And overall, just give everyone a chance to ask some live Q&A, and that is what this is all about. So please, if you have any questions, have any comments, enter them into the chat. Adam and I will both be keeping an eye on the chat in real time as we go through the conversation, and we will try to either address your questions in real time as they come up, or we will address them at the end.

What I want to begin with is, I want to make sure I can do this correctly, is, not the commentary. First, I want to make sure that I talk about a really exciting event that we are putting on this fall. We are hosting our inaugural Return Stacking Symposium. This is taking place in Chicago on October 8, 2025.

This is a one day jam packed, dare I say, stacked educational event, all about portable alpha and Return Stacking®. It is happening at CBOE Global Markets HQ in Chicago. It is entirely free for financial advisors and institutional allocators to come visit, and if you go to returnstacked.com/symposium, you can see the full agenda.

We have a tremendous lineup of speakers. I think one of the things I hope you will see and appreciate is that we have completely removed ourselves from the lineup. This is really meant to be a full day educational event. The opportunity to hear from industry practitioners, both institutional allocators, folks like Jonathan Glidden, who is the CIO at Delta Airlines.

We have Mark Horbal, the Managing Director of Systematic Strategies of the Canada Pension Plan. We have all sorts of phenomenal people: Buck Betten from the MacArthur Foundation in Chicago, Roxton McNeal, who used to lead UPS’s Investment Trust. Again, real, true, institutional practitioners, as well as other financial advisors who have implemented either portable alpha from an institutional capacity or return stacking from a financial advisor capacity.

So if this is an area you are interested in learning more about, and you do not want to hear a pure marketing pitch, you want to hear it from other people there: true third party experience in implementing these ideas both from a performance expectations and a communication and a governance perspective.

This is truly the first symposium of its kind, and you can come to this page, check out the agenda, learn more about it, and reserve your spot. Space is limited. We have only about 100 seats available and 80 of them are already taken up. There are only about 20 seats left that are available.

So if you want to attend, I would highly recommend you register now. Adam, anything you want to add to that before we dive into actually talking about the commentary?

[00:03:41]Adam Butler: No, I am really excited. I think it is going to be an unbelievable event and would encourage people to sign up now because we are actually limiting seating. So, if you want to come, then get in touch.

[00:03:52]Corey Hoffstein: All right, well let us dive into the commentary. The reason everybody is here, and again, if you have any questions about the symposium, again about the agenda or anything like that, please feel free to reach out. But let us dive into the actual commentary itself.

This was just published on Friday. Apologies if you did not see it beforehand, but hopefully we can walk through some of the really important high level stuff, and if there are any details you want to go through, this is really the opportunity. So let us, this is the Q2 commentary.

One of the exciting introductions in Q2 is that we launched a new ETF. This is our Return Stacked® U.S. stocks and Gold/Bitcoin ETF, ticker RSSX. For every dollar you invest in this ETF, you will get a dollar of exposure to core U.S. equities, plus a dollar of exposure to a Gold/Bitcoin strategy. We will talk about that a little bit more towards the end, but this is one of the exciting new things we launched, and it adds to the suite.

We now have seven ETFs in the U.S. Return Stacked® ETF suite, we think representing a broad diversified lineup of both stock and bond core exposure, as well as a different set of diversifiers, including Trend Following, Carry, Merger Arbitrage, Gold and Bitcoin, and then a generic capital efficient solution in RSSB that allows you to really stack whatever you want.

With that, I am going to start working through this because there are a whole lot of funds to get through and a whole lot of interesting, fun details to go into. We are going to start with RSSB and Adam, I am going to pass it over to you here to talk about RSSB. Quick high level: what is the fund, what is its intention? What have we seen from a performance perspective? Anything else we want to point out?

[00:05:31]Adam Butler: Thanks Corey. Thanks for teeing that up. Remember that the whole point of the Return Stacked® suite of ETFs is to provide a dollar of diversifying exposure on top of a dollar of core exposure, and to take advantage of all of the available potential capital efficient real estate in the portfolio to create the most diversified portfolio possible out of the premia that you have a fundamental conviction around.

So the Return Stacked® Global Stocks and Bonds ETFs was the first tool in the toolbox. We think it is extra special because it is the one that maximizes the flexibility in the portfolio to add any other diversifier that you might want around it.

So this ETF provides $1 of exposure to U.S. large cap Equities, another dollar of exposure to diversified U.S. Bonds. We get the bond exposure by allocating to a ladder of 2 year, 5 year, 10 year, and long-term Treasury bonds, so you get $2 of total exposure for every $1 invested, which means that, for example, in theory, you could put 50 percent of your portfolio in RSSB and that would actually give you basically a full 50 percent allocation to U.S. large cap Equities, plus 50 percent allocation to U.S. diversified Treasury bonds and leave 50 percent of the portfolio available as real estate for you to add any other diversifiers that you might want.

And, you know, as a result of the fact that we are basically just allocating to a U.S. Equity ETF and a global bond ladder, we would expect this to track the benchmark very closely, and in fact, it did.

I think we came within less than 1 percent total return delta over the period, which is well within what we would expect in terms of tracking error for the portfolio, over that period in the long term. So, doing exactly what we expected it to do. No surprise there. It is a relatively simple structure delivering as it was designed to.

[00:08:02]Corey Hoffstein: The only things I want to add, Adam, from a details perspective is, as you said, dollar U.S. Equities. I just want to clarify, it is a dollar of Global Equity. So this is a Global Equity U.S. Treasury fund. Just want to make sure we get that.

[00:09:00] Adam Butler: Thank you. Yeah. So sometimes it is easy to misspeak with all the different funds we have. So a dollar invested, again, dollar Global Equities plus a dollar of diversified U.S. Treasuries. One of the things we pointed out in past commentaries, often people will come down to the standardized performance.

The thing to obviously compare is RSSB net asset value (NAV) versus this hypothetical 100/100, he 100/100 here being that combination of Global Stocks Treasury Index netting out, a T-bill assumed cost of leverage. And what we would generally expect to see is that RSSBs NAV should come very close to this.

Points of friction in there obviously are going to be our expense ratio, realized trading costs, the fact that our U.S. Treasury ladder is not going to perfectly match a diversified U.S. Treasury portfolio.

And then there is actually some really interesting dynamics when it comes down to pricing global equity indices, and you can actually see something like a Global Equity ETF be plus or minus 50 basis points of the global equity index, because some of those stocks are actually not trading at the time the ETF closes.

And so figuring out what the index value is, versus the ETF value, can lead to some point to point dispersion. What we have found over this period is that almost all of the performance differential can be really explained by some variance in that point-to-point dispersion, a little bit of variance in the U.S. Treasuries versus our Treasury ladder, which tends to ebb and flow every quarter as to which is outperforming or underperforming. But the majority of the performance is just basically our fee differential, which is exactly what we want it to be.

So again, to Adam’s point, this is a hugely flexible tool.

This, in my opinion, should not be looked at as, you know, why would I invest in a portfolio that is 100 percent Global Equities plus 100 percent Treasuries? This is a tool that allows you to stack whatever you want. This is the Swiss army knife of stacking to really let you choose your own adventure.

We do not have any questions on that yet. It is our most, probably our, one of our most vanilla products. I did not expect too many questions, but if people want to dive into the nuanced details of some of those performance differentials, please feel free to ask some questions.

I am going to dive into maybe some more interesting stuff, which is RSBT and RSST. This is our Trend. RSBT and RSST have very similar mandates. For a dollar invested, RSBT will provide you a dollar of core U.S. Bond exposure, plus a dollar of exposure to a Managed Futures strategy. RSST will provide you a, for every dollar invested, a dollar of exposure to core U.S. Equity, plus a dollar of exposure to a Managed Futures strategy.

So the idea here being is that both of them, again, provide that capital efficient exposure. One is Bonds plus Trend, the other is Equities plus Trend. And this allows you to mix and match how and where you want to develop your capital efficiency within your portfolio. Now our commentary, and this has been consistent since these funds were launched, has largely focused on the Trend piece.

Our Trend strategy is an actively managed strategy, but the key differentiator here is that that active management is not done in a way where we are trying to pick and choose signals that we think generate alpha. What we are effectively trying to do is run a program that gives generic trend beta.

And a way to think about that is when we look at Managed Futures Trend Following as a category, there can be a massive amount of dispersion in the individual manager performance year to year, but often what allocators look at is an index like the SocGen Trend Index or the old Morningstar Systematic Trend Index, where it is really showing a basket of managers’ performance.

And so what our Trend program seeks to do is provide exposure that replicates that basket, eliminating a significant degree of that single manager risk. And the way we do this, and I am glad Adam is on the call because he actually pioneered all the research behind the program, is we take a two-pronged approach.

We do one approach that is called top-down replication, and this is a regression based approach where we are looking at prior returns of a basket of managers and saying, what positions long and short, would have closely matched those returns? Let us assume we could hold those going forward for a day.

Then we also have a bottom up approach, which actually builds a true Trend Following strategy, but the parameterization of that Trend Following strategy, like how much weight should we put in certain contracts, what trend speed should we trade? All of that parameterization is designed and selected in a way to try to track the long-term performance of that basket of managers. And each of these approaches have its pros and cons.

We have gone through this in detail in prior webinars, but the idea is both of them, ideally we will track in their own unique ways, the performance of a basket of Trend managers. They err at different times, and so by combining them, we get some process diversification.

We combine them in a weight of sort of 30 percent top down, 70 percent bottom up. We really like being anchored to a true Trend following process, just in case our replication is poor. We know then there is a true Trend following process, driving the returns. What we have plotted here in figure two is a number of things.

First in the black line is the performance of the SocGen Trend Index. It is a lot more fun when Trend following is going up. Obviously, it has been a very rough 12 months for Trend following as Trend following continues to try to navigate global economic turmoil. Some of this is just based on what is the Fed going to do.

We have seen significant whipsaw in bonds. In particular, you can see a standout selloff here, being in the “liberation day” tariff announcements in early April this year. Trend following, frankly, has struggled to find its footing and that is reflected in the black line, which is the SocGen Trend Index, which is an index that is made up of 10 Trend following managers.

The green line here is the performance of our Trend replication model net of all estimated fees and transaction costs. And this is a blend of our underlying models, and I hope you would agree that we have tracked the trend, broader trend space, quite closely. We did outperform the broader trend space by a couple hundred basis points over this period.

I would love to pat ourselves on the back. I would love to pat Adam on the back especially and say this was pure alpha. The reality is, this is within the tracking error expectations of our models. The gray dots here are the different trend models. We can see a top-down number one program. This is that top-down regression-based approach number.

The number one program uses a smaller universe of contracts. Then we have the top-down number two, which uses a larger universe. And the bottom up, which is the bottom up process, and the green line is a combination of those underlying models.

Figure three is probably one of my favorite figures to plot. It is a little bit technical, but the idea here is we are taking the curves, the equity curves on figure two, and we are dividing them by the SocGen Trend Index, and so we are getting a relative performance chart.

When this line is going up, that model is outperforming the trend index. When the line is going down, it is underperforming perfect replication, which is, in an ideal world, what we are going for, would be a perfect flat line across, and so what we want to see in this green line is something that is as close to a perfect flat line across over the long run. It would be a perfect flat line with a little bit of incremental positive return, hopefully coming from feed differentials between our strategy and the underlying managers, but ideally, we have as little variation as possible.

What really stands out here to me is two things. One, I think again, I would argue that this graph highlights how well we have replicated the broad index, that broad category of managers, within the degrees of uncertainty that we expect.

Replication is not a perfect science. We do not know what they are holding. We are trying to back that out again. I think we have done a very admirable job of achieving that.

But what really sticks out here is the relative returns of that top down number one index, and you can see particularly a really large jump here in early April, around that “liberation day” period. One of the obvious questions is, okay, why did this replication index dramatically outperform the broader category?

And when we get down into it, the answer really was threefold: one, this program had significantly less equity exposure. Instead of trading both U.S. and Global Equities using a limited subset of the investible universe in the model, we only trade U.S. Equities and it had far less exposure than the other models. It also had far less exposure to WTI crude, and it had no exposure to silver, where the other models had much more crude, much more silver and broadly, much more equities, all of which were significantly sold off during the “liberation day”, what I call the two week sell off that happened there. And so this short-term, this model with a much more constrained universe dramatically outperformed.

Again, I would love to pat ourselves on the back and say, this is alpha. Unfortunately, it is good luck, but it is not alpha. There is no reason this could not have gone the exact opposite direction. It could have been mispositioned. And I think what this really highlights, particularly with replication, is what we believe are the benefits of process diversification. It would be easy to just use one of these models, but in doing so, we end up with a much higher degree of potential tracking error versus our target.

And again, our target is that broad Trend following beta. And so while again, we always want to have good luck, in terms of meeting our objective, we prefer to have no luck. And so, again, better lucky than good in this occasion. But what we highlight with that spike is that the benefit here of not just using a single model, because that could have also been a spike down the benefit of using a blend of multiple models to try to keep again, close to that broad average.

I want to talk a little bit about what has been driving returns and what we have seen from an actual position change over the period. We continue to see in fixed income, just the degree of whipsaw. Frankly, fixed income returns have been very difficult over the last 18 months, as rates go up and down in a range-bound fashion.

Trend managers seem to be almost perfectly offside here pretty frequently, and we are seeing positions go back and forth as to long and short. And this is an area where Trend, frankly, has struggled and where a lot of the negative returns have come from equity indices, largely bullish, obviously, as you can expect coming out, coming into the “liberation day” period, quite bullish. Those positions were trimmed down. By the end of quarter, they were built back up.

By the way, I should point out, to read these charts, the black bars are where we were at end of quarter. The green dots are where we were at the beginning of the quarter.

Commodities, we remain mixed to almost no positioning on the energy complex while maintaining pretty significant positioning on gold, silver, and copper.

The other thing I should mention, and I apologize, these are what we call volatility adjusted weights. So this allows us to look at all the positions on an equal playing field. If we were to just look at their notional targets, something like two year bonds might have a very, very large weight, because two year bonds do not move that much. By looking at these on a volatility adjusted basis, you get a better sense of their relative importance of the portfolio. So again, we, looking at the commodity space here, gold, silver, copper, we remain bullish, we were bullish pretty much all quarter.

The big difference here is probably in the currency space where we were short the U.S. dolla,r and we are now back to net long the U.S. dollar particularly, excuse me, we were long the U.S. dollar, we are now short the U.S. dollar, particularly against the Euro.

From a performance perspective, what drove returns? You can go through the performance level contribution here. We can see currencies were a net driver, positive returns, but pretty much everything else was a drag on returns.

We have seen metals quarter to date, even though we are just 14 days into the quarter. Metals have turned around and been a nice additive, but bonds in particular have been tough. Fixed income here has been tough for the last 12 months, continues to be tough, and as the market sorts out through the liberation day and post period tariff turmoil, we are seeing a lot of trends revert and sort of reestablish themselves.

And the big winner here was currencies, and just about everything else was frankly a struggle from a Trend following perspective. Adam, anything you want to add?

[00:22:07]Adam Butler: Yeah, we have got a couple of questions. One of the questions is on expected fee alpha. Maybe I will take that and then maybe you can comment on how the blended trend model has tracked the Commodity Trading Advisor (CTA) trend since inception.

And as you were talking, I wanted to remember to mention this, because it is interesting to see the replication strategy generate a little bit of alpha, while the underlying SocGen Trend Index is lower, because typically, historically we have accrued the majority of our fee alpha when the trend index is at or near, and then exceeding all time highs.

And a big reason for that is that many of the Trend funds in the index have performance fees, right? So as a fund’s NAV rises above its high watermark, it goes on to new all time highs. Then the fund managers participate in some proportion of the gains, as you exceed those high watermarks. And by virtue of the fact that we have just got a flat fee model, we will not have that kind of drag.

And if you go back and look at the value accretion over time, you do observe that we get an outsized proportion of the historical outperformance, the fee alpha at those periods.

So it is nice to see that we are also able to keep up and or outperform a little bit, even when the index is down, observing, of course then in the short term, a lot of this is just going to be noise, but it is gratifying to see how nicely the green line tracks a flat horizontal line, which is what it would look like if, of course, the replication was 100 percent perfect and exhibiting no error relative to the benchmark.

Do you have any comments on the replication performance?

[00:24:10]Corey Hoffstein: Yeah, just to add in some actual numbers on the fee alpha. So this is, I wrote a paper last year and actually went through all the managers and dug through what their stated fees are, at least how they just put them in databases. When you look at something like the SocGen Trend Index, the average manager fee is about 1.25 percent.

So that fee differential between us and our, and them is, call it 30 basis points a year compared to 5-600 basis points of expected tracking error. That is a Sharpe Ratio of 0.1 that is not particularly compelling. Frankly, I will take it. You know, if you are going to get the beta plus a little bit of edge, maybe that is not so bad.

To your point, it is the 12.5 percent average performance kicker that is really, when you talk about fee alpha relative to a hedge fund benchmark, that is likely where you are going to end up with all the returns. So when you are talking about tracking an index and tracking it quite closely, but tracking it on the way down, yes, you might be picking up an extra 30 basis points of extra return.

You know, again, that assumes there is no alpha leakage. That assumes there is, your transaction costs are just as cheap as theirs. It is, you might call that a wash, give these hedge fund teams some credit. It is really the performance fee that matters, that you are going to get the differential, and obviously when the index is going down, most of these managers are not charging a performance fee.

[00:25:39]Adam Butler: Right. And, on the replication side,

[00:25:42]Corey Hoffstein: Yeah, so on the replication side, so this comes up, people ask us, why do we just show the last 12 months? Why not since inception? I used to show since inception, and I had enough people yell at me and say, please just show the last 12 months. That is too much noise.

So I will say, if you ever want to see since inception, please just email me or reach out to me on Twitter or whatever. We will get you those numbers. We are not hiding them. This is just, I had enough feedback that people wanted to see a shorter term period. Since inception, we are about, I think as of yesterday, 200 basis points behind the SocGen Trend Index.

Almost all of that came in the first two to three months of the program’s inception, when we launched RSBT in, I believe it was February, 2023. The first couple of months there was almost 500-600 basis points of negative tracking error. We have since clawed a significant portion of that back, a frustrating start to that product.

RSST, on the other hand, since we launched that in September, 2023, we actually have net positive performance relative to SocGen Trend there. As I said before, this is not a perfect science. This is not like replicating the S&P. This is something where we do not have insight into the positions and we are using mathematical techniques.

We expect there to be some tracking error. For where we are, I wish we were on the positive 2.5 percent side versus the negative 2.5 percent side versus the SocGen Trend Index or a basket of managers. However you want to manage, measure it. But it is well within sort of expected, and happy again, happy to share a graph of that for anyone who wants. Please just reach out to me.

[00:27:21]Adam Butler: And in terms of tracking performance, I mean, our objective is to minimize tracking error. You can proxy that with correlations to the index, and I think our daily, weekly, monthly correlations to the index are above kind of 0.8 ish, which is right in line with what we expected when we deployed it. So, I think what we could say is that it is performing about as we would have expected when we engineered it and put it to work, which is nice to see.

[00:27:55]Corey Hoffstein: Let me tackle some of these other comments. What is the year-to-date return of the Trend model piece on its own?

So this is excess return I am talking, so not including any cash component. This is just the return of the trading strategy. Our estimate of that is about right around almost exactly negative 7 percent year to date, which I believe is, you know, a hundred or 200 basis points better than the SocGen Trend Index’s excess returns.

If you are going to compare SocGen Trend versus this, make sure you add in another to us, you know, add in 250 basis points of TBI return. We are already extracting that. Is it unusual for USD to be short against every other currency? No, it is not.

Adam, I do not know if you want to add any other comments, but what I tend to see is, we have a lot of regimes that are pro-dollar or negative dollar. The dollar is a huge driver from an explanatory perspective, and so seeing these models, Trend model’s flip flop between net long dollar, net short dollar is not totally unusual. There are some times where you see the idiosyncrasies pop up and some trends might be divergent, but I do in my experience, tend to see that there is a big driver that is just, are you short or long the dollar, U.S. dollar?

[00:29:16]Adam Butler: Yeah. I think it is kind of about 50 percent of the time you see some idiosyncratic positions across the currency space. About a quarter of the time, pretty well, all the positions are short the dollar, and about a quarter of the time pretty well all the positions are long the dollar, and it just depends on what is driving the current macro environment at the moment.

We are clearly in an environment where currencies and trade flows and capital flows are in focus. So it is not surprising that we are seeing some homogeneity across the currency.

[00:29:54]Corey Hoffstein: Eric Mendelson asked, have you considered adding Bitcoin investment with these products to really return stack. Eric, wait until the end, we will tell you about our new RSSX ETF.

All right. I am not seeing any more questions on the Trend components. If you have questions, feel free to throw them out there. We will try to get to them at the end. But with that, I am going to kick it over to you, Adam, to talk about what we have seen in Carry. Quickly sort of lay out what these two funds are, what they do, and we can dive into some quarterly commentary.

[00:30:24]Adam Butler: Yeah, so just like our Return Stacked® Trend funds, we have got Return Stacked® Carry funds that are built to provide $1 of exposure to a diversified Carry strategy on top of a dollar of exposure to either U.S. stocks with RSSY or U.S. bonds with RSBY. And the Carry strategy, as far as I know, I think we are still the only, if not the only, we are one of two or three funds that provide a diversified futures Carry strategy to retail investors, and a structure that anyone can buy, which we are really proud of.

We feel that Carry is one of the premier long-term risk premia that ends up being largely non-correlated with the types of allocations that most investors hold in portfolios over the long-term, the long-term equity allocation, long-term bond allocation. For those who are not familiar, a quick primer on Carry: Carry is the return you expect to get on an investment if the price does not change.

We often liken it to owning an apartment building. You are not really buying an apartment building hoping that the price of the building changes in the short or intermediate term, but you are hoping to collect rents from the people that live in the building. And it is those rent cash flows that are the Carry in that case in equity markets.

So you can think of Carry as the dividend yield. Even if the stock prices themselves do not change, you are still going to be collecting those dividends over time. And bonds, you are collecting coupons. There are, in currencies, you are typically investing in the cash markets of countries with high yielding government short-term bonds, and you are borrowing in the currencies of countries with low yielding, short-term government bonds to fund that position, and capturing that spread.

And you can also earn Carry in commodity markets by effectively lending to commodity producers or providing facilities for those producers to get capital to build those long-term projects. So we get this hard, try to harvest this Carry by observing, for example, the slope of the Treasury yield curve term structure.

So the idea being over the long term, on average, if there are positive inflation expectations, we would expect longer term bonds to have a higher yield than shorter term bonds or T-bills. And indeed, over the very long term, we do observe that, although we have seen a lot more fluctuation in that over the last couple of years as inflation has been more volatile. But we just would typically invest in the long-term bond, borrow at short-term rates, and expect to earn a spread on that.

And it is the same thing in equity markets. When the dividend yield exceeds the yield on cash, then we would typically expect to earn a premium there.

And when the slope of the commodity term structure term is negative, in other words, the back months in the term structure are have lower prices than the front month, we would expect over time, as those back months get closer and closer to maturity, they will rise in price to approach the price of the near-term contract.

And we would want to be long those in order to capture that upward drift. And in contrast, if the back month contracts were trading at a higher price than the front month contracts, we want to be short those contracts, in anticipation of them moving down in price towards the spot or the front month contract price, right?

So that is the general, how the Carry strategy works. Again, we have got lots of academic literature and lots of our own internal research demonstrating the long-term veracity of this strategy. And we have written a white paper and lots of research about it for those who want to dig a little deeper. In the period, the Carry strategy, you know, obviously exhibited a loss. We have exhibited a loss or experienced a loss in Carry since inception.

Just purely coincidentally, the loss in the Carry strategy has been approximately the same as the loss in the Trend indices over the same time period, but the correlation between the Carry strategy and the Trend strategy has been very close to zero.

Remember that the overall objective here is for us to launch products that provide diversified exposure, or the opportunity to get exposure to diversified potential return streams, right? In other words, return streams where we expect structurally that they are going to move at different speeds and different directions at different times for different reasons, and in fact, that is what we have observed live and what we observe also historically in our research explorations.

And, so, you know, it is I think a little bit harder for people to gain an intuition for when Carry might be expected to do well, versus when it might be expected to do poorly. One way to think about it, in some markets this is a bit more intuitive than in others, is, well, is there potential energy in the portfolio?

In other words, we have lost money by invest, let us just use bonds as kind of an easy case study. So over the period we lost money investing in bonds.

We want to be long bonds because in fact, the longer-term bond interest rates have been higher than the shorter-term bond interest rates. So there is this positive sloping yield curve, this positive expected carry, but that difference has increased over time, and therefore, we have been taking losses as that trade has kind of gone against us.

But as the trade has gone against us, the spread between the long-term contract, the yield on the long-term contract and the yield on the short-term contracts or T-bills has actually increased. So from that perspective, while our, we have accrued losses, our expectancy going forward has actually increased.

So we sometimes refer to this as the portfolio building potential energy. Now, it is not always the case that this happens. It could be the case that that long-term rates rose inflicting losses on the portfolio, but short-term rates rose even more. And therefore the potential energy, which is just the difference between the long-term rates and the short-term rates at any point in time, has actually shrunk.

Now, fortunately, we have not seen that the potential energy in the quarter has increased leading to intuition about the fact that the prospect of returns may be a little bit higher, at least in bonds.

We have seen similar types of dynamics in currencies, right? In fact, the currencies with low returning cash rates have been underperforming, or sorry, have been outperforming the currencies with higher returning cash rates over the last several months, as investors have kind of been exiting their U.S. dollar positions and buying positions in other currencies around the world, despite the fact that other currencies around the world actually have higher interest rates, they pay you more to borrow in dollars and invest in those foreign currencies.

But investors at the moment have not really cared about that, and that happens from time to time. It is no big surprise, but as a result, the potential energy in our currency positions have also increased.

So, you know, I think Corey did a really good job in the commentary helping to illustrate how sometimes when you accrue losses in the portfolio, it means that intuitively, over the next little while, we might expect higher returns than all things equal, but that is not always the case. In the current case we do, and Corey, I do not know if you want to comment on that or clarify anything before we move on to the…

[00:39:36]Corey Hoffstein: Yeah, no, I think you nailed it. The example we used in the commentary, which is of a dividend stock, I think sometimes, you know, people are much more familiar with stocks.

You talk about a dividend stock, you can have a case where the price goes down and the dividend stays constant, and so your dividend yield goes up, and we would think of that as a risk premium repricing, like the price went down because the market is demanding a higher expected return going forward for you to hold it.

And so that is really the potential energy case. What can also happen is the fundamentals can deteriorate, and we would call this a fundamental re-rating, where the price can go down, but the dividend can also get cut, and so you take that loss, but your dividend yield stays flat or even potentially goes down.

So you do not actually expect a higher return going forward. It is the fundamentals eroded, and you were simply on the wrong side of the trading. And so what we tried to do with Figure 8 here is show using Carry scores, what the sector level contribution was to our overall portfolio level Carry score.

And the blue line at the bottom here is Fixed Income. And as Adam mentioned, Fixed Income is an area where we have taken losses, but we think it gets increasingly attractive. I will contrast that to the middle, blue, green, teal, whatever you want to call this, which is the energies, the third one up where we saw it also increase from sort of late 2024 to first quarter of 2025 and energies were really attractive.

And then you see it absolutely fall off a cliff during this “liberation day” period. And what, so in contrast, what our models see with Fixed Income is there has been a risk premium repricing. The trade has gone against us, but the slope has steepened. It has gotten more and more attractive with energies. We would consider that to be a fundamental repricing.

We were frankly, just on the wrong side of the trade for realized risk. The market repositioned the expected return going forward, despite the fact you took the loss, is not better. It is actually worse, and so the portfolio will reposition around that. And so these are two very different types of trades that happen.

[00:41:46]Adam Butler: Yeah, that is fantastic clarity actually, Corey, and I think it is Figure 9, just scrolling down, does a good job of illustrating how the holdings in the portfolio reflect these changes in the expected Carry over time, right. The dark blue line at the top being the allocation to Fixed Income. You can see at the very beginning of that chart there was a small short in Fixed Income as the yield curve was inverted.

And over time, as the yield curve has steepened around the world, the position in Fixed Income has increased, right? And for reasons we described, that increase represents a true expected higher return on that Carry going forward, right? And on the flip side, the green on the bottom is the short currency position, representing a long U.S. dollar position, short foreign currency position.

Again, short foreign currencies, interest rates have been rising relative to the dollar, representing higher prospective returns on being long foreign currencies and short the dollar. But as those currencies have appreciated relative to the dollar in the short term, the trade has gone to gain us and we have just built potential energy there.

And so, the positions reflect exactly what the perspective forward Carry looks like, but in order to get here, we had to endure some losses as that expected Carry has continued to increase over time.

[00:43:39]Corey Hoffstein: So two questions here. Adam, I want to get to one. I will answer the other. I will let you take a stab at, it is a more complex question, so I will let you jump on that one.

One of the questions was, has there been any consideration of combining Trend and Carry into a single solution? And I will say we do have other solutions outside the ETF suite where we combine Trend, Carry and some other Systematic Macro signals, including Skewness and Seasonality into a more wholesome program.

And it goes beyond sort of just a core set of liquid markets into a much more diverse set of markets. We have not done it here, because again, the point of this suite is to provide isolated building blocks. I will say though, with maybe a little bit of humor that if we had done that, both equity curves would have been just a smoother straight line down, because ironically, since launching the Carry strategy, both Trend and Carry have had nearly an identical drawdown with zero correlation.

So you would have ended up with just a smoother path in your drawdown, which probably would have frustrated everyone. So, with a little bit of humor, I will say, I am glad we did not do that, but it is all, it is always on the discussion table. Right now it exists in other products that we manage, but not in the ETF suite.

One of the questions that came up is, can we talk a little bit more about Carry in Figure 8 and, you know, is it predictive of Carry returns? How does it inform sort of the risk or the volatility we are willing to take? And I think that more specifically, when we see that the Carry score level is down at 4 percent, are we doing anything different than when the Carry score level is up at 12 percent?

[00:45:22]Adam Butler: Right. I mean, the reality is the total positioning in the portfolio is going to reflect the strength or magnitude of the Carry signal, broadly, over time. So, you know, when we have got a lot of markets that are exhibiting very strong prospective Carry, we would expect to have more exposure in the portfolio.

And so it sort of breeds in its aggregate exposure over time, depending on the total amount of available Carry, as to whether the portfolio has historically delivered higher returns in periods subsequent to us observing a larger aggregate exposure in the portfolio, reflecting higher amplitude, aggregate carry scores.

There is a mild relationship in certain sectors, but it is not a relationship that you would want to fine tune beyond just allowing the portfolio to respond to the changes in Carry for each of the individual markets that we track. So did the extent, go ahead…

[00:46:41]Corey Hoffstein: I was going to say that that final point is actually, when you think about it somewhat tautological, if you believe that Carry is predictive of forward returns, then the Carry and aggregator at the sector level has to be largely predictive.

But the point is that how predict, with what degree of accuracy can you time it and what we tend to find looking is that yes, there is a relationship, hence why we built this product there. If there was not a relationship between sector, aggregate level, Carry and forward returns, then Carry’s signal would not work, but there is such a huge degree of variance that you cannot effectively market time with the aggregate score.

[00:47:24]Adam Butler: Yeah. I often say if we could time it, we would time it. It is not hard to build that into the Carry strategy or the Trend strategy or what have you. If there were good ways, reliable ways to time exposure, then those would be built into the strategy itself.

But it is still a good question and it is a question we get a lot, and it is a concept that we have done a lot of work on over the years. So, perfectly legitimate point of interest, about the GSAM Cross Asset Carry Index flat since 2012. Commodity in interest surging. I think it is worth pointing out that the GSAM Index is not an ideal proxy for the methodology that we deploy.

First of all, the sleeves in that index are all engineered slightly differently. Some of them are time series, some of them are sector neutral. So it is, we would actually expect that that strategy and aggregate to have a fairly low correlation to our Carry strategy over time.

And you know, one of the things we highlighted in the Carry paper that we wrote a couple years ago is that the sector dollar-weighted neutral version of Carry, which is I think a closer proxy to the GSAM Index, that has struggled since about 2012 or 2015 in line with what we observe in the GSAM Index.

But we did not observe the same type of attenuation of performance in the time series version, which, where we allow the model to take on sector risk time, varying sector risk in response to the fact that some sectors have very high Carry and should get concentrated exposure at given times. And we are not artificially constraining the portfolio to have to neutralize that sector exposure over time, which has just been counterproductive in the more modern era.

So, yeah, I mean, I do not think there are any structural reasons other than maybe the fact that over time we expect, we might expect all of these types of strategies to maybe wax and wane in performance as they become more or less popular, attract more or less capital, and the premia become more compressed or less compressed over time.

[00:50:04]Corey Hoffstein: The only thing I will add to that, Adam, is you know, if you dive into that GSAM Cross Asset Carry Index and you look at the sub indices, you see very different performance. Like FX Carry has continued to work quite well.

And again, it is not fully representative of what we do, but you do see certain sub-strategies seem to have struggled. Others seem to have done well. It, you know, often it is hard to answer whether a low Sharpe Ratio thing is broken, or whether it is just going through a period, regime change where it does not work.

[00:50:32]Adam Butler: The universe makes a big difference. You know, if I am not mistaken, the GSAM Currency Carry strategy allocates quite a bit to emerging markets.

We just do not allocate to emerging market Carry. It is just a very different type of risk premia that tends to be a lot more pro-cyclical. In other words, when there is a shock in equity markets and it hurts to be hurt on your other dominant asset class holdings, then that FX Carry that includes emerging markets, tends to also have a really rough time at the same time.

Whereas if you run a strategy using only developed markets, you get a lot less of that effect. But, you know, if you go as usual, this is almost an endless journey of nuance and detail that we would be happy to address offline, but probably are not well suited to a broad call like this. But if you have questions like that, totally legitimate, please feel free to reach out and we will get back to you with some answers.

[00:51:37]Corey Hoffstein: I don’t know if you want to review time here. Yeah, we have got to move forward because we are almost 52 minutes in and we have got two more funds to go through.

So I want to dive into the Bonds and Merger Arb strategy and if for the questions that remain on Carry, we will come back to them at the end of this call. But trying to get everyone off the call in an hour, let us, we will move forward here.

So, the Return Stacked® Bonds and Merger Arb ETF, RSBA was a fund we launched last December.

The idea behind this fund is that for every dollar in you invest, you will get a dollar of exposure to core U.S. Treasuries, plus a dollar of exposure to a Merger Arbitrage strategy.

For those who are less familiar with Merger Arbitrage, the idea here is basically that when there is a announcement of a public acquisition, or the company A is buying company B for a certain price, the publicly traded stock of company B tends to jump up towards the acquisition price, but does not tend to get fully there, and that spread that is left over is what Merger Arbitrage strategies seek to capture.

And that spread is going to represent both some timing risk of when the deal will get done, right, value, you know, cost of a dollar, value of dollar net, present value of a dollar, and a spread of what is, you can almost think of as like credit risk.

What is the risk of the deal actually coming to fruition, or shareholders going to vote for it? Is there going to be regulatory intervention? All of that gets priced into the deal.

And so what Merger Arbitrage strategies try to do is they try to capture that remaining spread and often it looks like a very stable set of returns.

In this strategy in RSBA, the Merger strategy is implemented by a firm called Alpha Beta. We license the Alpha Beta Merger Arbitrage Index, and it takes a very active approach. What this index is going to do is it is going to look through all U.S. listed and announced Merger Arbitrage deals, and it is going to screen only for those deals that exceed a certain expected return hurdle rate, 400 basis points.

And so when there is just a lack of deals that are interesting or available, the strategy will largely just sit on cash, and that is what happened in Q1. We launched this fund in December and Q1 was just an absolute drought. I think we had just a handful of deals in the portfolio. We were dramatically under-allocated, and the returns of the ETF looked just like the returns of a diversified U.S. Treasury strategy or fund.

What we saw in Q2 though, was where a lot of, you know, Trend and Carry stumbled into “liberation day” theatrics, Liberation day represented an excellent opportunity for Merger Arbitrage because all of a sudden deals that were unattractive prior, the spreads of many of those deals blew out and became attractive.

We also saw a number of deals get announced in Q2, but a combination of both those things led us to introduce a number of new positions over the quarter. So you could see at sort of the lowest and figure 12, you are the lowest position level exposure we had was around 6 percent long in our Merger Arbitrage strategy.

Going into Q2, we got up to a peak level of about 80 percent long in all of our active positions, and so obviously Q2, all the fireworks and global economic explosions that happened. All the push and pull of tariffs and jockeying and repositioning actually represented a real opportunity for this portfolio.

And I think Q1 and Q2 really showcase, in my opinion, what is really attractive about this strategy, which is that when the Merger Arbitrage deals do not surpass a certain threshold of attractiveness, we are not just going to take them for the sake of taking them. There is too much risk. What we are going to do is we are going to sit on Cash and wait till they are more attractive, and then deploy capital.

And so in figure 13, what I have done is I have plotted the excess returns of the merger of the Alpha Beta Merger Arbitrage Index since RSBA was launched. And I compare it to, in this black line, the return of the credit risk premium. So this is basically taking investment grade credit as a broad index and subtracting out the return of U.S. Treasuries, right?

If you think of an investment grade corporate bond, you can decompose it into two sources of return. There is an underlying U.S. Treasury bond duration component, plus credit risk. This isolates the credit risk component, and this is a constant talking point for us, which is when people allocate to investment grade corporate bonds, they are, again, they are taking an implicit Return Stacking® approach.

They are effectively getting Treasury beta, plus credit risk. And our argument with RSBA is that Treasury beta plus Merger Arbitrage risk is potentially more attractive and more diversifying. The correlation between the Merger Arbitrage excess return stream and the credit excess return stream is only about 0.5.

It tends to sell off less. Whether you look at our particular index implementation or just a broad diversified beta implementation, tends to have less downside sensitivity to equity markets, and has historically produced a very attractive risk premium, depending on the index you look at.

And so we think this is a really compelling product as a potential alternative or diversifier to traditional investment grade corporate bonds, particularly in an environment where spreads have been so tight compared to historical levels, and you may just not be getting paid the same amount that you were historically for taking on credit risk.

[00:57:33]Adam Butler: Yeah, honestly, I can not believe this is not a billion dollar fund. I mean, it, this is just such an under-harvested, but so intuitive long-term risk premium that has effectively a very, very low correlation to most other assets, and, you know, I just think is a phenomenal diversifier for credit risk. So, you know, I am looking forward to this product getting a lot more traction.

[00:58:06]Corey Hoffstein: Yeah, I mean, we can see it just in the, and again, it is a short period. I will not harp on short period returns, but I think it is highlighted here in RSBAs return since inception NAV is 5.11 percent, and that is, versus a 3 percent return for corporates, which, you know, corporates returning in line with Treasuries after taking a significant knock during the “liberation day” period, and then having to claw their way out, you know, Merger Arb did take a small knock, right? Those spreads did get wider, but this portfolio was not fully deployed. And then was the opportunity for us to start deploying cash into those deals where the spreads blew out.

Again, I think highlighting the potential benefit of that active approach. So this is one that I am very, very passionate about, I am very excited about this product. Very different than Trend, very different than Carry, but I think equally compelling and one where the stacking does not take as much of a front seat, right?

Actually, if you look at the breakdown of where a lot of the variance in this portfolio comes from, it is just the Treasury component, just like investment grade bonds. But I think for anyone who has investment grade corporates in their portfolio, this is a great potential diversifier to that position.

[00:59:13]Adam Butler: Yeah. I want to make sure we get to the most recent product launch, RSSX Return Stacked® U.S. Stocks and Gold Bitcoin ETF, and this is just really in response to the observation that an increasing number of advisors that we have been talking to lately are starting to ask themselves a super simple question that could easily define the next leg of their careers, and that is, am I 100 percent certain that Bitcoin will not become a globally adopted reserve asset just like Gold? And if I am not a hundred percent certain, then what are some courses of action in order to get off that 0 percent position, right? And, you know, advisors are not acting alone and they are not acting in isolation when we talk to them.

Many are acting on some demand and conversations with their clients, and their clients themselves are just observing that I guess Bitcoin is just becoming a lot more broadly adopted. We have got institutional adoption, we have got adoption by corporate treasuries.

It, from a narrative standpoint, seems to have shared many qualities with other hard asset-like securities or hard asset-like investments and quite fortuitously it has had a very low or almost zero correlation with, for example, gold, right? So RSSX stacks a Gold/Bitcoin risk adjusted allocation on top of a U.S. equity allocation, a hundred percent U.S. equities, a hundred percent risk balanced Gold and Bitcoin, right?

The Gold and Bitcoin sleeve’s really there to hedge against the diversification that we are observing in many global sovereign wealth funds and central banks, and Treasury departments away from the U.S. dollar as its core or sometimes only reserve asset and into other assets. Yes, they are diversifying into other currencies.

They are also increasingly diversifying into Gold. We observe that in the flow of funds, reports for the various global central banks and the International Bank of Settlements, and we expect that this trend may very well continue. And so investors have been asking themselves, how can we prudently position for this type of risk?

The risk that, you know, just politically, there are no good solutions to the political gridlock that we are observing to the ballooning of fiscal deficits around the world and to a realignment of the global geopolitical landscape. Maybe with countries outside the U.S. looking to firm up greater partnerships with other countries outside the U.S. and therefore diversify their country level investments commensurate, right?

And so, you know, we think this arrangement of Gold and Bitcoin is a really nice prudent way to get exposure to this hard asset reserve diversification trade, because Gold has been with us for several thousand years.

It is already a reserve asset in almost every major global reserve depository and is unlikely to be completely diversified away from in our lifetime. At the same time, we do see a creeping interest in Bitcoin as a similar reserve asset, and we should acknowledge that that potential or that that percentage allocated to Bitcoin could grow over time.

And we have also observed that as Bitcoin has increased in price and increased in market cap and increased in adoption, that its volatility has sort of continued to decline. So by allocating in a risk adjusted way, as long as the volatility of Bitcoin continues to decline relative to the volatility of Gold, then the allocation to Bitcoin will slowly creep up to be eventually maybe become peri-passive with Gold. On the other hand, if Bitcoin adoption slows or reverses, the volatility of Bitcoin begins to creep up, then the allocation to Bitcoin relative to Gold would decline.

So it is kind of a natural homeostatic mechanism that we do not need to make any discretionary calls or tell ourselves stories about how much Bitcoin or Gold to own. We will just let the evolution of the price and volatility characteristics of those two assets earn their way into the portfolio alongside that U.S. equity position that everybody knows and loves.

I don’t know if you have any other comments, Corey.

[01:04:41]Corey Hoffstein: Yeah. What I have really come to appreciate about this idea is that people come at it from different perceptions, right? We recently heard Paul Tudor Jones talk about the risk of a U.S. debt trap, and the idea of using Gold and Bitcoin and equities together in a risk parity weighting as sort of his preferred portfolio for navigating that sort of market risk and environment.

One idea that has really resonated with me is Gold’s long-term negative correlation to the U.S. dollar, and actually you can ignore all these ideas around debt traps and the U.S. having to run negative real rates and currency debasement.

One idea here is, if you are overweight U.S. equities versus international equities, and you are concerned about relatively underperforming international equities, huge proportion, 30-40 percent of international versus U.S. returns comes from currency movement. Local equity markets tend to be positively correlated with their, the currency versus U.S. dollar movement.

And Gold actually with its negative correlation to the U.S. dollar can hedge that. So if you just take U.S. Equity and slap some Gold on top, for lack of a better phrase, you get something that keeps your U.S. equity exposure, but negates a meaningful proportion of that potential international equity relative return.

And so, you have two totally different use cases here. Someone who is incredibly concerned about the U.S. dollar and wants to almost do a currency swap, wants to define their wealth in gold and Bitcoin. This is a way of getting U.S. equity, but defining their wealth in a new basis.

Or you can think of a totally different way, which is, I want to hedge against the U.S. dollar underperformance, not because of debasement, just because I think international equities well performed, but I want to keep my U.S. growth engine. How do I get rid of that currency element? Gold. Gold and Bitcoin are an interesting overlay that can achieve that. And so this is again, I think a powerful idea depending on where you land on the spectrum of sort of beliefs and it, and it is again a very flexible product for that implementation.

So it is one we are very excited about, just launched at the end of May. You know, very short-term track record. We are, as Adam mentioned, not active in the allocation decisions. This is a very systematically implemented concept, but one we think has tremendous staying power.

[01:07:08]Adam Butler: Yeah. So we are six minutes over. How do we want to wrap this up?

[01:07:13]Corey Hoffstein: Well, I will just say anyone who stuck with us this long, thank you so much. I know that was a lot to get through. This is our first time doing the quarterly recap. We hope it is something that has been useful. We appreciate all the questions and comments along the way. If we did not get to your question, please, or, if you are watching this later and you have a question, please go to Returnstacked.com or ReturnstackedETFs.com.

You can go to the Contact Us page, and you can submit your question there and we will be sure to get back to you. We appreciate everyone’s consideration. We can appreciate your ongoing business if you are an allocator, and we look forward to continuing to serve you in the months and years to come.

[01:07:54]Adam Butler: And a reminder, another reminder just at the tail end about the Symposium, if you had thought about signing up, we would urge you to do that as soon as possible because there actually is a limited number of seats left.

We have a limited space. It is going to be a phenomenal event. We would love to see you there. So, please get on signing up for that as soon as you can.

[01:08:18]Corey Hoffstein: Beautiful. All right, with that, thank you everyone.

[01:08:21]Adam Butler: Thank you.