RSST
Return Stacked U.S. Stocks & Managed Futures ETF
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Simplify alternative ETFs - QIS and SPQ. What is this black box quantitative strategy? I love the idea, but hate how its not transparent
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I convinced my finance director to let us open Schwab PCRA accounts in our 401k with no restrictions on what can be bought. The only catch is you have to have 35k in the main funds before you can transfer to the brokerage. Not that I’m buying bitcoin or GameStop it’s mostly Avantis funds and some leveraged ETFs like RSST etc, but I CAN yolo into Nvidia if I want to and that’s all that counts 😂
Kinda have to hedge the drawdowns *before* it happens. Otherwise youre liable to be selling low on stocks and buying high on commodities/bonds Leverage helps pack in diversifiers with uncorrelated price action, like GDE (90/90 SPY/Gold), RSST (100/100 SPY/managed futures trend algo), RSSB (100/100 VT/GOVT - aka treasury bond index), or just leverage on equities to leave portfolio space open to directly buy the hedges, either with LETFs or box spreads or LEAPs
Im a huge fan, using a partial allocation to LETFs to increase exposure to the market to make room for uncorrelated diversifiers. Bonds, managed futures, gold. Uncorrelated assets offer the opportunity to rebalance on a fixed schedule like a target date fund but with more juice. I use UPRO, GDE, RSST to provide leverage, and add in ZROZ and AVDV and AVNV for long term treasury exposure and intl value exposure.
Not for me for someone else. I do get it. I’m more interested in understanding how RSSB and RSST align longterm.
Thanks for your contribution. Really interested in RSSB/RSST as a long term based on back testing as a portion of the amount.
Take on some leverage and hedge the drawdowns using alternate diversifiers. UPRO, GDE, RSST, GOVZ, plus something international.
I invest heavily in managed-futures trend following. Could use something like RSST in place of some of your VOO. Every $1 into RSST essentially gets you $1 of S&P500 (VOO) plus $1 of managed futures on top.
I chose today to DCA into more SSO and RSST. Let’s see if I fuck myself.
A common sensible approach is to just use UPRO or SSO to juice your US exposure, and then diversify with alts. Like, RSST gives you 2x by giving you 1:1 SPY/Managed futures, or RSSB, which is 1:1 VT/IEF (essentially), or NTSX gives you 90/60 SPY/IEF. Instead, you can get a way higher volatility contribution from longer duration bonds, which is similar to buying that bond leverage but without the leverage costs. For example, long duration behaves like TYD but without embedded leverage costs. This is by far, in my opinion, the way to go, especially for younger investors. Youth can handle vol, and buying even as much as 2x leverage on raw equities has been shown to be more optimal than unlevered equities in papers like Ayer's and Nalebuffs research on leverage, even in the circumstance that you wipe out in an event like the GFC and start again from zero. I prefer a less crazy approach, and take traditional portfolio construction wisdom and simply add modest leverage to it, slide out on bond duration to the long end, and diversify with managed futures. I get global equity exposure trend following funds, long bonds, and its all great. The three asset classes are uncorrelated to each other, they all have positive real expected returns, and they should help crutch each other when tail events like 2022 (stock and bond simultaneous bear market) occur, or GFC (huge stock bear market butressed by bonds and MF) similar to dot com too,
You're young, do 50% RSST and 50% HCMT
Absolutely! RSST is a good one to look into, as well as KMLM and DBMF. Anyway, they are investment strategies that trade futures contracts across asset classes like commodities, currencies, and bonds (equities sometimes too). KMLM follows a systematic trend-following approach, investing in commodities, currencies, and global bonds, but excludes equities. DBMF aims to replicate the performance of top managed futures hedge funds and includes equity exposure. Both funds can go long or short on their respective markets, allowing them to potentially profit in both up and down markets. Here's a good YouTube video overview: [https://www.youtube.com/watch?v=xMZ9NOUmK2w&pp=ygUPbWFuYWdlZCBmdXR1cmVz](https://www.youtube.com/watch?v=xMZ9NOUmK2w&pp=ygUPbWFuYWdlZCBmdXR1cmVz)
Full disclosure… it’s because I don’t fully understand managed futures. Any insight? I’m honestly still pretty new, just started learning a few weeks ago. Managed futures is my next learning target. I’ve been looking into RSST, but it’s still fairly new.
Yes CTA a very interesting fund. Not pure trend though, has mean-reversion, carry, etc... commodity/bond only. Not the most diverse out there, but at 75bp it def is the cheapest and with decent vol. PQTIX is the best diversifier I have found, as measured by equity-correlation. It does include equities but caps overall beta (not just equity exposure). Great interview here with the manager of that fund: [https://www.toptradersunplugged.com/podcast/ttu138-matt-dorsten-portfolio-manager-at-pimco/](https://www.toptradersunplugged.com/podcast/ttu138-matt-dorsten-portfolio-manager-at-pimco/) Volatility is a smidge low, but given the diversification it is still solid (lower vol relative to ETFs can be from diversification, not necessarily lower leverage). Also a slightly shorter-term trend model, so can respond better to sudden crises (of course also more susceptible to faster whipsaws...). RSST still my favorite ETF just because of the return-stacked equity exposure, and well designed and diverse replication model.
Really depends on your conviction as it can be a tough strategy to hold. Equities are left-skew, most of the time they make a little profit smoothly, and then have big sudden losses. Trend is the opposite, most days you lose a little, and then you have big sudden wins. Behaviorally really tough to hold. 15-30% is enough to make a difference but not dominate your portfolio, and as mentioned above you can use something like RSST to stack the exposure on top of US equity. Say you are 100% equities today with 70% VTI/VOO and 30% VXUS (just as an example). You could go 40% VTI, 30% RSST, and 30% VXUS and that would give you a portfolio that is 100% in stocks still, but has a 30% overlay of managed-futures. Have your cake, and eat it too! Personally I love trend and my portfolio is closer to 100% equities plus 100% trend on top, but I am not afraid of tracking error. My equities are also overweight ex-US, and all in small/concentrated-value funds (a touch of momentum...).
It is not a perfect hedge but I would simply recommend adding some managed-futures trend to your portfolio as it historically (and logically) does quite well in inflationary periods, but also can do well in deflationary ones, or just about any market, especially when equities/bonds (risk assets) are doing poorly. There are even great products out there like RSST (US equities) or RSBT (US bonds) which for every $1 you put in you get $1 of the beta exposure (equities or bonds) plus $1 of managed-futures trend replication on top. BLNDX is similar but 50% equities and more diverse trend system. Don't want the beta? Plenty of other funds out there: KMLM, DBMF, AHLT, ASFYX, PQTIX, QMHIX, TFPN.
Meh. Buy a managed futures trend fund which holds silver among many other commodities and financial assets and goes long or short. RSST stacks this on top of S&P500 ($1 gets you $1 equity, $1 trend). Want pure trend (stacked on t-bills instead?) KMLM is a great option. There are many others.
The main point of the book is that the expected risk premia for stocks and bonds is very low right now which probably means that they won’t perform as well moving forward. You can react to this phenomenon in three ways: 1) taking more risk in stocks and hope for the best; 2) just endure it, or 3) diversify beyond a buy and hold equity/bond portfolio. He says that, market timing being really difficult, the best strategy is to have a portfolio that works during all scenarios, even when stocks and bond world badly. So he proposes investing in a buy and hold portfolio of stocks, fixed income, commodities, long/short market neutral risk premia, coupled with trend following and maybe tail risk protection. He also thinks that you should build a well diversified portfolio and then use leverage if you want to increase the risk/expected returns (that’s not an original argument, but a consequence of modern portfolio theory). The kind of portfolio that he proposes is hard to implement only with ETFs. Maybe you can use something like DBMF or KMLM for trend following, or RSST or RSBT if you want to use leverage. However it’s hard to find a properly leveraged long/short ETF because of regulations. BTAL is a risk neutral long/short fund, and RSSY and RSBY are leveraged funds that include a long/short carry factor strategy.
VTI RSST then a corporate bond etf and a treasury etf
If you want to control the percentage of foreign exposure, buy VTI & VXUS at your target weight. I'd buy AVGE. It is 70% US, 30% ex-US, and tilts moderately to size, value, and profitability factors, all shown to outperform (and diversify) over the long run. Quite tax-efficient too. If buying in an IRA I may consider RSST which is 100% S&P500 plus 100% managed-futures trend replication.
Managed futures $DBMF $CTA or consider return stacking ETFs $RSST
Small-value. AVUV, AVDV, AVES. Or just buy AVGV and get global value exposure tax-efficiently (holds those funds plus some large-value ones). Will be true diversification to VTI/VOO which are dominated by mega-cap growth. Want even more diversification but still want your S&P500 exposure? For every $1 into RSST you get $1 of S&P500 plus $1 of a managed-futures replication overlay, which historically was uncorrelated to equities but had a \~3% excess return. Not quite as tax-efficient but stellar in an IRA.
No offense because you're doing incredibly well, but $500K in equities at 35 is not the time to stop adding there, so just keep it up. If you want to diversify a bit, there are intriguing options such as managed-futures trend which would be a great uncorrelated asset with equity-like returns, and a tendency to do well in crises. Very high dispersion place, but there are a lot of great products out there these days. Some also include equities... BLNDX is about 50/50 equities/trend, RSST is 100/100 (for every $1 you put in you get $1 of S&P500 and $1 of a managed-futures trend system). Could also diversify in the types of equities you are holding. Got international stocks? What about small-value?
VOO, SPY, and IVV are literally the same thing. QQQ is highly correlated/overlapping. Small-value, ex-US (small-value there perhaps), lots of areas to look. If you just HAVE to have S&P500 exposure you could buy something like RSST. For every $1 you put into RSST you get $1 of S&P500 exposure plus $1 of a managed-futures trend overlay (goes long/short equities, commodities, bonds, and currencies based on trend, historically 0 correlation to equities/bonds and tends to do well during sustained equity crises... did 28% in 2022 for example).
If you want some commodity exposure or other non-correlated exposures then look into managed-futures trend. DBMF, KMLM, AHLT, plenty of mutual funds etc... BLNDX is 50% stocks plus trend. RSST is 100% S&P500 plus 100% trend. Static gold has much longer periods of decline, and a lower expected return (0% real vs. trend which has had a longterm premium above inflation).
Value spread has grown in that decade to historic levels. On several measures, value has beaten growth over the last 3+ years as well... Valuations can't increase forever. 10 years is noise in markets. If you want to just keep buying QQQ, good luck... I would at-least stick to S&P500 if you really must tilt to US large-cap, and then maybe consider buying RSST which gives you 100% S&P500 plus a 100% overlay to a managed-futures trend program... infinitely more diversified.
Managed-futures trend would be great too. Can buy RSST and stack it on top of S&P500 even.
Overlay your portfolio with an alternative. Buy RSST instead of VOO for example.
Another worthy option to beat the S&P500 would be to add a managed futures trend overlay on top. Not the most tax efficient but stellar in an IRA. RSST is a great new product. Every $1 into it gets you $1 in S&P500 plus $1 in an SG Trend replication system. I’d still add some international and factor tilts though ;). 100% S&P500 is just silly recency bias and not much critical thinking. If it were that easy, it would be arbitraged away; you could actually argue that’s exactly why it’s done so well (valuation boost). Relevant piece: https://www.aqr.com/Insights/Perspectives/The-Long-Run-Is-Lying-to-You
If you want commodity exposure buy a managed futures trend fund. Maybe RSST which stacks it on top of S&P500. Investing in gold is an awful idea at any age but especially yours. Same with defense stocks, you have no edge.
I agree the obvious missing piece here is ex-US equities. Since you are open to a value tilt (AVUV), and I presume you won't be willing to hold a meaningful amount of ex-US stocks given you are 100% US at the moment, perhaps add 20% into AVNV, an ETF-of-ETFs from Avantis that includes AVIV, AVDV, and AVES, giving you coverage across all ex-US regions with a nice value/size tilt? A 60/20/20 VOO (I would use VTI but not a big difference), AVUV, AVNV portfolio is a solid setup much better than what you often see here. VGT/VUG is just recency-bias, no real reason to expect outperformance there in my humble opinion. If open to alternatives you could also replace some of your VOO with RSST. For every $1 into RSST you get $1 of S&P500 exposure plus $1 of a managed-futures trend replication system, basically a levered long/short portfolio of equities, bonds, currencies, and commodities. Historically this has added 2-3% of excess return while reduce drawdowns and volatility since managed-futures has a \~0 correlation to equities (and often negative during crises). But at a minimum, I would add some international value...
Factors have underperformed for 30 years? News to me! Back to 1998 including EM value: [https://www.portfoliovisualizer.com/backtest-portfolio?s=y&sl=2mMdkHAx3ao4BYlgvvYG75](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&sl=2mMdkHAx3ao4BYlgvvYG75) Removing EM here is almost 30 years you called for: [https://www.portfoliovisualizer.com/backtest-portfolio?s=y&sl=7MLMzy63uyM5kDDhMcjqYT](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&sl=7MLMzy63uyM5kDDhMcjqYT) And then of course... US only gets us back to 1993 which still wins, even though the value-spread is close to an all-time-high (implying higher future relative returns): [https://www.portfoliovisualizer.com/backtest-portfolio?s=y&sl=7YpGJNZRzqsajumgcPO6QS](https://www.portfoliovisualizer.com/backtest-portfolio?s=y&sl=7YpGJNZRzqsajumgcPO6QS) So ya, not sure what you are getting on about. This doesn't even include momentum or other factors that can diversify and further boost your returns. We didn't discuss here, but you can overlay some managed-futures on top (perhaps swap some S&P500 for RSST) and add another layer of diversification and excess-returns. VOO for lyfe isn't the answer.
I hold almost as much managed futures trend as I do equities (levered on top). If golds trending either way, I’m in. Much better option. RSST is a good option to dip into this. For every $1 in it you get $1 S&P500 plus $1 in a replication model of SG Trend index. Don’t even have to give up on your equity exposure.
I do not use RSST but I emulate a similar system but instead of 100% S&P500 I use globally diversified value funds plus some momentum and overlay that with managed futures trend.
I know that past returns don’t guarantee future ones but I’m familiar with the diversified benefit of index funds. I also know that you should invest based on their financials and calculating different ratios and comparing. Finding companies that are undervalued and have a high alpha while finding a portfolio that diversifies risk through beta and correlation. Reason why I don’t know about option or futures is because I wouldn’t invest in something I don’t know completely. This fund is invested in Microsoft, nvidia, and some other tech stocks, none of them are particularly risky. I doubt even if leveraged considering the recent loss that it would go down as much. I’ll look into the RSST though because that seems interesting. Is that what you invest into?
Stick to index funds until you can answer that yourself and deeply understand it. Using 3 month returns is a huge red flag. Managed futures is a start that goes long and short all kinds of things using trend signals. RSST is one interesting option as for every $1 you put in you get $1 of S&P500 exposure plus $1 of man-fut on top. If you want to use leverage, this is a much more robust way to do it than a 3x fund.
Much better ways to outperform if you want to. You need to add diversifying assets. RSST is an interesting product: For every $1 into it you get $1 S&P500 plus $1 in SG Trend replication (managed-futures trend). Same idea applies to 2x funds as the Twitter thread I posted. With reasonable diversification, leverage helps, but just equities not so great.
They have more diversified portfolios with assets like managed-futures trend which may do quite well in those periods, and allow them to buy depressed risk assets. Guess what, you don't need to be a millionaire to do this yourself... You don't even need to give up your precious S&P500 exposure, just buy RSST which stacks it on top.
If you want some inflation protection and diversification you'd be much better off holding managed-futures trend. KMLM, ASFYX, QMHIX, PQTIX, DBMF, AHLT, AHLIX, CTA, TFPN, RSST (includes S&P500 exposure on top), etc...
You could also move your emergency fund into your Roth IRA and leave it in money-market/t-bills there. If an emergency comes up, you can withdraw contributions penalty free. If not and you save up more over time, boom now you can invest it. If your taxable brokerage crashes to the point of becoming a loss, you could also sell that and buy a similar but not equivalent holding in your Roth IRA, effectively tax-loss-harvesting without deferral (you get the tax loss, but never have to pay it down the road). You didn't ask, but I also would continue educating yourself and develop a more robust portfolio than just SPY/VTI (there is really no reason to own SPY when you own VTI either, but if you do want dedicated S&P500 exposure there are also cheaper tickers than SPY there too). Ex-US, small-value, managed-futures overlay (buy RSST and get S&P500 plus man-fut), lots of great things to consider to improve your expected-return and reduce risk.
in the long term a small amount of leverage will outperform pure shares if you can mentally withstand the volatility, thus why i said 1-1.5x and no higher, or the RSST which uses leverage to give you CTA exposure that hypothetically enhances bull market returns and minimizes bear market losses and provides some rate/commodity/etc hedge
RSST + 11% = market crash ?
0%. You want more risk? Hold small-value (AVUV), maybe momentum (QMOM), or even add a managed futures overlay (RSST is 100% S&P500 plus 100% trend overlay). And don’t forget foreign stocks (AVDV, AVES, IMOM, etc).
Buy RSST. S&P500 plus a managed futures overlay.
Also I just noticed the commodities comment. Long-only commodities is tough. I would just ignore it, but if you really want some exposure, look into managed futures. RSST is a neat fund that for every $1 you put in you get $1 of US large cap stocks plus $1 of managed futures. BLNDX is another similar one with more diversification but lower leverage (50% stocks). If you just want commodities you could look at COM which is long/flat trend. But I’d avoid a buy and hold commodity fund. Or just don’t bother with them at all.
That or the exposure needs to be actively managed — trend following is the most common. A few ETFs now offering that with low correlation to stocks: DBMF, HARD, CTA. RSST is interesting too — $1 invested gives non-recourse exposure to $1 s&p, $1 commodity trend.
Small value is the right answer if you want to be aggressive and seek higher returns. As-is you’re performance chasing. Here are some ideas though. RSST is a very new ETF but well designed. For every $1 you put in you get $1 of S&P500 exposure plus $1 of managed futures (replicating SG Trend index). Historically it had lower vol, lower drawdown, and beat S&P500 by ~3%. Replace your existing VOO with it and you’ll maintain that exposed but stick the trend on top. QMOM is a concentrated systematic momentum fund. Value would diversify you more, but this is worth a shot.
>The entire strategy was also based on a back test of the 60 40 portfolio because it offered better risk adjusted returns than the S&P 500. Well good thing I didn't propose a 60/40. I proposed a strategy with managed futures which Cliff also recommends in the article. You can buy less NTSX and more RSST if you want more stock/managed futures and less treasuries. >The S&P 500 is a great bet both in principle and in a backtest. But more importantly, if you believe this despite Cliff Asness disagreeing, then there's no convincing you. Good luck with your 100% equity portfolio.
Well it seems you're already aware of NTSX, there's also NTSI. Two new ETFs that add managed futures are RSBT and RSST. For every $1 invested, you get $1 of managed futures and $1 of either treasuries or S&P 500. With just those 4, there are a lot of portfolios you could construct. Let's do 40/40/15/5 of NTSX/NTSI/RSST/RSBT That gives you 51/36/53/20 in US equities, intl equities, treasuries, and managed futures.
RSST. Leverage uncorrelated assets. New SPQ too
If you like that check out UPAR and RPAR, consider RSST.
I’d vote for managed futures. Something like KMLM or DBMF have done great since 2022 and have low correlation with equities and bonds. There’s a couple new products that mix bonds and managed futures (RSBT) or equities and managed futures (RSST) as well.