RS RSST Return Stacked U.S. Stocks & Managed Futures ETF Loading... : Bullish and Bearish Analyst Opinions

The author recommends seriously increasing the weight of RSST and MATE so that notional managed-futures exposure reaches 20% or more. The mechanism is that higher managed-futures notional, likely funded by lower notional equity, should meaningfully improve portfolio Sharpe. The author also warns that backtests of synthetic portfolios without a testfolio simulation should add roughly 50bps of tracking error for fees and costs.

The author includes RSST as part of a ~10% sleeve of return-stacking funds in a backtested portfolio, arguing the fund's expense ratio is already reflected in the backtest results. The mechanism is stacking equity and managed-futures exposure to diversify without giving up capital space, with rebalancing only every one to two years to limit tax drag. Main stated risk is tax drag from rebalancing, which the author considers manageable.