E4. Live Q&A – Return Stacking During Market Corrections

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