so the entire idea of return stacking is that you don't have

Rodrigo Gordillo: 00:03:43

to make that sacrifice anymore.

Rodrigo Gordillo: 00:03:45

We're trying to bring an entire, turnkey suite of products to market

Rodrigo Gordillo: 00:03:49

to help people mix and match and build portfolios in a more thoughtful way,

Rodrigo Gordillo: 00:03:53

so that we can make alternatives easier to keep in your portfolio structurally.

Rodrigo Gordillo: 00:03:57

Now we're talking about liquid alternatives, not necessarily on

Rodrigo Gordillo: 00:04:00

the private side, but all the liquid alternatives and asset classes that

Rodrigo Gordillo: 00:04:03

are different from stocks and bonds is what we're trying to stack on top and

Rodrigo Gordillo: 00:04:07

really with different bases as well.

Rodrigo Gordillo: 00:04:09

And so, uh, just before we start, I did wanna let everybody know that this is

Rodrigo Gordillo: 00:04:13

in- meant to be an interactive webinar.

Rodrigo Gordillo: 00:04:16

so if you have any questions, throughout the presentation, go to that chat

Rodrigo Gordillo: 00:04:20

button on the Zoom, ask your questions.

Rodrigo Gordillo: 00:04:23

We'll try to get to 'em throughout the presentation and anything that we

Rodrigo Gordillo: 00:04:26

missed at the end of the presentation.

Rodrigo Gordillo: 00:04:28

if you're interested in any one of the, the suites just, uh, of ETFs, by the way,

Rodrigo Gordillo: 00:04:32

you can just click on View All ETFs here, and you can get access to all of them.

Rodrigo Gordillo: 00:04:36

Okay.

Rodrigo Gordillo: 00:04:36

So before we do begin, we like to start things off by doing a little poll.

Rodrigo Gordillo: 00:04:43

so if everybody can, uh, take a look at their screen, we're gonna

Rodrigo Gordillo: 00:04:47

go through two questions here.

Rodrigo Gordillo: 00:04:49

The first one is Which best describes how you're positioning the fixed income

Rodrigo Gordillo: 00:04:55

sleeve of your client portfolios today?

Rodrigo Gordillo: 00:04:58

Is it mostly core bonds, short duration leaning on cash and T-bills, mostly core

Rodrigo Gordillo: 00:05:04

bonds plus credit or other yield-oriented exposure, and, or partially replacing

Rodrigo Gordillo: 00:05:09

bonds with alternatives, or keeping core bonds and adding alternatives on top?

Rodrigo Gordillo: 00:05:14

So just answer those as you can.

Rodrigo Gordillo: 00:05:16

And then the second question is, what are your major global macro concerns?

Rodrigo Gordillo: 00:05:20

And this is a multi-select, so you can pick more than one, so that we can kinda--

Rodrigo Gordillo: 00:05:24

The goal for these is to get a sense for where people, especially on the bond

Rodrigo Gordillo: 00:05:29

side, I think we have a lot to say there, um, with regard to how other advisors

Rodrigo Gordillo: 00:05:34

are using the full suite of Bs, so the bond base, which we'll get to later on.

Rodrigo Gordillo: 00:05:41

Got a couple more minutes here.

Rodrigo Gordillo: 00:05:43

And then kinda get a sense for where the, where the concerns are on the

Rodrigo Gordillo: 00:05:46

inflation or recession side of things.

Rodrigo Gordillo: 00:05:50

All right.

Rodrigo Gordillo: 00:05:50

I think we got quite a bit of respondents here.

Rodrigo Gordillo: 00:05:54

We're looking on the bond side.

Rodrigo Gordillo: 00:05:57

Not surprisingly, most of you are looking at shortening duration for bonds still.

Rodrigo Gordillo: 00:06:03

So this is, um, this is still interesting to see that that is what

Rodrigo Gordillo: 00:06:06

we have-- we continue to lean on.

Rodrigo Gordillo: 00:06:09

And then partially replacing bonds with alternatives seems to be another

Rodrigo Gordillo: 00:06:12

popular action that advisors are taking.

Rodrigo Gordillo: 00:06:16

Yeah, it's, uh, mostly core bonds AgStyle is very, very low.

Rodrigo Gordillo: 00:06:20

Only one of twenty.

Rodrigo Gordillo: 00:06:22

That's interesting.

Rodrigo Gordillo: 00:06:24

And keeping your core bonds and adding alternatives on top.

Rodrigo Gordillo: 00:06:26

Love to see a twenty percent handle on that one.

Rodrigo Gordillo: 00:06:30

Right up our alley And on the inflation side versus AI bubble versus US debt

Rodrigo Gordillo: 00:06:37

cycle, Iran war is not that much of an issue, but you were seeing across

Rodrigo Gordillo: 00:06:42

the board the issues of inflation, debt, and then obviously the

Rodrigo Gordillo: 00:06:50

possible or never coming AI bubble.

Rodrigo Gordillo: 00:06:53

Very, very interesting.

Rodrigo Gordillo: 00:06:54

Okay.

Rodrigo Gordillo: 00:06:54

Well, this, this will help us inform the conversations after we walk

Rodrigo Gordillo: 00:06:58

everybody through the commentary.

Rodrigo Gordillo: 00:07:00

What I'm gonna do now is pass it on to, uh-- I'm gonna share the

Rodrigo Gordillo: 00:07:04

results here for everybody to see.

Rodrigo Gordillo: 00:07:06

I'm gonna pass it on to Corey to walk us through the first of our ETFs.

Rodrigo Gordillo: 00:07:12

Let me just get this, the page up and share my screen and, um, while I do

Rodrigo Gordillo: 00:07:17

that, Corey, I'm going to pass it over.

Corey Hoffstein: 00:07:21

Great.

Corey Hoffstein: 00:07:21

Thank you, Rod.

Corey Hoffstein: 00:07:22

As Rod mentioned, we do have eight ETFs in the suite.

Corey Hoffstein: 00:07:25

We are gonna be discussing all eight.

Corey Hoffstein: 00:07:27

The good news is many of the ETFs fall under the same structure, and

Corey Hoffstein: 00:07:32

so we can sort of talk about the overlay, uh, for multiple ETFs at once.

Corey Hoffstein: 00:07:37

So if this is your first time joining us, we'll be talking about first RSSB,

Corey Hoffstein: 00:07:41

which is our capital efficiency solution, and then we'll go into the pre-stacked

Corey Hoffstein: 00:07:44

solutions, first talking about the trend suite and then the carry suite,

Corey Hoffstein: 00:07:49

our merger arbitrage product, and finally, our gold and Bitcoin overlay.

Corey Hoffstein: 00:07:54

Now, we'll start with RSSB.

Corey Hoffstein: 00:07:56

This is our Return Stacked Global Stocks and Bonds ETF.

Corey Hoffstein: 00:08:01

The idea behind this ETF is that for every dollar you invest, we are

Corey Hoffstein: 00:08:06

seeking to provide you a dollar of exposure to passive low-cost global

Corey Hoffstein: 00:08:13

equities, plus a dollar of exposure to a US Treasury futures ladder.

Corey Hoffstein: 00:08:20

Rod, can you bring back the, um- Thank you.

Corey Hoffstein: 00:08:25

We benchmark this internally to a hundred percent FTSE, global equity

Corey Hoffstein: 00:08:33

plus a hundred percent Bloomberg US Treasury portfolio, assuming the

Corey Hoffstein: 00:08:38

financing rate internally is US T-bills.

Corey Hoffstein: 00:08:42

Uh, we always say a picture's worth a thousand words.

Corey Hoffstein: 00:08:44

When it comes to tracking here, what you can see is black is the hundred, hundred.

Corey Hoffstein: 00:08:48

That hundred, hundred is gross of any and all fees.

Corey Hoffstein: 00:08:52

And then in the dotted teal line, which you can't really see here

Corey Hoffstein: 00:08:56

'cause it's pretty much overlapped with the straight teal line, you have

Corey Hoffstein: 00:09:00

the nav of RSSB over the last year.

Corey Hoffstein: 00:09:03

And then in the green line, you have the actual price return

Corey Hoffstein: 00:09:06

of RSSB, price total return.

Corey Hoffstein: 00:09:07

You can see those overlap pretty tightly.

Corey Hoffstein: 00:09:10

Uh, what we would hope you would take away from this is that we

Corey Hoffstein: 00:09:12

fit our benchmark quite closely.

Corey Hoffstein: 00:09:15

Um, that said, when we talk quarter over quarter, there's always going

Corey Hoffstein: 00:09:18

to be a little bit of difference.

Corey Hoffstein: 00:09:21

One of those differences that comes up quarter over quarter…

Corey Hoffstein: 00:09:23

Actually, Rod, can you go back two pages for me?

Corey Hoffstein: 00:09:26

One of those differences that comes up quarter over quarter comes from the fact

Corey Hoffstein: 00:09:31

that when you talk about global indices and their returns on any given day, we

Corey Hoffstein: 00:09:37

have to acknowledge that the markets that are being traded there are often closed.

Corey Hoffstein: 00:09:44

So before the US markets close for the quarter, we continue to get

Corey Hoffstein: 00:09:48

prices in our global and international equity ETFs throughout four PM

Corey Hoffstein: 00:09:53

Eastern, but the actual international markets that those are supposedly

Corey Hoffstein: 00:09:57

tracking have been closed for hours.

Corey Hoffstein: 00:09:59

And so it's some estimation of indicative pricing of where those futures may be

Corey Hoffstein: 00:10:03

trading or what may happen in the future.

Corey Hoffstein: 00:10:05

What that means is you have a window of time in the last day of the quarter and,

Corey Hoffstein: 00:10:10

and actually the first day of the quarter in which things don't perfectly overlap.

Corey Hoffstein: 00:10:14

And that timing mismatch often creates, on any given day, a

Corey Hoffstein: 00:10:18

twenty, thirty, forty basis point difference quarter over quarter.

Corey Hoffstein: 00:10:22

It's almost certainly erased the next day, but it's something

Corey Hoffstein: 00:10:24

we see almost every quarter.

Corey Hoffstein: 00:10:26

It's a source of noise reporting quarterly returns of us versus

Corey Hoffstein: 00:10:30

a pure index, uninvestable index benchmark, but it always shows up.

Corey Hoffstein: 00:10:34

This quarter was, it was accounted for about thirty-seven basis

Corey Hoffstein: 00:10:37

points of underperformance.

Corey Hoffstein: 00:10:40

Almost certainly reversed itself the first day of this, of Q4.

Corey Hoffstein: 00:10:45

The second factor was bigger this quarter.

Corey Hoffstein: 00:10:48

It was about seventy-eight, eighty basis points.

Corey Hoffstein: 00:10:51

And this comes from trying to give exposure to the

Corey Hoffstein: 00:10:56

broad US Treasury benchmark.

Corey Hoffstein: 00:10:59

Now, the way we build our US Treasury exposure is we get it through an equal

Corey Hoffstein: 00:11:04

weight ladder of treasury futures, two-year futures, five-year futures,

Corey Hoffstein: 00:11:09

ten-year futures, and long bond futures.

Corey Hoffstein: 00:11:13

The reality is that equal weight ladder does not perfectly match the actual,

Corey Hoffstein: 00:11:20

exposure within the US Treasury benchmark.

Corey Hoffstein: 00:11:25

The actual treasuries held within that benchmark give you

Corey Hoffstein: 00:11:28

fairly continuous exposure.

Corey Hoffstein: 00:11:31

Trying to replicate both the sort of cumulative duration curve as

Corey Hoffstein: 00:11:35

well as the embedded convexity in that benchmark is almost impossible,

Corey Hoffstein: 00:11:41

frankly, with just a few key rates that we have at our disposal.

Corey Hoffstein: 00:11:45

And what we found is actually trying to provide a close approximation

Corey Hoffstein: 00:11:48

to that benchmark over time.

Corey Hoffstein: 00:11:50

Uh, the-- You can either take on model risk and try to do something complicated,

Corey Hoffstein: 00:11:54

or we found that equal weight ladder does a really good job on average over

Corey Hoffstein: 00:11:59

time with sort of m-no model risk.

Corey Hoffstein: 00:12:02

It's free of model risk because it's just this sort of equal weight

Corey Hoffstein: 00:12:05

ladder where we're not having to run any complex computations.

Corey Hoffstein: 00:12:08

This quarter, again, this was a quarter where rates took a real hit,

Corey Hoffstein: 00:12:13

particularly on the long end of the curve.

Corey Hoffstein: 00:12:15

We just had more convexity than the benchmark.

Corey Hoffstein: 00:12:19

That cut against us.

Corey Hoffstein: 00:12:20

That caused the Treasury Futures ladder to lose more than the Treasury

Corey Hoffstein: 00:12:23

benchmark by about eighty basis points.

Corey Hoffstein: 00:12:26

Um, again, this is a source of noise.

Corey Hoffstein: 00:12:28

We tend to find that historically this is just averaged out over time.

Corey Hoffstein: 00:12:32

This was a particularly, you know, bad quarter for the Treasury

Corey Hoffstein: 00:12:35

bench-- for the Treasury Futures ladder versus its benchmark.

Corey Hoffstein: 00:12:38

But again, we have found that this is o-on average, just a source of tracking

Corey Hoffstein: 00:12:42

error over time rather than a sort of a permanent source of, of gain or loss.

Corey Hoffstein: 00:12:47

So, probably a bigger relative loss this quarter relative to the benchmark than

Corey Hoffstein: 00:12:52

we've seen in any other quarter before.

Corey Hoffstein: 00:12:54

But it had a lot to do with, quite simply, how much Treasury sold off

Corey Hoffstein: 00:13:00

this quarter and how our exposure in the equal weight ladder compared to

Corey Hoffstein: 00:13:04

what was actually in the underlying Bloomberg US Treasury benchmark.

Corey Hoffstein: 00:13:09

Most important takeaway here though, right, again, is that

Corey Hoffstein: 00:13:12

this is a capital efficiency tool.

Corey Hoffstein: 00:13:13

We're not trying to use this with people to advocate for them to

Corey Hoffstein: 00:13:17

stack bonds on their portfolio.

Corey Hoffstein: 00:13:20

The use case for this ETF is to say, "Sell some of your stocks, sell some

Corey Hoffstein: 00:13:24

of your bonds, replace half of that exposure with RSSB," and you get all

Corey Hoffstein: 00:13:29

the data back, and you freed up capital to then stack whatever you want.

Corey Hoffstein: 00:13:34

So if you don't like our pre-stacked alternatives for whatever reason,

Corey Hoffstein: 00:13:38

you don't like our approach and/or there's just something else you want

Corey Hoffstein: 00:13:42

to stack, RSSB allows you to take other strategies that maybe aren't

Corey Hoffstein: 00:13:46

available in a pre-stacked form and stack them on your portfolio

Corey Hoffstein: 00:13:52

Ron, I'll kick it over to you- All right … and you can talk about maybe

Corey Hoffstein: 00:13:54

some of the more interesting stuff than just the vanilla stocks and bonds.

Rodrigo Gordillo: 00:13:57

Well, vanilla, but very powerful if you use it the right way.

Rodrigo Gordillo: 00:14:01

so I wouldn't, uh, shy away from exploring some of the case studies

Rodrigo Gordillo: 00:14:04

that we put together for RSSB for those who are interested in how you

Rodrigo Gordillo: 00:14:09

might be able to stack things that you already own, and, uh, get back some

Rodrigo Gordillo: 00:14:12

of that beta that you may be missing.

Rodrigo Gordillo: 00:14:15

But let's move on to the, uh, suite of Trend Stack ETF.

Rodrigo Gordillo: 00:14:20

So here we're just gonna cover three in one.

Rodrigo Gordillo: 00:14:22

We're gonna cover the return stacked bonds and managed futures ETF.

Rodrigo Gordillo: 00:14:26

That one gives you 100% exposure to US core bonds and 100%

Rodrigo Gordillo: 00:14:32

exposure to managed futures.

Rodrigo Gordillo: 00:14:33

Then we have the US stocks and managed futures ETF, so same stack on top

Rodrigo Gordillo: 00:14:38

of US large cap, and then we have international stocks and managed

Rodrigo Gordillo: 00:14:42

futures, um, ETF, which gives you exposure to developed, international

Rodrigo Gordillo: 00:14:47

markets and, uh, managed futures on top.

Rodrigo Gordillo: 00:14:50

So if this is new to you as to how we're getting exposure to

Rodrigo Gordillo: 00:14:54

managed futures, we talk about the replication process briefly.

Rodrigo Gordillo: 00:14:58

So here it's crucial to understand that we're not trying to create some sort

Rodrigo Gordillo: 00:15:03

of alpha generation trend following strategy that's unique to us and

Rodrigo Gordillo: 00:15:08

we're trying to beat our competitors.

Rodrigo Gordillo: 00:15:10

What we've decided to do here for this, um, the, all these three ETFs is to

Rodrigo Gordillo: 00:15:14

really stack an index on top of an index.

Rodrigo Gordillo: 00:15:17

In this case, what we're trying to do is create a managed futures composite of

Rodrigo Gordillo: 00:15:23

the liquid managed futures managers out there and try to match the performance

Rodrigo Gordillo: 00:15:28

of the, of a basket of managed future strategies, uh, as best as we can.

Rodrigo Gordillo: 00:15:33

And the way we have decided to implement that is through two approaches.

Rodrigo Gordillo: 00:15:37

one is called the top-down approach.

Rodrigo Gordillo: 00:15:40

This is possibly the most popular one that you'll see out there today.

Rodrigo Gordillo: 00:15:44

It is the idea that you're gonna use regression, to find a futures

Rodrigo Gordillo: 00:15:49

portfolio that best matches the trend category recent returns.

Rodrigo Gordillo: 00:15:53

So you look back over a recent period, you try to fit the best portfolio

Rodrigo Gordillo: 00:15:57

that would have matched the historical returns, and then es- and then

Rodrigo Gordillo: 00:16:00

establish that portfolio and run it forward for a day, and we rebalance

Rodrigo Gordillo: 00:16:04

this and reconstitute them every day.

Rodrigo Gordillo: 00:16:06

And in that, top-down approach, there's two top-down models, one

Rodrigo Gordillo: 00:16:11

that is a constrained universe of nine contracts and another one that

Rodrigo Gordillo: 00:16:14

is the full 33 contract universe.

Rodrigo Gordillo: 00:16:17

And the goal of this one, really, what, where at least stands out behind the

Rodrigo Gordillo: 00:16:20

idea of extracting from a series, is that you are able to not only capture

Rodrigo Gordillo: 00:16:27

kind of the big muscle movements of that category, but possibly capture

Rodrigo Gordillo: 00:16:31

the innovation of that category that we won't be able to necessarily,

Rodrigo Gordillo: 00:16:36

uh, replicate by using a bottom-up approach, which I'll get to in a second.

Rodrigo Gordillo: 00:16:39

And so it, it, it, it's a way of extracting some of that value

Rodrigo Gordillo: 00:16:43

through, recess- regression and, and, and replication that way.

Rodrigo Gordillo: 00:16:46

Now, the bottom up is the opposite side of the spectrum.

Rodrigo Gordillo: 00:16:48

It's saying, "Look, if we go back in history and identify how these

Rodrigo Gordillo: 00:16:52

managers, um, like what, what actual trend following models they use in

Rodrigo Gordillo: 00:16:58

order to trigger longs and shorts across the 33 contract universe," this is a,

Rodrigo Gordillo: 00:17:03

basically at the end of the day, a trend following model that is tuned to fit

Rodrigo Gordillo: 00:17:08

the broad category historically, right?

Rodrigo Gordillo: 00:17:09

So it actually will trigger on events rather than look back at the Um, at

Rodrigo Gordillo: 00:17:16

the history of the basket in order to make, our decisions on allocations.

Rodrigo Gordillo: 00:17:20

Okay, so that, the, the, the, uh, allocation between top-down and

Rodrigo Gordillo: 00:17:25

bottom-up is, bottom-up is around 70% exposure, 30% goes to top-down.

Rodrigo Gordillo: 00:17:31

And, um, and so when we look at how well we've replicated, we recently did,

Rodrigo Gordillo: 00:17:36

I mean, not we, but Corey and Adam did a fantastic three-year retrospective.

Rodrigo Gordillo: 00:17:42

we hit our three-year mark in RSST, a couple weeks ago.

Rodrigo Gordillo: 00:17:46

So if you go to our website and go to the webinar, the product

Rodrigo Gordillo: 00:17:50

webinar section, you'll find that we kind of covered the whole thing.

Rodrigo Gordillo: 00:17:53

But look, the long and short of using all of these together is that we've done a

Rodrigo Gordillo: 00:17:58

pretty good job at replicating the index.

Rodrigo Gordillo: 00:18:00

In this case, we are putting it up against the Saatchen Trend Index.

Rodrigo Gordillo: 00:18:02

The green line represents the, um, the replication, the blend.

Rodrigo Gordillo: 00:18:08

But what's interesting and, and, and what people will note is that these,

Rodrigo Gordillo: 00:18:12

uh, grayed-out lines are the different models that we could have chosen from.

Rodrigo Gordillo: 00:18:17

But w- uh, if anybody's been following our research for the last 10 years,

Rodrigo Gordillo: 00:18:20

both from Newfound and Resolve, is that we believe in being broadly correct

Rodrigo Gordillo: 00:18:25

rather than specifically wrong and kind of diversifying our diversifiers,

Rodrigo Gordillo: 00:18:28

even when, with signal generation.

Rodrigo Gordillo: 00:18:29

And by having done that, we've been able to do a pretty good

Rodrigo Gordillo: 00:18:33

job at, replicating that index.

Rodrigo Gordillo: 00:18:36

So with, um, with that said Oh, by the way, this chart here just shows, you know,

Rodrigo Gordillo: 00:18:44

the ideal, the perfect replication would be the green line being flat throughout.

Rodrigo Gordillo: 00:18:49

but you can see here that it has been slightly above and low,

Rodrigo Gordillo: 00:18:51

pretty much flat to that z-- that one percent or one dollar mark of

Rodrigo Gordillo: 00:18:57

replication, uh, through that period.

Rodrigo Gordillo: 00:19:01

All right, so where did we find, and on the trend side, where-- what has driven

Rodrigo Gordillo: 00:19:06

returns and, and, and, well, at least where are we positioned at the end of the

Rodrigo Gordillo: 00:19:10

quarter versus what we, we were positioned at the beginning of the quarter.

Rodrigo Gordillo: 00:19:13

So in coming into the last quarter, we were very much similar in exposures

Rodrigo Gordillo: 00:19:21

here across the, um, the bond ladder.

Rodrigo Gordillo: 00:19:25

So two-year, five-year, and tenure notes were relatively short here while

Rodrigo Gordillo: 00:19:29

having a long position in euro bonds.

Rodrigo Gordillo: 00:19:32

this is, this has all gone short on the bond side since.

Rodrigo Gordillo: 00:19:36

On the equity indices, we have increased our long positions

Rodrigo Gordillo: 00:19:39

across the board in global markets.

Rodrigo Gordillo: 00:19:42

On the commodity side, the biggest change has been in crude oil here because

Rodrigo Gordillo: 00:19:46

there's been, I think, quite a bit of a correction in, crude oil Brent, but, uh,

Rodrigo Gordillo: 00:19:50

WTI continues to be a high allocation.

Rodrigo Gordillo: 00:19:52

Gas oil continues to be a high allocation.

Rodrigo Gordillo: 00:19:54

So we are long energies.

Rodrigo Gordillo: 00:19:56

And, uh, on the currency side, we have been roughly kind of long

Rodrigo Gordillo: 00:20:01

the US dollar short most markets.

Rodrigo Gordillo: 00:20:04

Agriculturals, the changes have been modest, but you can

Rodrigo Gordillo: 00:20:08

see that corn has taken a long position, mostly long agriculture.

Rodrigo Gordillo: 00:20:12

So this is an inflation trade that's been going well for the trend, the trend side.

Rodrigo Gordillo: 00:20:16

But l-- just if I kind of summarize where the returns have really come

Rodrigo Gordillo: 00:20:21

from for the whole trend suite, you know, we were seeing the, the biggest

Rodrigo Gordillo: 00:20:27

positions come from the long equity, uh, holdings from commodities, um,

Rodrigo Gordillo: 00:20:35

and, uh, and we are short fixed income coming into the end of the quarter.

Rodrigo Gordillo: 00:20:41

So You know, I think broadly speaking, the, the trend allocation is really

Rodrigo Gordillo: 00:20:49

positioned for an inflationary kind of growth environment.

Rodrigo Gordillo: 00:20:55

Wouldn't you agree, Corey?

Rodrigo Gordillo: 00:20:56

The, the idea here that we are-- we're long energies, we're long

Rodrigo Gordillo: 00:21:00

equities, we're short bonds.

Rodrigo Gordillo: 00:21:02

You know, again, it's trend following.

Rodrigo Gordillo: 00:21:04

We're seeing more of the same type of, uh, global macro influences

Rodrigo Gordillo: 00:21:10

really displaying themselves in the trend replication strategy.

Rodrigo Gordillo: 00:21:15

so, you know, it's been an interesting thing to watch.

Rodrigo Gordillo: 00:21:18

Obviously, the benefits of doing that this year, uh, have been a pretty good

Rodrigo Gordillo: 00:21:24

outperformance with, um, by stacking trend on top of the S&P 500, uh, as

Rodrigo Gordillo: 00:21:30

well as-- especially for bonds, right?

Rodrigo Gordillo: 00:21:32

Like bonds, RSBT for the quarter was up two point three four percent,

Rodrigo Gordillo: 00:21:37

whereas bonds themselves were down over three percent for the quarter.

Rodrigo Gordillo: 00:21:42

Bonds, uh, for the y- twelve-month, uh, period were down just under two percent,

Rodrigo Gordillo: 00:21:47

while the trend, uh, or RSBT was up 15%.

Rodrigo Gordillo: 00:21:51

So this idea of, you know, stacking alternatives on top of bonds in

Rodrigo Gordillo: 00:21:55

order to, to kind of offset some of the inflation issues has played

Rodrigo Gordillo: 00:22:00

out quite well while-- by stacking trend replication on top of it.

Rodrigo Gordillo: 00:22:05

on the RSST side, for the quarter, we've seen a return of eight point

Rodrigo Gordillo: 00:22:09

seven six percent, and, uh, for the year of thirty-five percent.

Rodrigo Gordillo: 00:22:13

That's, uh, six point five percent ahead of the S&P 500 for the

Rodrigo Gordillo: 00:22:16

quarter and nineteen point eight percent ahead, for the year.

Rodrigo Gordillo: 00:22:19

So pretty strong stacking outcomes, uh, in the recent period.

Rodrigo Gordillo: 00:22:24

based on all of those macro questions that we asked in the beginning, uh, they've all

Rodrigo Gordillo: 00:22:28

been playing out here on the trend side.

Rodrigo Gordillo: 00:22:31

Anything to add here, Corey, on, um-

Corey Hoffstein: 00:22:33

No, I mean, I, I- … the positioning The only thing

Corey Hoffstein: 00:22:35

I will add, uh, the only thing I'll add here, right, is that this is a

Corey Hoffstein: 00:22:38

purely systematic process in that-

Rodrigo Gordillo: 00:22:40

Yeah

Corey Hoffstein: 00:22:41

you know, we're not positioning this for a specific regime,

Corey Hoffstein: 00:22:43

but it is always interesting to ask the question, is there a coherent narrative

Corey Hoffstein: 00:22:49

that this seems to be pointing to?

Corey Hoffstein: 00:22:50

And it does seem as though the major market trends are leaning to this

Corey Hoffstein: 00:22:57

inflationary growth environment, right?

Corey Hoffstein: 00:23:00

Long equity data for the growth, short bonds because of interest,

Corey Hoffstein: 00:23:04

potential interest rate pressures, long agricultures, long energies.

Corey Hoffstein: 00:23:08

Those are all things that sort of point to a coherent story, but there's

Corey Hoffstein: 00:23:12

nothing that says that this can't flip on its head within the quarter, right?

Corey Hoffstein: 00:23:15

That's, that's the great part about a dynamic systematic strategy, is that

Corey Hoffstein: 00:23:20

narrative could completely unwind for a variety of potential reasons.

Corey Hoffstein: 00:23:25

It's just that those seem to be the persistent trends

Corey Hoffstein: 00:23:27

exiting the quarter right now

Rodrigo Gordillo: 00:23:30

Yeah, you can see it here.

Rodrigo Gordillo: 00:23:30

If you go to the website and you click on, um, fund-- Just, I think, Portfolio

Rodrigo Gordillo: 00:23:34

Risk Allocations, if you click on that wh-when you're in RSST or RSIT or RSBT,

Rodrigo Gordillo: 00:23:40

excuse me, you'll be able to find where the broad exposures are presently.

Rodrigo Gordillo: 00:23:46

If you wanna go, by risk allocations by market, you can see here whether

Rodrigo Gordillo: 00:23:50

we're long or short and the risk allocation for each one of those markets.

Rodrigo Gordillo: 00:23:55

and then if you wanna kinda see the transition over the

Rodrigo Gordillo: 00:23:58

last 12 months, there's this trend strategy transition plot.

Rodrigo Gordillo: 00:24:02

So this is purely the managed futures trend, uh, replication

Rodrigo Gordillo: 00:24:07

and its allocations, historically.

Rodrigo Gordillo: 00:24:09

There's been a-- There was a question about, um, whether, that S&P 500 base

Rodrigo Gordillo: 00:24:17

or the bond base or the international equity base is dynamic or not.

Rodrigo Gordillo: 00:24:20

It is not.

Rodrigo Gordillo: 00:24:21

It is static.

Rodrigo Gordillo: 00:24:22

But as you can see from these allocations, we can either ex-- really get a higher

Rodrigo Gordillo: 00:24:28

allocation to those asset classes.

Rodrigo Gordillo: 00:24:30

So if you go to Equities here, you can see that if it's the S&P E-mini

Rodrigo Gordillo: 00:24:34

that you're looking for, that there's been an extra allocation to the S&P

Rodrigo Gordillo: 00:24:39

500 over this time period, though that's obviously not always the case.

Rodrigo Gordillo: 00:24:42

it will-- The, the managed futures sleeve will, can and will go short equities and

Rodrigo Gordillo: 00:24:49

the S&P 500, which in essence means it'll reduce the allocation to the core base

Rodrigo Gordillo: 00:24:56

if we're talking about RSST, for example.

Rodrigo Gordillo: 00:24:58

So I hope that answers, uh, your question, Ofer.

Rodrigo Gordillo: 00:25:01

Meir, So again, I am, I, I encourage everybody to come here and take a

Rodrigo Gordillo: 00:25:05

look if they're interested in getting an intuition for how this works.

Rodrigo Gordillo: 00:25:09

The intuition in trend is super easy.

Rodrigo Gordillo: 00:25:10

Is the trend up or down over a recent period?

Rodrigo Gordillo: 00:25:13

Uh, reasonable period.

Rodrigo Gordillo: 00:25:14

It's not gonna be so intuitive if it's five days, but over, you know, a six to

Rodrigo Gordillo: 00:25:18

12-month period, you'll probably be able to guess what the positions are over time.

Rodrigo Gordillo: 00:25:24

All right

Rodrigo Gordillo: 00:25:25

So all in all, the quarter was really, was pretty good for trend, positive stack.

Rodrigo Gordillo: 00:25:31

And again, in the report you can get the nitty-gritty in summarized table

Rodrigo Gordillo: 00:25:35

format, which I won't get into presently.

Rodrigo Gordillo: 00:25:38

Okay?

Rodrigo Gordillo: 00:25:38

Same thing for RSBT and All the standardized performance is

Rodrigo Gordillo: 00:25:45

available to you, for all three of those exchange traded funds.

Rodrigo Gordillo: 00:25:50

Okay, let's move on to futures yield, Corey.

Rodrigo Gordillo: 00:25:55

What are we seeing this quarter for futures yield?

Corey Hoffstein: 00:25:57

Yeah.

Corey Hoffstein: 00:25:57

I always like to talk about futures yield after talking about trend because

Corey Hoffstein: 00:26:01

I feel like trend is generally a pretty well-known concept in the investment

Corey Hoffstein: 00:26:07

industry at this point, right?

Corey Hoffstein: 00:26:08

You have a portfolio, you're generally allocating risk equally across stocks,

Corey Hoffstein: 00:26:13

bonds, currencies, and commodities.

Corey Hoffstein: 00:26:15

Within those categories, you're trying to allocate risk equally

Corey Hoffstein: 00:26:19

among different markets.

Corey Hoffstein: 00:26:21

And then your signal as to whether to go long and short is, is based on

Corey Hoffstein: 00:26:24

something that's fairly intuitive.

Corey Hoffstein: 00:26:26

Most people can look at a chart and say, "If the line's going

Corey Hoffstein: 00:26:29

up, we generally think trends are positive and we'll go long.

Corey Hoffstein: 00:26:32

If the line's going down, we'll go short."

Corey Hoffstein: 00:26:35

Futures yield, our program, starts with a very similar base.

Corey Hoffstein: 00:26:39

It starts with this idea of we're gonna invest in thirty-two

Corey Hoffstein: 00:26:44

global futures markets.

Corey Hoffstein: 00:26:45

We're gonna invest across currencies and commodities and, and bonds and equities.

Corey Hoffstein: 00:26:50

It's gonna be energies and agricultures and metals within the commodity space.

Corey Hoffstein: 00:26:54

We want to equally spread the risk, both across sectors and within asset classes.

Corey Hoffstein: 00:26:59

The big difference is going to be that instead of looking at trends to

Corey Hoffstein: 00:27:04

determine whether we should be long or short, we're going to be looking

Corey Hoffstein: 00:27:07

at this measure of carry, right?

Corey Hoffstein: 00:27:09

And I think, uh, in something like oil is the most intuitive example where

Corey Hoffstein: 00:27:15

when you talk about the price of oil, we're usually talking about not some

Corey Hoffstein: 00:27:19

spot oil market, which frankly doesn't really even exist except for Brent.

Corey Hoffstein: 00:27:23

Um, we're talking about the futures curve and what, what the price of oil

Corey Hoffstein: 00:27:28

is going to be when it's delivered.

Corey Hoffstein: 00:27:30

And the futures curve in oil, you've got futures that go out one month, two months,

Corey Hoffstein: 00:27:34

three months, four months, five months.

Corey Hoffstein: 00:27:36

And what's embedded in that curve is both the prompt sort of

Corey Hoffstein: 00:27:42

supply and demand needs today.

Corey Hoffstein: 00:27:45

What's the price of, you know, getting oil?

Corey Hoffstein: 00:27:47

What's the cost of carrying that inventory?

Corey Hoffstein: 00:27:51

And then as you go way out on the curve, what does the market expect

Corey Hoffstein: 00:27:55

the economic reality to be six to twelve months from now, right?

Corey Hoffstein: 00:27:59

And so when we talk about carry, it's this sort of measure, particularly in

Corey Hoffstein: 00:28:02

oil, of like what is-- what's that price difference between front month and back

Corey Hoffstein: 00:28:07

month or really all across the curve.

Corey Hoffstein: 00:28:10

And there's really rich economic data being carried through that curve, right?

Corey Hoffstein: 00:28:15

So it's sort of the same portfolio construction as trend, but the signal

Corey Hoffstein: 00:28:19

we're looking at is different and distinct, and that's why we can trade

Corey Hoffstein: 00:28:23

all the same markets but come up with very different positions over time.

Corey Hoffstein: 00:28:29

So our multi-asset carry program, our futures yield program, this

Corey Hoffstein: 00:28:32

quarter was frankly quite flat.

Corey Hoffstein: 00:28:34

I think that belies what happened under the surface, right?

Corey Hoffstein: 00:28:36

This is sort of like the duck that looks very calm on the surface, but

Corey Hoffstein: 00:28:39

it's paddling its feet like crazy.

Corey Hoffstein: 00:28:41

We had big wins in energy and frankly pretty large losses in bonds as an offset.

Corey Hoffstein: 00:28:48

If we look at the weights, if we go to the next page, Rod, um,

Corey Hoffstein: 00:28:52

what we saw here is that we remain long bonds in the carry program.

Corey Hoffstein: 00:28:58

I know a lot of people are still pretty bearish on bonds, but if we look at

Corey Hoffstein: 00:29:03

the actual term premium being offered in something like the treasury yield

Corey Hoffstein: 00:29:08

curve, uh, this is the steepest term premium we've seen since the early 2010s.

Corey Hoffstein: 00:29:15

Now, that doesn't mean it's the steepest we've ever seen.

Corey Hoffstein: 00:29:18

It's not as steep as, say, it was in the nineties.

Corey Hoffstein: 00:29:20

But the actual yield differential being offered, that actual risk premium that

Corey Hoffstein: 00:29:26

we can potentially harvest, is much, much steeper than it's been historically.

Corey Hoffstein: 00:29:31

And so this program is net long bonds.

Corey Hoffstein: 00:29:34

It likes bonds.

Corey Hoffstein: 00:29:36

That's cutting against what trends are saying today, but, right, as we-- as that

Corey Hoffstein: 00:29:41

trend moves further and further against us, you can sort of think of it-- It's

Corey Hoffstein: 00:29:45

like, as long as the economic picture hasn't changed, the carry is probably

Corey Hoffstein: 00:29:49

getting more and more attractive, right?

Corey Hoffstein: 00:29:51

In many ways, you can sort of think of this like a value stock, right?

Corey Hoffstein: 00:29:55

As long as the fundamentals don't change, as the price gets-- goes down,

Corey Hoffstein: 00:29:58

it only becomes better and better value.

Corey Hoffstein: 00:30:01

In many ways, this is sort of a similar idea, right?

Corey Hoffstein: 00:30:04

As price continues to cut against bonds, unless the economic picture

Corey Hoffstein: 00:30:09

truly changes and the whole yield curve changes with it, that premium

Corey Hoffstein: 00:30:14

looks more and more attractive.

Corey Hoffstein: 00:30:15

And so we remain long bonds pretty much across the curve.

Corey Hoffstein: 00:30:19

That hurt us this quarter, but we think, again, long term, this

Corey Hoffstein: 00:30:22

is, this is a good positioning.

Corey Hoffstein: 00:30:24

Now, cutting against that, if we go to the next slide, right?

Corey Hoffstein: 00:30:26

We have equities, which were net short.

Corey Hoffstein: 00:30:29

Carry's saying right now, you know, when you look at equity dividend

Corey Hoffstein: 00:30:33

yields versus cash, it's just equities look very overvalued historically.

Corey Hoffstein: 00:30:39

So for those of you concerned about, say, the AI bubble, while trend might be

Corey Hoffstein: 00:30:43

chasing equities positive, carry's saying, "Mm, we don't like the way this looks.

Corey Hoffstein: 00:30:48

We want out of equities."

Corey Hoffstein: 00:30:51

On the other side, go one-- Yeah.

Corey Hoffstein: 00:30:53

On the other hand, on the commodity side, we're still quite net long energies.

Corey Hoffstein: 00:30:57

We, we were quite long in Q1.

Corey Hoffstein: 00:30:59

That was a huge benefit to the program.

Corey Hoffstein: 00:31:01

We trimmed those positions meaningfully into Q2.

Corey Hoffstein: 00:31:04

Um, we have since subsequently gotten meaningfully long energy again as, um,

Corey Hoffstein: 00:31:12

you know, we have this will they, won't they with, with the situation in Iran

Corey Hoffstein: 00:31:15

and the Strait of Hormuz, that question about, you know, what is the long-term

Corey Hoffstein: 00:31:20

impact on oil prices of the closure?

Corey Hoffstein: 00:31:22

What other avenues do we have to relieve prompt supply risk in the energy chain?

Corey Hoffstein: 00:31:28

What does that do to inflation across the board?

Corey Hoffstein: 00:31:31

All of that's playing out, all of that, you know, not obviously embedded in the

Corey Hoffstein: 00:31:35

curve, but right now the curve is telling us there's a very rich risk premium

Corey Hoffstein: 00:31:39

and a lot of carry to be harvested.

Corey Hoffstein: 00:31:41

And so we are bearing that risk of prompt supply risk being made

Corey Hoffstein: 00:31:45

available suddenly again by being long the front month of the curve.

Corey Hoffstein: 00:31:49

Uh, if we go to the next one, Rod, I mean, the-- what's happening in currencies and,

Corey Hoffstein: 00:31:53

and the ags isn't quite as interesting, so we'll go ahead and, and skip those.

Corey Hoffstein: 00:31:57

Not a, not a tremendous amount to talk about there.

Corey Hoffstein: 00:31:59

The big picture right now today really is frankly, energy versus fixed income.

Corey Hoffstein: 00:32:05

That is what is playing out in, uh, the futures yield program.

Corey Hoffstein: 00:32:10

If we sort of think about this from an economic perspective,

Corey Hoffstein: 00:32:14

it's, it's scarcity is the story that's being played out, right?

Corey Hoffstein: 00:32:19

If we talked about it was inflationary growth and trend, what the futures yield

Corey Hoffstein: 00:32:23

program is, is sort of positioned for today is ongoing commodity scarcity.

Corey Hoffstein: 00:32:29

So long as we don't think the Strait of Hormuz is going to open suddenly, so long

Corey Hoffstein: 00:32:32

as we think oil is gonna remain scarce and the impact that has on broad agricultural

Corey Hoffstein: 00:32:38

scarcity, that's generally what we're seeing play out as the story in the curve.

Corey Hoffstein: 00:32:42

That's where we think carry is richest, and that is ultimately what's being

Corey Hoffstein: 00:32:46

harvested in this program today.

Corey Hoffstein: 00:32:48

Now, again, we could see that switch very quickly.

Corey Hoffstein: 00:32:50

If you go back to our Q2 commentary, you can go and look at how quickly we

Corey Hoffstein: 00:32:55

took off those oil longs and trimmed them long before oil rolled over because

Corey Hoffstein: 00:33:01

we saw the curve start to say, "We don't see as much risk premium here.

Corey Hoffstein: 00:33:06

We think that, uh, you know, oil might come back online."

Corey Hoffstein: 00:33:09

And before oil prices dropped, you know, the carry signal had changed dramatically.

Corey Hoffstein: 00:33:14

So there's a lot of richness of economic information in the carry signal.

Corey Hoffstein: 00:33:18

That's why we really like it as a complement to what's happening in trend.

Corey Hoffstein: 00:33:23

Uh, it's telling us something very different and we think is a

Corey Hoffstein: 00:33:25

very sustainable risk premium for us to harvest over time Are you

Corey Hoffstein: 00:33:30

seeing the screen right now, Corey?

Corey Hoffstein: 00:33:31

Yes.

Corey Hoffstein: 00:33:31

Yeah.

Corey Hoffstein: 00:33:32

So it looks like right now you've got up the RSSY webpage.

Corey Hoffstein: 00:33:35

Um, again, just in terms of the transparency we try to provide for people

Corey Hoffstein: 00:33:40

who are trying to get comfortable with these strategies, one of the things

Corey Hoffstein: 00:33:43

we added recently was not only the risk-adjusted weights, the same way we

Corey Hoffstein: 00:33:49

have them available on the trend page, but this idea of what are the current carry

Corey Hoffstein: 00:33:53

scores we're seeing for the different markets, and how does that play out

Corey Hoffstein: 00:33:57

into their target risk-adjusted weights?

Corey Hoffstein: 00:33:59

And generally, what we would expect to see here is something that

Corey Hoffstein: 00:34:03

approximates sort of a one-to-one line.

Corey Hoffstein: 00:34:05

The higher your risk-adjusted carry score, the higher your target weight should be.

Corey Hoffstein: 00:34:09

The lower your risk-adjusted carry score, the lower your

Corey Hoffstein: 00:34:12

risk-adjusted weight should be.

Corey Hoffstein: 00:34:14

Positive carry score should be positive weights, negative carry

Corey Hoffstein: 00:34:16

score should be negative weights.

Corey Hoffstein: 00:34:18

It's not quite that perfect because we run an optimization process, and there's

Corey Hoffstein: 00:34:22

diversification benefits to be harvested.

Corey Hoffstein: 00:34:25

Sometimes negative stuff or slightly negative stuff may earn a positive weight,

Corey Hoffstein: 00:34:29

sometimes slightly positive stuff may earn a negative weight just for offsetting

Corey Hoffstein: 00:34:33

risk purposes that allows us to maximize the risk-adjusted carry in the portfolio.

Corey Hoffstein: 00:34:37

But generally speaking, like trend, when things give us a positive carry score,

Corey Hoffstein: 00:34:41

we wanna be long, and when they give us a negative carry score, we wanna be short.

Rodrigo Gordillo: 00:34:46

Yeah.

Rodrigo Gordillo: 00:34:46

I think you answered a couple questions here about talk about the economic

Rodrigo Gordillo: 00:34:50

information stored in the carry structure.

Rodrigo Gordillo: 00:34:52

I think you did a good job there, unless you wanna add anything new there.

Rodrigo Gordillo: 00:34:55

but broadly speaking, I think the, um, a lot of the information

Rodrigo Gordillo: 00:35:01

is stored here, in this website.

Rodrigo Gordillo: 00:35:03

Once again, you get a chance to take a look at the risk allocations across

Rodrigo Gordillo: 00:35:08

different categories, contrast it against trends, so you can kinda

Rodrigo Gordillo: 00:35:12

get a sense for the different ways that we look at the global macro.

Rodrigo Gordillo: 00:35:17

Not we, but the systematic strategies identify, their signals and reflect

Rodrigo Gordillo: 00:35:21

them in weighting, uh, over time and, and you can kinda get a sense

Rodrigo Gordillo: 00:35:27

for what the risk-adjusted carry is.

Rodrigo Gordillo: 00:35:29

And here, this chart just basically, you can broadly see that low

Rodrigo Gordillo: 00:35:33

risk-adjusted carry means that we're gonna be short these assets.

Rodrigo Gordillo: 00:35:37

So there's the zero line here.

Rodrigo Gordillo: 00:35:40

You can see the short positions.

Rodrigo Gordillo: 00:35:41

And then if it's high risk-adjusted carry, we're likely gonna have a higher position.

Rodrigo Gordillo: 00:35:45

And carry is just a good signal for us to be able to, uh, identify assets that

Rodrigo Gordillo: 00:35:50

are likely to go up, over the future.

Rodrigo Gordillo: 00:35:51

And if nothing changes, we capture the carry roll yield.

Rodrigo Gordillo: 00:35:55

And again, you can look at the transition plot.

Rodrigo Gordillo: 00:35:57

This is what we, addressed in Q2.

Rodrigo Gordillo: 00:36:00

This, oil, this energies exposure went very quickly down before the

Rodrigo Gordillo: 00:36:06

big shift in price, and we covered that in the Q2 commentary, if you

Rodrigo Gordillo: 00:36:11

guys wanna take a look at that.

Rodrigo Gordillo: 00:36:13

And again, you can go into the nitty-gritty of each one of these

Rodrigo Gordillo: 00:36:15

categories and get a sense for how the positioning has changed over time.

Rodrigo Gordillo: 00:36:19

So very dynamic, and, um, and certainly has done a fairly fantastic

Rodrigo Gordillo: 00:36:24

job over the last twelve months of not only stacking, but diversifying

Rodrigo Gordillo: 00:36:28

against trend too, right, Corey?

Rodrigo Gordillo: 00:36:31

Like we, we've seen both, strategies stack positively in the last twelve

Rodrigo Gordillo: 00:36:36

months, but they've done it at different times, which is the whole point

Rodrigo Gordillo: 00:36:39

of diversifying your diversifiers.

Rodrigo Gordillo: 00:36:42

I won't pull up the equity line now, but you guys can kinda explore that

Rodrigo Gordillo: 00:36:45

in your own ways and, uh, and see how different they actually have been.

Rodrigo Gordillo: 00:36:48

Pretty flat for, um, for this quarter versus trend, but, you know, it, it

Rodrigo Gordillo: 00:36:56

will move in its own pace over time.

Rodrigo Gordillo: 00:36:59

Okay.

Rodrigo Gordillo: 00:36:59

Anything else to cover on carry, Corey?

Corey Hoffstein: 00:37:02

Nope.

Corey Hoffstein: 00:37:02

That is it.

Rodrigo Gordillo: 00:37:03

All right.

Rodrigo Gordillo: 00:37:03

Let's go to RSBA

Corey Hoffstein: 00:37:06

Yeah, so RSBA is our return stacked bonds

Corey Hoffstein: 00:37:09

and merger arbitrage ETF.

Corey Hoffstein: 00:37:11

The idea behind this ETF is for every dollar you invest, you're gonna get

Corey Hoffstein: 00:37:15

exposure to $1 of US Treasuries plus $1 of a merger, $1 of a merger arbitrage

Corey Hoffstein: 00:37:21

strategy This, we think as a, as a total strategy, is a phenomenal complement to

Corey Hoffstein: 00:37:29

your traditional corporate bonds, right?

Corey Hoffstein: 00:37:32

If we go back to sort of finance 101 thinking, one of the ways to think

Corey Hoffstein: 00:37:35

about corporate bonds is that you have-- that a corporate bond can sort of be

Corey Hoffstein: 00:37:39

broken into treasuries, the treasury component, plus a credit risk premium.

Corey Hoffstein: 00:37:47

And so what we're trying to do is, is disentangle that choice and make it

Corey Hoffstein: 00:37:50

explicit and say, "Okay, let's keep the treasury component and add a novel risk

Corey Hoffstein: 00:37:54

premium on top, the merger risk premium."

Corey Hoffstein: 00:37:57

Now, the idea behind merger arbitrage, for those of you who are, are maybe

Corey Hoffstein: 00:38:00

less familiar, is that when one company announces that it's acquiring

Corey Hoffstein: 00:38:05

some other public company, typically there's an announced deal price.

Corey Hoffstein: 00:38:11

And so long as that second company agrees to being bought out, its price is going to

Corey Hoffstein: 00:38:15

jump up towards the announced deal price.

Corey Hoffstein: 00:38:18

But it doesn't get all the way there.

Corey Hoffstein: 00:38:20

Like, let's say the company's trading for fifty dollars and the announced deal

Corey Hoffstein: 00:38:25

price is a hundred dollars, it might jump up to eighty or ninety dollars.

Corey Hoffstein: 00:38:29

That last, last ten dollars in, in the spread, why-- the, you know, the

Corey Hoffstein: 00:38:35

difference between where it's trading and where it's gonna be bought out

Corey Hoffstein: 00:38:37

at, represents two-- a couple things.

Corey Hoffstein: 00:38:39

It's gonna represent the time value of money, right?

Corey Hoffstein: 00:38:42

Maybe the deal isn't gonna close for a year, and so a hundred dollars is,

Corey Hoffstein: 00:38:47

uh, you know, in the future is worth less than a hundred dollars today, so

Corey Hoffstein: 00:38:50

there's a little bit of that priced in.

Corey Hoffstein: 00:38:52

But the, the other component is, well, there's uncertainty

Corey Hoffstein: 00:38:55

about when the deal will close.

Corey Hoffstein: 00:38:57

Maybe the market thinks it's gonna close sooner than a year.

Corey Hoffstein: 00:39:00

Maybe the market thinks it'll take longer than a year.

Corey Hoffstein: 00:39:02

That uncertainty bakes in a little bit of spread.

Corey Hoffstein: 00:39:05

And then there's a question about whether the deal will actually get closed at all.

Corey Hoffstein: 00:39:09

Because if the deal doesn't get closed, instead of trading at ninety, that, that

Corey Hoffstein: 00:39:13

company's gonna fall all the way back to sort of market-adjusted pre-announcement

Corey Hoffstein: 00:39:18

price, which can be quite a fall.

Corey Hoffstein: 00:39:20

And so there's going to be some premium baked in there for anyone who's willing to

Corey Hoffstein: 00:39:24

step in at that point to bear that risk.

Corey Hoffstein: 00:39:27

One of the things we really like about this-- two of the things we

Corey Hoffstein: 00:39:30

really like, one is that it's a very, like, well-defined risk premium.

Corey Hoffstein: 00:39:34

When people talk about why should I make money with this type of strategy, I think

Corey Hoffstein: 00:39:39

it's pretty clear you're taking on risk.

Corey Hoffstein: 00:39:42

And that's why we think that this is the type of strategy that should

Corey Hoffstein: 00:39:45

not only make money today but should continue making money into the future.

Corey Hoffstein: 00:39:49

This isn't something that should be arbitraged away.

Corey Hoffstein: 00:39:51

You are bearing deal risk, and therefore, you should get paid for bearing it.

Corey Hoffstein: 00:39:55

It's a very real premium, risk premium.

Corey Hoffstein: 00:39:59

The second is that all these deals are, are very highly idiosyncratic, right?

Corey Hoffstein: 00:40:05

when you look at, you know, deal defaults and all that sort of

Corey Hoffstein: 00:40:09

stuff, it doesn't tend to correlate highly with economic activity.

Corey Hoffstein: 00:40:13

It's not like credit where the entire corporate credit industry

Corey Hoffstein: 00:40:19

is sort of tied to the same cycle.

Corey Hoffstein: 00:40:21

All these deals are very idiosyncratic, and so when you build a portfolio

Corey Hoffstein: 00:40:25

of idiosyncratic deals, you tend to find that the merger risk premium

Corey Hoffstein: 00:40:29

is a lot less sensitive to what's happening in credit and a lot less

Corey Hoffstein: 00:40:33

sensitive to what's happening in equities than, say, corporate bonds.

Corey Hoffstein: 00:40:36

So again, for folks who own corporate bonds, we think this is a great way to

Corey Hoffstein: 00:40:40

diversify your corporate bond exposure, getting a very similar risk profile with a

Corey Hoffstein: 00:40:46

risk premium that's historically returned something very similar to corporate bonds,

Corey Hoffstein: 00:40:52

but gets there in a very different way.

Corey Hoffstein: 00:40:53

So we-- You know, not to say that this is free diversification, but we

Corey Hoffstein: 00:40:57

think this is about as close to free diversification in your bond portfolio

Corey Hoffstein: 00:41:00

as you can get by just using a return stacking structure and purposefully

Corey Hoffstein: 00:41:04

choosing what you want to stack on top.

Corey Hoffstein: 00:41:07

Now, in terms of how did this strategy do in Q3, quite frankly, it was a rough Q3.

Corey Hoffstein: 00:41:12

There was one deal in particular that we held that fell apart.

Corey Hoffstein: 00:41:18

Regulators intervened, started asking some questions.

Corey Hoffstein: 00:41:22

This delayed the deal a lot longer than expected, and investors have basically

Corey Hoffstein: 00:41:28

started to write the deal down as if the probability of deal completion, uh,

Corey Hoffstein: 00:41:33

has, has deteriorated, meaningfully.

Corey Hoffstein: 00:41:37

And so what that means is if the spread blows out, obviously

Corey Hoffstein: 00:41:40

we lose money on that deal.

Corey Hoffstein: 00:41:42

Uh, we ended up kicking the deal out of our portfolio.

Corey Hoffstein: 00:41:45

It exceeded one of our risk rules, which is that we won't hold any deals that are

Corey Hoffstein: 00:41:50

live for longer than three hundred days.

Corey Hoffstein: 00:41:52

What we find is that statistically, that three hundred-day Measure sort of tends

Corey Hoffstein: 00:41:58

to be deals that go further than that have a much higher probability of breaking

Corey Hoffstein: 00:42:02

than deals that complete before that.

Corey Hoffstein: 00:42:04

And so this deal ended up getting kicked out, uh, of our portfolio at

Corey Hoffstein: 00:42:08

end of quarter, but prior to that, it contributed about an, a hundred and

Corey Hoffstein: 00:42:12

seventy basis points of loss, um, more or less wiping out year-to-date gains

Corey Hoffstein: 00:42:18

in the merger arbitrage portfolio.

Corey Hoffstein: 00:42:19

Which is, which is obviously too bad.

Corey Hoffstein: 00:42:21

You know, obviously, we, we want to have a positive contribution each and every

Corey Hoffstein: 00:42:26

year from the merger arbitrage portfolio.

Corey Hoffstein: 00:42:27

But I think also highlights two things.

Corey Hoffstein: 00:42:30

One, a reminder that, again, we're getting paid in merger arbitrage

Corey Hoffstein: 00:42:34

because we are bearing risk.

Corey Hoffstein: 00:42:37

This is exactly the type of risk that we are bearing.

Corey Hoffstein: 00:42:40

This deal went bad.

Corey Hoffstein: 00:42:41

It caused a very real loss in the portfolio, right?

Corey Hoffstein: 00:42:44

And that's why we expect to earn the risk premium on average over time

Corey Hoffstein: 00:42:49

in the collection of deals we hold.

Corey Hoffstein: 00:42:51

Uh, the second is that the way the strategy is designed is that every

Corey Hoffstein: 00:42:56

deal is positioned such that when it falls apart, it should never

Corey Hoffstein: 00:43:00

create more than three hundred basis points of loss in the portfolio.

Corey Hoffstein: 00:43:03

you know, this was a deal that went quite sour on us.

Corey Hoffstein: 00:43:06

It ended up causing a hundred and seventy basis points of loss.

Corey Hoffstein: 00:43:10

Again, credit to the rules that we have in place to try to manage

Corey Hoffstein: 00:43:14

the potential downside risk.

Corey Hoffstein: 00:43:17

So not ideal by any means in the quarter, um, a pretty meaningful loss in the

Corey Hoffstein: 00:43:22

merger arbitrage strategy from an excess return perspective isolated to one deal.

Corey Hoffstein: 00:43:28

But again, highlighting exactly why we think we get paid for merger

Corey Hoffstein: 00:43:31

arb, as well as how we think about mitigating risk in this portfolio.

Corey Hoffstein: 00:43:37

Um, Rod, if you can go to the next page really quickly, I just wanna-- one of

Corey Hoffstein: 00:43:40

the things I wanna highlight here is

Corey Hoffstein: 00:43:43

You know, we go to figure 10.

Corey Hoffstein: 00:43:45

What I have shown here is in green, the-- what's the alpha

Corey Hoffstein: 00:43:48

beta merger arbitrage index.

Corey Hoffstein: 00:43:50

This is the strategy we're seeking to track within our portfolio versus credit.

Corey Hoffstein: 00:43:56

And this is the…

Corey Hoffstein: 00:43:57

If we look at basically investment-grade corporate bonds minus treasuries, what's

Corey Hoffstein: 00:44:02

left over is the credit risk premium.

Corey Hoffstein: 00:44:05

We can see that over this full period, they've more or less

Corey Hoffstein: 00:44:08

ended up in the same place.

Corey Hoffstein: 00:44:09

Again, this is a period where credit keeps tightening, but got there with

Corey Hoffstein: 00:44:13

very different drawdown profiles, volatility profiles, and their own

Corey Hoffstein: 00:44:18

idiosyncratic drawdowns, right?

Corey Hoffstein: 00:44:19

You can see sort of Q2, uh, Q3, credit took a whack while

Corey Hoffstein: 00:44:24

merger arbitrage went up.

Corey Hoffstein: 00:44:26

And then while credit was continuing to rally, our merger arbitrage

Corey Hoffstein: 00:44:30

portfolio took a bit of a hit with that idiosyncratic deal.

Corey Hoffstein: 00:44:34

Again, we just think this is a great example of how you could com-- you

Corey Hoffstein: 00:44:37

know, you can combine these two return streams, fifty percent corporate

Corey Hoffstein: 00:44:40

bonds, fifty percent RSBA, to get that diversification in your bond

Corey Hoffstein: 00:44:45

portfolio from two distinct risk premia

Rodrigo Gordillo: 00:44:49

Yeah, and I'll say, like this is w- in, in almost

Rodrigo Gordillo: 00:44:53

every stack we talk about the-- This should be seen as a stack that you can

Rodrigo Gordillo: 00:44:56

put on top of your whole portfolio.

Rodrigo Gordillo: 00:44:58

But there's a lot of individuals looking to, replace aggregate bond and, and credit

Rodrigo Gordillo: 00:45:04

risk, given what we've seen recently.

Rodrigo Gordillo: 00:45:07

It is, a lot of advisors are using it as a complement.

Rodrigo Gordillo: 00:45:12

Uh, it has a similar volatility profile as ag and has a completely different

Rodrigo Gordillo: 00:45:17

driver outside of what we would expect that you would get from both in

Rodrigo Gordillo: 00:45:21

terms of the treasury, idiosyncratic risk from treasury movement, right?

Rodrigo Gordillo: 00:45:26

So you got the idiosyncratic risk from treasuries plus the credit premium for

Rodrigo Gordillo: 00:45:29

your traditional ag, and then you have idiosyncratic risk from the treasury

Rodrigo Gordillo: 00:45:34

ladder plus the merger arbitrage.

Rodrigo Gordillo: 00:45:36

Both have made money.

Rodrigo Gordillo: 00:45:38

They've made money at different times and have gotten hurt in different ways.

Rodrigo Gordillo: 00:45:41

I think that's a key takeaway here.

Rodrigo Gordillo: 00:45:42

It's worth putting together

Rodrigo Gordillo: 00:45:45

Okay.

Rodrigo Gordillo: 00:45:45

Anything else on RSBA, Corey?

Corey Hoffstein: 00:45:47

No, let's, uh, as I'm looking at the time

Corey Hoffstein: 00:45:50

here, let's charge forward.

Rodrigo Gordillo: 00:45:50

Yeah, let's chart through the RSSX.

Rodrigo Gordillo: 00:45:53

Sorry we're taking a bit longer than usual, but I think, um, you know,

Rodrigo Gordillo: 00:45:56

let's-- RSSX is, the idea here is we're gonna stack gold and Bitcoin in, uh,

Rodrigo Gordillo: 00:46:02

in equal risk, uh, weighting that is dynamic over time on top of the S&P 500.

Rodrigo Gordillo: 00:46:09

And I think the main use case here had been historically-- First of all, we

Rodrigo Gordillo: 00:46:13

talked about the, the, uh, how many people felt that they might have been risk and

Rodrigo Gordillo: 00:46:17

the, the debt that the US government has, and that leads to currency debasement,

Rodrigo Gordillo: 00:46:21

Episode 26

STACKED UNPACKED: Return Stacking, Capital Efficiency, and Overlay Strategies in Q3

Transcript

About the Podcast

Listen for free

About your hosts

Rodrigo Gordillo

Corey Hoffstein