Thank you so much! This is a brilliant presentation of how return stacking works how to estimate long-term returns on these ETFs and how to think about various combinations of these portfolios. For example the 60% RSST 40% are SBT example Corrie gave that is 60% stocks 40% bonds and 100% managed futures has long-term 9.6% expected returns. That's 1.6% better than a 60/40. However, since June of 2019 as far back as I can back test this strategy, it delivered 9.8% annual returns while a 60/40 8.1%. The annual volatility on the 60/40 was the historical 12.7% but the volatility on the return stacked portfolio was 8% with a peak decline of 6.75%! The 60/40s peaked declined was 21% and the S&ps was 28%. In other words if you want something superior to a 60/40 with rock bottom volatility to make Ray Dalio envious 😉 that is a really good combo.
My apologies The sock gen trend index does much better than the CTA index that DBMF tracks and was what I thought return stacking uses. The expected long-term return on a 60% RSST 40% RSSB portfolio is 8%, 6040 + 4.4% historical excess return on the trend index minus 1% expense ratio. 11.4%. That's even more impressive because that beats the S&P historical return by 1.4%. The annual returns on this combination so far historically it's 10.2%. with 6.9% annual volatility. And a 6.8% peak decline as sortino ratio of 2.17 three times that of a 60/40! That's excess total returns divided by - volatility three times better than a 60/40! Is a beta on this return stack 6040 is just 0.22 1/3 that of a 60/40. The annual Alpha is 6.43% compared to -2.5% on a 6040 The traynor ratio is 36. In other words the excess total return per unit of beta is 36 compared to 9.8 on the 640 and 14.3 on the S&P. The conditional value at risk how bad of a decline in a month usually occurs in a bear market 10% on the S&P 7.8% on a 60/40 and just 3.2% on the return stack 60/40. The 6040 captured 72% of the markets downside with 59% of the upside The return stacked portfolio 12% of the downside with 31% of the upside. A safe perpetual withdrawal rate of 5.5% compared to 3.7% for a 60/40. And the M2 metric which says what is the returns if the volatility were the same as the S&P 500 10.5% for 60/40 22.3% for return stack 60/40. Kudos to Corey hofstein on a truly remarkable strategy and products.
The drawdown profile on this return stack 60/40 is absolutely incredible. The peak decline of 6.75% came in March of 2023 when managed futures were in a correction. In the October 2022 trough when a 60/40 was down 21%. This portfolio was up. In the pandemic it fell 6.1% half as much as a 60/40. In the last 5 years it has suffered just nine declines ranging from 0.32% to 6.75%. it has yet to suffer a 10% correction and is only suffered to pullbacks greater than 5%. It is only suffered three pullbacks greater than 2.5%. with double digit annual returns. The lowest cost hedge fund is HFND and it charges 2%. This runs circles around any hedge fund and it cost 1% per year.
Just like Corey I am setting up my family to be able to put my net worth into three ETFs. I call it my shadow Zeus portfolio. 33% managed futures 33% deep value 33% large cap growth. 13% to 14% long-term returns similar to what RSST is designed to do. With a similar volatility profile. For now stock picking is worth my time as I am one of the top 0.2% of analysts in the country. Over 2,000 recommendations on 560 companies over 8 years with an average 12 month total return in the first year of 17%. But if I want to retire in 10 years I will have a three ETF solution. And if RSST proves itself I'll be able to offer my family should I get hit by a bus that single ticker solution. Of course within 10 years AI should be able to run any investment strategy no matter how complicated🤣
The mechanism of box spreads is that exchange setlemwnt risk premium is slightly higher than treasury risk premium. In other words the exchange can crash because APEX crashes and there will be no settlement on options versus the US treasury crashing
![BLACK BAG - Official Trailer [HD] - Only in Theaters March 14](http://i.ytimg.com/vi/Du0Xp8WX_7I/mqdefault.jpg)
Nice one Bill, thank you!
Thank you so much! This is a brilliant presentation of how return stacking works how to estimate long-term returns on these ETFs and how to think about various combinations of these portfolios. For example the 60% RSST 40% are SBT example Corrie gave that is 60% stocks 40% bonds and 100% managed futures has long-term 9.6% expected returns. That's 1.6% better than a 60/40. However, since June of 2019 as far back as I can back test this strategy, it delivered 9.8% annual returns while a 60/40 8.1%. The annual volatility on the 60/40 was the historical 12.7% but the volatility on the return stacked portfolio was 8% with a peak decline of 6.75%! The 60/40s peaked declined was 21% and the S&ps was 28%. In other words if you want something superior to a 60/40 with rock bottom volatility to make Ray Dalio envious 😉 that is a really good combo.
My apologies The sock gen trend index does much better than the CTA index that DBMF tracks and was what I thought return stacking uses. The expected long-term return on a 60% RSST 40% RSSB portfolio is 8%, 6040 + 4.4% historical excess return on the trend index minus 1% expense ratio. 11.4%. That's even more impressive because that beats the S&P historical return by 1.4%. The annual returns on this combination so far historically it's 10.2%. with 6.9% annual volatility. And a 6.8% peak decline as sortino ratio of 2.17 three times that of a 60/40! That's excess total returns divided by - volatility three times better than a 60/40! Is a beta on this return stack 6040 is just 0.22 1/3 that of a 60/40. The annual Alpha is 6.43% compared to -2.5% on a 6040 The traynor ratio is 36. In other words the excess total return per unit of beta is 36 compared to 9.8 on the 640 and 14.3 on the S&P. The conditional value at risk how bad of a decline in a month usually occurs in a bear market 10% on the S&P 7.8% on a 60/40 and just 3.2% on the return stack 60/40. The 6040 captured 72% of the markets downside with 59% of the upside The return stacked portfolio 12% of the downside with 31% of the upside. A safe perpetual withdrawal rate of 5.5% compared to 3.7% for a 60/40. And the M2 metric which says what is the returns if the volatility were the same as the S&P 500 10.5% for 60/40 22.3% for return stack 60/40. Kudos to Corey hofstein on a truly remarkable strategy and products.
The drawdown profile on this return stack 60/40 is absolutely incredible. The peak decline of 6.75% came in March of 2023 when managed futures were in a correction. In the October 2022 trough when a 60/40 was down 21%. This portfolio was up. In the pandemic it fell 6.1% half as much as a 60/40. In the last 5 years it has suffered just nine declines ranging from 0.32% to 6.75%. it has yet to suffer a 10% correction and is only suffered to pullbacks greater than 5%. It is only suffered three pullbacks greater than 2.5%. with double digit annual returns. The lowest cost hedge fund is HFND and it charges 2%. This runs circles around any hedge fund and it cost 1% per year.
Just like Corey I am setting up my family to be able to put my net worth into three ETFs. I call it my shadow Zeus portfolio. 33% managed futures 33% deep value 33% large cap growth. 13% to 14% long-term returns similar to what RSST is designed to do. With a similar volatility profile. For now stock picking is worth my time as I am one of the top 0.2% of analysts in the country. Over 2,000 recommendations on 560 companies over 8 years with an average 12 month total return in the first year of 17%. But if I want to retire in 10 years I will have a three ETF solution. And if RSST proves itself I'll be able to offer my family should I get hit by a bus that single ticker solution. Of course within 10 years AI should be able to run any investment strategy no matter how complicated🤣
The mechanism of box spreads is that exchange setlemwnt risk premium is slightly higher than treasury risk premium. In other words the exchange can crash because APEX crashes and there will be no settlement on options versus the US treasury crashing