Get Stacked Investment Podcast

Join Corey Hoffstein, Rodrigo Gordillo, and Mike Philbrick for a special live episode of the Get Stacked podcast, aired on August 6, 2024. This episode dives deep into recent significant market events, discussing the Nikkei's historic 12.5% drop, the yen's trend reversals, and market volatility.Trend following strategies generally act as second responders in a crisis, providing more prolonged multi-week, multi-month type of protection compared to first responders like long volatility or put options.The return stacked portfolio aims to maximize returns while minimizing risk by combining diversifying strategies like trend following and carry, though these strategies will sometimes correlate and other times offset each other, depending on market conditions.When considering adding return stacking strategies to a portfolio, it's important to balance the potential for higher returns with the increased tracking error and risk tolerance, typically suggesting allocations in the 20-30% range to avoid looking too idiosyncratic compared to traditional benchmarks.(0:00) Introduction to crisis alpha and trend following(1:22) Podcast introduction, disclaimers, and live Q&A invitation(4:28) Market events, macro thesis, and volatility in return stacking(13:46) Defense leveraging and correlation nuances in portfolio management(24:01) Comprehensive discussion on trend following strategies(28:32) Historical perspective and recent market trends(33:17) Equity roles and crisis alpha in diversified trend mandates(42:30) Exploring futures yield and managed futures carry strategies(46:49) In-depth analysis of carry factor across asset classes(51:13) Portfolio positioning with diversification and correlation strategies(57:30) Case studies of trend and carry under various market conditions(1:00:08) Strategies for optimal return stacking allocation(1:03:49) Risk tolerance assessment for return stacking(1:05:35) Review of historical trend index returns and correlations(1:06:24) Housekeeping and closing remarks

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.Key Points Higher interest rates do not necessarily reduce the efficacy of return stacking, as the strategy focuses on excess returns over the risk-free rate.Tax considerations are significant when dealing with managed futures and commodities within return stacking strategies, but proper asset location can help mitigate tax burdens.Combining top-down and bottom-up replication methods in trend-following strategies significantly reduces tracking error, providing a more reliable replication of the SocGen CTA Trend Index.(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

Corey Hoffstein, Adam Butler, and Michael Philbrick join Rodrigo Gordillo to discuss trend replication, private equity's role in modern portfolios, and the impact of large AUM on trend following. They explore balancing alpha generation with risk management, optimal allocation, and leveraging through treasury futures.Key PointsPrivate equity returns are often equivalent to 150% levered equity returns, providing implicit leverage without additional risk for institutional investors.Trend replication strategies can effectively capture significant market trends even with a limited number of futures contracts, as seen with the performance of trend-following CTAs during the recent cocoa market rally.Futures contracts provide the total return of the underlying asset minus the embedded financing cost, making them an efficient tool for implementing leverage in investment strategies.(0:00) Introduction to private equity returns(1:03) Welcome and podcast introduction(2:23) Introduction of hosts and guests(3:32) Discussion on trend replication and recent market trends(8:35) Impact of large AUM on trend following performance(21:09) Balancing alpha generation and risk management in trend following(25:55) The significance of independent bets in managed futures portfolios(32:28) Discussion on optimal allocation to trend following strategies(38:16) Trend following as a critical portfolio component(53:25) Discussing leverage in the cheapest way possible through treasury futures(54:54) Call to action: rating, review, and sharing the podcast

Corey Hoffstein, Rodrigo Gordillo, and Adam Butler discuss the challenges of beating the U.S. equities market, diversification for generating excess returns, risk parity, trend following, and the potential of stacking strategies in portfolios. The importance of diversification in ensuring investment success and the structural challenges in implementing return stacked strategies are also highlighted.