E3: Stacking In Higher Rate Environment, Taxes, Trend Replication Update

In this episode, the Get Stacked team, consisting of Rodrigo Gordillo, Corey Hoffstein, Adam Butler and Mike Philbrick delve into the intricacies of Return Stacking, market trends, and the impact of taxes on investment strategies. They provide detailed insights into their research and findings, discussing the implications of their work for the investment landscape.

Speakers

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Corey Hoffstein

Host • 39%

Rodrigo Gordillo

Host • 17%

Adam Butler

Host • 36%

Michael Philbrick

Host • 8%

Chapters

0:00	Introduction to the topic of risk-free rates and episode overview
2:36	Return stacking in a higher interest rate environment and tax considerations
4:15	Trend replication research and fundamentals of excess returns
10:18	Leveraging futures contracts for portfolio construction
17:31	Importance of non-correlated return streams in investing
21:38	Deep dive into tax implications of return stacking
25:18	Tax efficiency comparison: Stacked strategies vs. traditional funds
32:23	Enhancing trend replication strategies and decision-making
37:36	Top-down vs. bottom-up approaches in trend replication
42:01	Correlation, tracking error, and trend definition analysis
50:54	Realized tracking error and volatility weighting in models
56:26	Optimizing gross returns and turnover in trend models
1:02:12	Trend lookback periods and their impacts pre- and post-2008
1:07:28	Market-specific contributions to trend-following performance
1:13:34	WTI crude, commodities, and correlation dynamics in trend models
1:18:00	Sponsor: XY Capital
1:18:37	Using extensive data for model training and market replication
1:22:05	Universe selection's impact on tracking error and ensemble methods
1:30:31	Validating design principles and preview of the next episode
1:32:27	Additional resources for listeners and closing remarks

Transcript

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