Return Stacking and Managed Futures: Rethinking Diversification Without Sacrifice

For decades, managed futures have been a cornerstone of institutional portfolios—quietly delivering uncorrelated returns and cushioning market shocks. And yet, for most advisors and individual investors, they’ve remained misunderstood, underutilized, or ignored altogether. In an episode of Raise Your Average, host Pierre Daillie sits down with Rodrigo Gordillo, President of ReSolve Asset Management and co-creator of the Return Stacked ETF suite, to explore how return stacking is flipping the traditional diversification script—making room for absolute return strategies without having to give up your core equity or bond exposures.

“We just don’t think that’s gonna be the case in the future,” Gordillo says, referring to the outdated notion that diversification always comes at the cost of performance. “Maybe diversification isn’t a necessary evil anymore. Maybe it’s accretive. Maybe now we have a way to say ‘yes and’—yes to my equities and some diversification.”

The Roots of Trend Following

Gordillo starts with a primer on managed futures and trend following, tracing their lineage back to the “Turtle Traders” and Market Wizards of the 1980s.

“They were the original trend-following managed futures guys,” he explains. “They were trading global bonds, commodities, currencies… identifying upward trends and buying them. And when they started losing money, they’d start shorting.”

That hands-on style has since evolved into systematic, rules-based strategies—rooted in behavioral finance. Gordillo credits Amos Tversky and Daniel Kahneman with laying the foundation for understanding why trend following works:

“People anchor to information but don’t fully adjust. So there’s time for us to identify that behavior and place our bets.”

Why Managed Futures Matter Today

What makes managed futures uniquely valuable in portfolios is their lack of correlation to traditional assets—and their tendency to shine when markets break down.

“The two categories that stand out as being legitimately consistently zero correlation—and having strong negative correlation at the right time—are managed futures trend and systematic macro,” Gordillo notes. “It just happens to be a unique asset class that has historically provided double-digit returns when you need them the most.”

That came to life in 2008, 2020, and again in 2022, when managed futures delivered strong gains as stocks and bonds simultaneously tumbled.

The Diversification Dilemma

So if managed futures are so powerful, why don’t more investors use them?

“The last decade has had a chilling effect on anything that wasn’t the Mag Seven,” says Gordillo. “If you added a 10–20% allocation to managed futures in the last decade, you had to both diversify and beat the S&P 500. That’s a tall order.”

The perception of diversification as a sacrifice has been hard to shake—especially when it underperforms during bull markets. But institutions took a different approach:

“They don’t necessarily sell their equities and bonds to buy diversifiers,” Gordillo explains. “They use this concept of portable alpha or return stacking to stack these diversifiers on top.”

Return Stacking: How It Works

That institutional approach is now available to advisors and retail investors via Return Stacked ETFs like RSST (U.S. Stocks + Managed Futures) and RSBT (U.S. Bonds + Managed Futures).

Gordillo walks through the mechanics:

“For every dollar that you give these ETFs, you’re gonna get a dollar of the S&P and a dollar of managed futures. So instead of having to make room in your portfolio, you sold 10% to buy something like RSST—and then you bought it right back with a 1+1 fund. You’re back at 100% equity, plus the returns of managed futures stacked on top.”

This approach addresses two key advisor concerns:

1. Return stacking for outperformance: keeping your 60/40 portfolio and adding managed futures to boost long-term return potential.
2. Return stacking for behavioral comfort: hiding or “blending in” the managed futures exposure to reduce client anxiety over unfamiliar line items.

“Diversification is always better when mixed with other things that zig when they zag—behaviorally,” he emphasizes.

The Power of Defensive Leverage

A common fear around strategies like return stacking is the use of leverage. But Gordillo reframes that risk as a feature, not a bug:

“Yes, you’re using leverage to get an extra 20% on top. But that 20% is so different in character that it offsets losses when markets go south. In bear markets, managed futures have had an ability to reduce drawdowns—while using leverage. We call that defensive leverage.”

The numbers back him up: managed futures tend to run at 13% volatility, the S&P at 20%, but when combined, the stacked volatility only nudges to 21–22%—not 40%.

“So the question becomes: how can I increase my return without increasing my volatility? That’s what this type of stack does really well.”

Solving the Line Item Problem

Another clever use case? Reducing behavioral risk for advisors whose clients are already holding managed futures—but hate seeing them lag or go negative in isolation.

“They’re toeing the line, but they’re feeling it,” Gordillo says. “That line item risk that nobody can understand becomes really difficult to hold.”

The workaround? Sell 10% of equities, sell the existing managed futures, and buy RSST instead:

“Now you’ve got $10 cash, $10 in RSST. To the client, it looks conservative. But when you x-ray that portfolio? They’re still getting what they had before—just in an easier-to-hold package.”

The Broader Implication: Say “Yes, And”

For advisors and portfolio builders, the era of “either/or” is ending. Thanks to return stacking, it’s no longer about giving up one thing to get another.

“We can say yes and—yes to equities and yes to diversification,” Gordillo insists. “This is the solution I’ve been working my whole career to bring to market.”

And while this episode zeroed in on managed futures, the possibilities don’t stop there. As Gordillo puts it:

“We’re focusing here on managed futures trend, but there’s a lot of things one can stack. And there’s a lot more to explore.”

Learn More

Explore more at returnstacked.com, and follow ReSolve Asset Management’s growing suite of return stacked ETF solutions.