Rodrigo Gordillo
@RodGordilloP
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President & Portfolio Manager at ReSolve Asset Management SEZC, co-contributor of GestaltU Quant Blog/Podcast. Return Stacking //Systematic Global Macro.
Cayman Islands
Joined June 2010
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Pinned Tweet
Introducing the Return Stacked® U.S. Stocks & Managed Futures ETF – RSST.
The ETF seeks to provide $1 of U.S. large-cap equity exposure and $1 of a managed futures strategy for every $1 invested.
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1/ Beating the S&P 500 via Return Stacking: our latest article highlights how Return Stacking may be used as a way to beat the S&P 500 index & do it more consistently. This, in contrast to more traditional security selection methods which dominate investor preferences today.
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@MacroAlf
Since the introduction of “suggested tip” on the bill staring at 20% where people would otherwise have to do the lower tip math on their own has made the service industry workers billions of extra dollars. Behavioural finance nudging working its magic.
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1/The year before I migrated to Canada from Peru in 1988 I saw inflation go from 20% to 7,200% wiping out my grandfathers life savings with it. He had the Peruvian currency equivalent of ~$1 million USD in 1987. By the end of ‘88 it was ~$0 USD equivalent.
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Crypto markets are an A/B test on what happens when you're able to let the markets clear on their own. All the leverage is cleared in one day and a healthier ecosystem is created. The counterfactual to 2008 & 2021 government intervention. Will be fun to watch.
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1/6 Our children will remember this
#coronsvirus
lockdown very differently that the adults will. When I was 8 living in Lima, Peru during the time when the terrorist group called the Shinning Path decended onto the city
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This stat 👉“40% of the US Equity market can only survive with new buyers entering the market because they’re not cash flow generating. That’s near historic high” Greg Jensen - Bridgewater
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1/Let's talk about low expected returns on bonds a 🧵...
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Private equity dominating all of the room that allocators have in their alternative sleeve is the greatest trick the devil pulled on the world of finance. Full of obscurity, halve truths and volatility laundering.
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50% bonds/50% equities/50% trend/50% carry may be my new favorite “as simple as possible but still all terrain-ish” portfolio combo. Rebalance twice a year and talk to me in 10 years.
Maximal diversity/maximal simplicity
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This stat blew me away “A century ago, the average man in the US weighed around 155 lbs. Today, he weighs about 195 lbs. About 1% of the population was obese back then. Now it’s about 36%” worth the read
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Here is a compilation of the 3 most practical use cases for Return Stacking
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6/The reaction to this extreme was an overthrow of a nanny state who stole millions & printed money to buy votes,to one that was fiscally responsible & has kept inflation < 3% for the next 28yrs. One can only hope this too will be the outcome for Venezuela. My heart is with them.
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1/9 Randomly looking at the trend factor I stumbled upon this: since inception the 1.5x SocGen Trend Index scaled to the same volatility (absurdly easy and cheap to scale in futures space) has matched the performance of S&P with a -0.3 correlation to it!
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I continue to emphasize that the intuition that investors have developed over the past 40 years will not be useful in the next 10.
Bonds are a good hedge for stock investors only if core inflation is predictably below 3%.
Otherwise they suck at diversifying portfolios.
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Return Stacked ETFs are finally here.
Introducing the Return Stacked Bonds & Managed Futures ETF – RSBT.
The ETF seeks to provide $1 of broad U.S. bond exposure and $1 of a managed futures strategy for every $1 invested.
Learn more at .
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6/6 stay safe out there and if you end up at home, try your best to take advantage of the things you haven’t been able to do with your loved ones due to your 9-5 job and 1hr long commutes. Turn this period into a great adventure for you & your tribe. I promise it’ll be worth it.
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Cake for breakfast, another North American head scratcher 🤔
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/4 black swan events like these can make and break people in the same society. Savers lose badly & debtors win the lottery. The very fabric is society nonetheless crumbles. I remember stores/restaurants upping their prices every couple of hours.
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Here’s my brother on our dive this AM being attacked by a 7 foot green moray eel. He showed less composure than his retelling of the story would imply 😜
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Interesting to see how one can basically replicate 15+ US TIPS index with 75% in 20+ US T-Bonds/25% Commodities scaled 1.25x to match vol. In essence buying something like $LTPZ provides for almost full exposure to $TLT + ~30% exposure to $DBC.
#capitalefficiency
#returnstack
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At conference today where the “how to in vest in alternatives” panel were all PE managers (obviously, because alts is now exclusively PE) lauding low risk and portfolio volatility dampening qualities of PE. I had to call them out on it. I didn’t make any friends.
The volatilities used below are a joke and a manager or allocator showing them without a huge disclaimer that they calculated on crap data and therefore gibberish is just a scammer (including private credit where Meb needs an arrow).
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Celebrating our 11th anniversary last night with literally the best human being I know. Feeling grateful.
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Why is everyone I speak with crystal clear on how overvalued bonds are but don’t come to the exact same conclusion about equities? In fact expensive bonds seems to make them want more of the equally expensive equities 🤯
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5/6 clearly my family did a good job of shielding me and my brothers from the worst of it but the moral of the story is that this
#coronavirus
will have a silver lining. It may bring your family closer together in unique ways and may provide lasting & happy memories for your kids
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There are ways to end your work day and then there are ways to end your work day.
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Most major components (ex-U.S.) of a well diversified risk parity portfolio have been just abysmal since 2013. Basic, diversification has not been kind.
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My first
@RealVision
interview via the one & only
@JasonMutiny
. We cover my upbringing, hyperinflation, all-weather investing, capturing rebalancing premium & of course "return stacking". Too bad my partner in crime
@choffstein
couldn't join us!
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It continues to baffle me how bank strategists finally getting inflation volatility narrative right, yet their investment suggestions purely focus on equity sector rotation & alt asset classes being gold & real estate. How has Global Macro/CTA not yet made it into their lexicon🤦🏻♂️
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3/By then end of ‘88 he was able to pay off his full mortgage with a couple of hundred USD. He lived in that house for the next 20 years. My grandfather had to go back to work & depended on the financial support of his family for the rest of his life.
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Hearing more nihilistic chatter in my groups of friends than ever before. So I thought I’d give the advice (naive or otherwise) to you as I did to them: Given the role of luck and elements out of our control, to actually live a good life under uncertainty, we need to stop
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Let’s see how many Barbie fans we have in Fintwit (with one odd kid out)
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Friday morning routine with my wife. Coffee at Tillies. My favourite spot in the world.
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I keep on coming across this question from advisors: "Should I hedge risk w/tail protection or managed futures?". Super top level answer: Tail Protection is ideal for abrupt liquidity shocks lasting days & weeks. MF hedge against prolonged multi-year bear markets. We use both.
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@white_lenka
@WallStreetSilv
100%, nominal income is way behind on cumulative inflation & things need to equilibrarte. Having said that I now have 3 nieces in their 20’s barely scrapping by, living or moving to NYC from mid-sized cities they actually CAN afford to live in. The NYC pain is often self imposed
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We’re excited to announce that the Return Stacked® U.S. Stocks & Managed Futures ETF ($RSST) has crossed $100M in AUM!
Thanks for all of the support.
For more information, visit
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4/6 It forced us to talk to each other & recount old stories. I learned my first tongue twister from my grandmother that I still remember today. We played card games and board games that we rarely played together anymore. My dad brought out his accordion! I didn’t know he played!
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New blog out. With Return Stacking ETF/MutFund options now a reality (see pinned tweet). Moving your portfolio from 60/40 to "All Weather" and now to "All Terrain" as described in this post is very much doable for the common investor.
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Canadian investors have just gone through a lost decade. The $TSX Composite has made no gains since June 2008. Home country bias can hurt.
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5/The barter/favor economy took over creating transactional frictions that made it very difficult to do any business and provide for your family.
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Today I fulfilled my role as “hunter”. Speared my first two Lionfish, an invasive species that while beautiful wreak havoc on the coral reefs.
#ESG
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New Paper in collab w/
@choffstein
Sufficient public funds exist now w/embedded capital efficiency where u may be able have your 60/40 portfolio & STACK diversified returns on top.
A possible solution to having to reach for yield while < tracking error.
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10/ Final aside. If you want to diversify further to an asset class that my crystal ball tells me will do no worse and maybe better than bonds and equities in the coming decade? My bet would be CTA Trend and Systematic Global Macro.
1/9 Randomly looking at the trend factor I stumbled upon this: since inception the 1.5x SocGen Trend Index scaled to the same volatility (absurdly easy and cheap to scale in futures space) has matched the performance of S&P with a -0.3 correlation to it!
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Introducing The Return Stacked 60/40: Absolute Return Index aiming to provide exposure to 60/40 while “stacking” diversifying alternative exposures on top. Achieved by allocating to a mix of public funds engaging in unique capital efficient exposures.
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@EricBalchunas
It took 8 “bottoms” for the tech crisis to actually bottom three years later. This could be a death by a thousand “buy-the-dips” for growth investors.
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I swear to god 80% of LinkedIn posts follow the following format:
"Proud to be/Honored to be [enter self serving plug about an award or promotion nobody cares about]
I'm really struggling to find the value of engaging with that platform.
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2/on the flip side. My neighbour earlier that year got an eviction notice for failing to keep up with his mortgage payments having an outstanding mortgage in the hundreds of thousands equivalent USD. He also has a small amount of USD savings under his pillow.
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Happy Father’s Day Ya’ll. My wife asked me what I wanted for Father’s Day and I jokingly said to be left alone. She pulled through with an amazing boys diving trip. No kids , no chores, no responsibilities. Best Father’s Day to date ;) also got to enjoy this big guy.
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3/6 my parents and older relatives obviously recount this as a trying time, yet when I discuss this with my contemporaries we all remember it much differently, almost with a sense of fondness. It was a time to be with your tribe exclusively.
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If there ever was a hell, it is attending to your daughter’s Christmas recital only to find out that she’s first to go, was done in 5 minutes and then being forced by your wife to watch other people’s children sing for the next 55 minutes.
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Lotta hard work went into this one!
🚀
Introducing the Return Stacked® U.S. Stocks & Managed Futures ETF – RSST.
The ETF seeks to provide $1 of U.S. large-cap equity exposure and $1 of a managed futures strategy for every $1 invested.
Learn more at
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.20+ Year Treasury Bond losses from peak now rivaling that of U.S. Equities during the credit crisis. This type of price collapse didn't even happen in the 70's when Volker was trying to break the back of inflation. What should be on everyone's mind is when do equities catch up?
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Really enjoyed this interview (in Spanish!) with
@joantubau
who was a very thoughtful interviewer and went deep in life and investing. If you’re looking to beef up on your Spanish (and investment frameworks!) this one’s for you.
Kapital con
@RodGordilloP
. La cartera rebalanceada con un 60% de acciones y un 40% de bonos se plantea como la alternativa ganadora a largo plazo. Rodrigo cuestiona esa asignación. Agradecimiento a
@riverpatrimonio
por hacer posible esta entrevista
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That passive investing exists. You are making active decisions no matter what your “buy-and-hold” portfolio is comprised of.
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The GOAT interviewing us on Return Stacking. New angles on this one.
We got
@RodGordilloP
and
@choffstein
in the house!
What strategies investors can stack on top of their 60/40 portfolio, including global systematic macro, trend following, and tail hedging, and what that does to the risk/return profile.
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Did totally cliche run around NYC Central Park that I’ve seen in every romcom movie since I emigrated from Peru. Even went under one of the arcs!
Checked off bucket list and will be doing it at every NYC visit going forward!
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9/"Wait Rodrigo, have you gone out of your mind? Don't you know how badly bonds act during inflationary regimes?"Ok, assuming your crystal ball is fully functional, we may be in for higher stock-bond correlation, but NEVER a correlation of 1. Diversification benefits still accrue
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The death of Risk Parity has been greatly exaggerated. 3rd call today telling me how RP has blown up! Honestly, AQR down ~-12% ytd, Invesco ~-13% ytd Horizons Risk parity ~-5%. Are these really blowups? One poorly constructed RP strategy making headlines is all we need these days
Lots of Risk Parity hate going around. We thought this piece would help put things into perspective. A little refresher and some numbers on how it has fared recently.
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You wanted another podcast you say? Well here you go! Super specialized but this episode is full of great nuggets.
Join the crew as we talk all things alternatives, diversification, and capital efficiency in our new podcast Get Stacked.
Now available on Apple, Spotify, and YouTube!
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How to stack your cash yield cake & eat absolute returns too: Cash at >4% making investors sit on sidelines. Reminder, Managed Futures funds have a unique feature given margin is only a small potion of the total investment. Allowing collateral to be
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@Arscryptopia
@tpap_
@stakeborg
@stakeborgdao
Thanks you Vlad! Right back at ya! Incredibly thoughtful questions in this interview Didn’t expect anything less from your unique and inquisitive mind. 🙏🙏🙏
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1/The Buffett/Protege Partners bet is something that haunts me more often than it should, like everyone in the industry missed the elephant in the room. From a pure statistical perspective an asset class with 1/3rd of S&P volatility is heading into a bet with a huge disadvantage.
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5/I concede that the above is a hard reality for those unable to tap into capital efficiency and Return Stacking. Fortunately, Return Stacking solutions are now available to every investor in ‘40 act ETF's and Funds 👇
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Anybody interested in longevity and healthspan has now been given access to the mind of one of the most knowledgeable in this space. Been waiting a long time for this.l!
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Our first review is out with only a day of trading. Incredibly well articulated by
@NomadicSamuel
as per usual. Thank you Sam!
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@choffstein
A highly opportunistic virus that lingers in the media for over two months w/zero adverse effects yet attacks a low global market immune system when liquidity is at its lowest & nobody is guarding the narrative on twitter. It's particularly adept at decimating energy markets.
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Me 2020: what alts do u use to protect against bad markets Mr. Canadian advisor?
FA: Private credit, zero vol, 10% coupon, can't lose.
Me '23: what alts do you use Mr. Advisor?
FA: Can't get out of my private credit funds. if I get any money back I'm never using Alts again 🤦♂️
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Thank you for the
@FinancePirates
swag
@JasonMutiny
, my fave hat so far! Also eat your heart out
@choffstein
who got a tote bag instead 😘
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Well ladies and gentlemen, I think I found the culprit of the whole Risk Parity is just a levered bond/equity portfolio meme. 🤦🏻♂️
@GestaltU
@MikePhilbrick99
@choffstein
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Who knew federer operates like a quant strategy!
"In the 1,526 singles matches I played in my career, I won almost 80% of those matches... Now, I have a question for all of you... what percentage of the points do you think I won in those matches? Only 54%."
- Roger Federer in his Dartmouth commencement address
cc:
@tanayj
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@Darin_T80
Multi-strat Managed futures (not just trend factor) thrives in chaos. The more disruptions (inflation, recession, war etc.) the more asset class dispersion, the higher the opportunity set. If you expect chaos, you should expect outperformance in this space.
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Unless they can get non-recourse 5-10x leverage on their diversified portfolio (which should handily outperform a single asset) then prob not. Nobody is going to provide such leverage except via mortgage. It’s the irresponsible leverage that makes “home ownership” so attractive.
Coffee musing: most individuals have most of their $ wrapped up in a single non diversified investment.
Would they be better off selling or offloading housing equity and diversifying? Either into broad single family real estate or global market portfolio...?
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“Don’t eat with people you wouldn’t starve with” Conal McGregor
h/t
@MikePhilbrick99
@GestaltU
@choffstein
Feeling grateful to my partners in crime (and friends) this Canada Day🇨🇦🍁.
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This was the full moon I woke up to today at 6 am. I wish I had a better camera because it’s much more awe inspiring than this picture. Perfectly full with a bright and wide ring around it. Never seen anything like it. Beautiful way to start the day!
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/moral of the story is 1. If you have sudden hearing loss act on it quick DO NOT WAIT. 2. Advocate for your own health, do the work, find good research and force your doctors to work with you. This is not the 1st time I’ve had to push my MD to up their game!
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One of my favourite interviews thus far with Ben Hunt and it’s corona free! Hope you enjoy it.
NEW PODCAST
For those suffering from “Corona exhaustion” we want to make clear that this interview is a Corona free zone!
Enjoy
@GestaltU
and
@RodGordilloP
's conversation with Ben Hunt
@EpsilonTheory
.
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Just realized that my “favourite topics” probably make me an insanely boring human being to most everybody 🤦🏻♂️
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On Volatility sizing: short-term relationship between risk and return is tilted in favor of vol targeting because asset classes produce their best performance when volatility is low, and their worst performance when volatility is high.
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Fantastic dialogue as per usual in the
#MFTF
. Slightly different view than Fort Indiantown Gap Indiana this year 😉
@alphaarchitect
Reporting mission accomplished for
#MFTF
#Cayman
Much love to all who took time energy and effort to support those who have made the ultimate sacrifice and for a moment of reflection 💓💜♥️
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Further to my ranting that most hedge funds are simply a low volatility exposure to S&P, a friend shared this with me. JPMorgan Hedged Equity I $JHEQX vs 60% SPY/40% Cash @ 60bps fees. 🤦♂️
🍹
Tune in to our live show on YouTube tomorrow afternoon!
#ReSolveRiffs
with investing legend Roy
@niederhoffer
of R.G Niederhoffer Capital Management about Pushing the Boundaries of
#Quant
#assetmanagement
#hedgefund
#cta
#investment
#futures
📌
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I’d like to please order a man sized version of this for myself...
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here are the real returns to US balanced portfolio since 1900. Many multi-decades of zero real returns periods. Amazing to me how large allocators continue to resemble this passive allocation without sense of historical context.
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I daresay that this this the best piece of content
@FinancePirates
has put out yet! I mean all their videos are 10/10 but this amp goes to 11
#focuswork
#clearmind
@choffstein
@JasonMutiny
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@BasonAsset
Not getting married at all and living the life of a bachelor/ette seems to be working quite nicely with a handful of clients and friends. That could actually be the most under valued financial advice ever. 🤑
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This 13 min clip is action packed and likely to rub a lot of quants the wrong way. But it’s something we all need to be honest about. Can we really come up independent hypotheses or are we at the mercy of past influences that lead to overfitted backtests?
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Some advisors seem confused when I mention "portfolio efficiency". In a recent podcast I came up with the following: It's the amount of return you get for the pain you're willing to take. Why would you ever choose the same pain for lower returns? Just a slight reframe. Thoughts?
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First Spanish quant podcast in the can.
@IVillalongaB
is an incredibly insightful interviewer/practitioner with a great group of fellow quants behind him showing up with poignant questions. Looking forward to doing more!
‼️Ya está aquí ‼️
🎙️Por fin podéis escuchar la entrevista a
@RodGordilloP
de
@InvestReSolve
!
En el enlace tenéis toda la información y el vídeo.
Que la disfrutéis!
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As the government narrative continues to evolve, it's fascinating to see it through the lens of Ben Hunt's Narrative Machine. Worth listening to our podcast interview with Ben to help make sense of this madness!
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📢
Me reúno de vuelta con mas discusión quant en español!
Esta vez lo hacemos en vivo para responder preguntas al lado de
@riverpatrimonio
@IVillalongaB
.
No se lo pierdan!
👉
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No se lo pierdan!
‼️‼️VOLVEMOS‼️‼️
Nuevo debate sobre inversión Con
@RodGordilloP
de
@InvestReSolve
y
@riverpatrimonio
!
Esta vez en vivo 🎙️🎥
El 18/02 a las 19.00 CET (Hora Española)
No os lo perdáis!
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Debating whether to make this my permanently pinned tweet. Perfectly said. Every other "traditional" method still looks at historical data of some sort to make investment decisions we just don't call that backtesting. It's about applying best practices to minimize fooling oneself
There's a common view that backtesting is bunk.
Disagree!
1) Its better than going in blind; we only have history to look to.
2) The method is the issue; snooping, mining, & fitting stains good procedure.
With caution and rigor, there's no better place to look than the past.
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