Beyond 60/40: The New Playbook for Portfolio Survival

July 29, 2025 rcm-alternatives 0 comment  Like
Education

Lunch & Learn Recap: Four Investment Innovators Share Their Market-Beating Strategies at CME Group

A packed room of RIAs and institutional investors filled CME Group’s headquarters on Tuesday, July 22nd for what turned out to be one of our most engaging lunch and learns of the year. With seersucker jackets presenting and RCM’s Jeff Malec keeping spirits high with his trademark wit as emcee.

The audience came armed with pointed questions, and the four presenters didn’t disappoint with their candid insights into why traditional 60/40 portfolios might be heading for the investment graveyard. The energy in the room was palpable as attendees grilled the experts on everything from return stacking mechanics to volatility timing strategies.

And what better way to cap off an afternoon of portfolio revolution than with a Cubs rooftop afterparty? As the crowd migrated from the CME’s trading floors to Wrigleyville, the conversations continued well into the evening on the rooftop overlooking Wrigley Field.

Here’s what the investment innovators shared before the party moved north:

 Dr. Mark Shore – CME Group

Presentation Summary

Dr. Shore, a CME Group Director and Economist with over 30 years of capital markets expertise, provided essential market context for the alternative strategies discussion. He focused on identifying and leveraging the unique strengths of alternative managers in current investment strategies, highlighting global market divergences and emerging economic trends that have created compelling opportunities, particularly following April 2025’s market volatility.

Key Takeaways

  • Market divergences are creating unique opportunities for alternative strategies
  • April 2025 volatility events highlighted the need for portfolio resilience
  • Traditional approaches may not be sufficient for navigating current market complexities
  • Alternative managers offer distinct advantages in today’s environment
  • Global economic trends are shifting in ways that favor diversified, systematic approaches

 

William Marr – Welton Investment Partners

Presentation Summary

Marr presented a comprehensive analysis of market forecasts and diversification principles, drawing from three whitepapers released by Welton in H1 2025. His presentation contrasted optimistic short-term market forecasts with concerning long-term projections, while demonstrating the enduring value of diversification through Modern Portfolio Theory applications.

Key Takeaways

  • Stark forecast divergence: 2025 equity forecasts range from 10-15% (Goldman Sachs, Morgan Stanley, UBS, BofA), but 10-year projections are only 3-7% annually
  • Diversification still works: A four-asset portfolio (U.S. stocks, international stocks, bonds, commodities) significantly outperformed individual assets over 25+ years
  • Portfolio construction matters: Despite low correlations between asset classes, proper diversification reduces drawdowns and improves Sharpe ratios
  • Multi-strategy approach delivers: The Catalyst/Welton Advantage Multi-Strategy Fund (CWEIX) demonstrated strong risk-adjusted returns with significant drawdown reduction (-11.9% vs. -23.9% for S&P 500 during post-COVID inflation period)
  • Systematic implementation: Disciplined, rules-based approaches can provide consistent performance across various market environments

 

Dillon Pierce & Mike Philbrick – The Return Stacked® Portfolio Solutions 

Presentation Summary

Pierce and Philbrick introduced the innovative concept of “Return Stacking” as a solution to traditional diversification challenges. They presented the RDMIX fund, which combines a balanced allocation strategy with systematic macro, providing investors with more than $1 of exposure for each $1 invested without the behavioral friction of traditional alternative allocations.

Key Takeaways

  • Traditional diversification creates behavioral friction: Reducing core allocations to “make room” for alternatives leads to poor timing decisions when alternatives underperform
  • Return Stacking solves the funding problem: Layer alternatives on top of core holdings rather than replacing them 
  • RDMIX provides dual exposure: 100% balanced allocation (50% stocks/50% bonds) PLUS 100% systematic macro exposure
  • Systematic macro characteristics: Low correlation to stocks and bonds, positive returns during major equity drawdowns, effective during inflationary periods
  • Comprehensive strategy diversification: Six systematic signals across 65+ global contracts spanning 8 sectors (agriculture, energy, bonds, equities, rates, metals, forex, volatility)
  • Capital efficiency enables stacking: Using futures and options allows maximum exposure with minimal capital requirements
  • Behavioral advantage: Stacking shows more consistent relative performance, reducing likelihood of strategy abandonment

 

Brian Stutland – Equity Armor Investments

Presentation Summary

Stutland, known for his CNBC Fast Money appearances and volatility expertise, presented the Rational Equity Armor Fund’s approach to treating volatility as an investable asset class. His strategy combines core equity exposure with sophisticated volatility management to provide downside protection while maintaining upside participation.

Key Takeaways

  • Volatility as an asset class: VIX futures and S&P 500 options can provide both protection and opportunity
  • Two-component approach: Core engine (dividend-paying S&P 500 stocks) + Volatility armor (proprietary EAVOL strategy)
  • Multiple scenario optimization:
    • Normal markets: Minimize drag while tracking S&P 500
    • Market crashes: VIX and protective puts cushion downside
    • V-shaped recoveries: Profit from volatility down, capture rebound up
    • Super bull runs: Opportunistic calls provide additional upside
  • Active management crucial: Dynamic adaptation to changing market conditions rather than static hedging
  • Proven track record: HDCTX showed resilience in 2022 (-10.68% vs. -13.85% benchmark) while participating in bull markets
  • Efficient implementation: Premium income from options helps finance the “armor,” making protection cost-effective
  • Superior to alternatives: Avoids constant drag of simple put protection and upside caps of covered call strategies

 

Overall Session Takeaways

The collective presentations revealed a common theme: traditional 60/40 portfolios face structural challenges that require innovative solutions. Each presenter offered complementary approaches to reimagining portfolio construction:

  1. Long-term return expectations are diminished for traditional assets
  2. Alternative strategies can provide uncorrelated returns during challenging periods
  3. Implementation matters as much as strategy selection – return stacking and capital efficiency are crucial
  4. Behavioral considerations are paramount – strategies must be designed for real-world investor psychology
  5. Systematic, rules-based approaches can provide more consistent results than discretionary alternatives
  6. Diversification across strategies, time, and asset classes remains the foundation of robust portfolio construction

As the crowd filtered out, heading north to continue the conversations over cold beers and Cubs baseball, one thing was clear: the future of portfolio construction is being written by those brave enough to stack returns, embrace volatility, and think beyond the confines of traditional asset allocation.

Disclaimer
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.

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