Resolve Riffs Investment Podcast

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. “There are two types of truths – one that can be derived from first principles, and another that emerges from a common set of beliefs or a shared narrative.” It was our great pleasure to speak this week with Demetri Kofinas, host of the popular Hidden Forces podcast. We have been keen listeners to Hidden Forces for some time and have admired Demetri’s ability to dive deep into topics as diverse as epistemology, philosophy, global macro and digital assets, to name just a few. Our conversation included: Demetri’s background in media and journey to establishing Hidden Forces Disillusionment after the Great Financial Crisis and conspiracy rabbit holes Is the fracturing US political system beyond repair? The Trump Phenomenon – cause, symptom or catalyst? Hyperrealism, information bubbles and the struggle to find common ground Fiat news and narrative wars Defining truth – the trouble with epistemology Digital assets, financial nihilism and generational divide US, China and Russia – the geopolitical backdrop Demetri also walked us through his process for generating ideas for episodes and cited memorable guests that have helped shape his understanding on many of the subjects we touched upon. It was a truly fascinating conversation and we hope you enjoy it as much as we did. Thank you for watching and listening. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. “As the discount rate drives towards zero, it inflates every asset on the planet, including their correlations. Today’s dominant factor is discount rate risk.” Fasten your seatbelt and dial down the speed on your podcast player, because you are in for an epic ride. With our good friend Corey Hoffstein (CIO of Newfound Research) as co-host, we were once again joined by one of the most interesting and thought-provoking guests we’ve had on the show: Chris Schindler (Co-founder, CEO and CIO of Castlefield Associates). This incredibly rich and nuanced conversation touched on themes that included: Who is “on the other side” of trades and investment strategies – persistent wealth transfers that lead to positive utility for both parties, with no “willing losers” Crowded and anti-crowded trades – drilling into the reflexive nature of markets What leads to crowding – structural and behavioral reasons, along with naturally-long players Why alternative risk premia (aka investment factors) have become shockingly crowded, and where investors might find blue ocean in the space Behavior doesn’t manifest in a vacuum – why the efficient market hypothesis is naturally at odds with human synchronization Alpha in traditional investments implies being early and/or different Social media, riot theory and the emergent phenomenon of crowds The ultimate CIO’s dilemma – where do we go from here? The moral hazard trade – governments, central banks, and self-fulfilling prophecies A basket of call options is always preferable to a call option on a basket We also covered some of the underlying reasons for market synchronization, how many steps ahead of the crowds are likely to lead to profitable trades, and much more. This episode contains more nuggets of wisdom than we could count and is certainly worth saving for future reference. Thank you for watching and listening. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. “Life – and investing – are more like poker than chess”. This week we had the honor to speak to none other than Annie Duke, former World Series of Poker champion, author of “Thinking in Bets” and “How to Decide”, and thought leader in the field of decision-making. Co-hosted by our good friend Brian Portnoy (founder of Shaping Wealth), the conversation covered: How planning for a life in academia led her into a successful poker career Applying her background in cognitive science to advance her game – Annie’s “Aha! moment" Not all poker is created equal – tournaments, cash games, iterations, and strategic differences Nature vs nurture – cognitive flexibility and turning a hedgehog into a fox Cognitive Reflection Tests and why they may indicate a larger appetite for conspiracy theories The Dunning-Kruger effect, overconfidence and naïve realism The pervasive influence of the sunk cost fallacy and how we might keep it in check Group think, cognitive laziness and why most people tend to anchor to the first response they hear We also explored the illusion of explanatory depth (and why often the answer lies within the question), the effects of tight feedback loops, and multiple applications for life and investment decisions. Towards the end we caught on to the fact that Annie had actually been incepting us with ideas from her new book all along. We had been looking forward to this conversation for some time and it exceeded our expectations. Thank you for watching and listening. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

How we can prepare for every investment scenario. We discuss: Risk Parity and Futures Markets Leverage and Value Diversification Outsourcing Expertise Integrating Asset Classes to Maximize Returns

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. This week we were joined by Brandon Caruana and Brian Tang, cofounders of Cayman-based Cartan Group, a consulting firm that specializes in blockchain technology solutions. The two combine for a deep and broad knowledge base of the emerging digital asset space, which made for a fascinating and wide-ranging conversation that included topics such as: The full ‘crypto stack’ – core networks and their multiple layers Block sizes and transaction speeds – features or bugs? Proof of work vs proof of stake – validation methods and relative merits Energy costs, algorithm rules and security Trade-offs between different blockchains and layers – what problems are they trying to solve? Why base layers are always more secure than the stack Why Bitcoin is the asset-equivalent of a duck-billed platypus Asset-backed coins and varying collaterals for stable coins We also discussed the attractive features of the Algorand protocol, Helium and ‘proof of space’, and the generational divide between living in the analog and digital realms. The conversation devolved into philosophical musings on Artificial Intelligence and techno-utopia (and at times dystopia), a future of abundance and the pursuit of passions and callings, which left us with the ultimate question: is AI going to eat, rule or serve the world? Thank you for watching and listening. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

How can we manage for scenarios when Liquidity evaporates? We discuss: The mechanics of a Liquidity Shock The Fed and the Long Volatility Gap Diversification, Tail Hedge Protection and Theta Bleed Dennis Rodman and the Long Vol Trade Yield, Growth and Inflation

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. Our guest this week was Robert Cantwell, founder and CIO of Upholdings, the first hedge fund in the US to be converted into an ETF. His career arc, beginning on the institutional side of the business and then actively seeking out more experience as a business operator, armed him with the flexibility of both mindset and strategy to embrace disruptive new trends. The conversation included: The differences between building a company and managing money Why ETFs, the modern vehicles, aren’t yet wholly embraced as the premium vehicle Size matters – margins vs scalability The future is unconstrained by geography or time-zones (and probably lives on the blockchain) The tradeoffs between a nimble portfolio and tax implications Doing your homework – speak to the five people that know the most about a given company or topic (yes, much easier said than done) Time arbitrage – the best alpha you can have is a longer investment horizon than most market participants We also discussed the time-varying nature of the market’s fear over specific industries and investment categories, seizing the opportunity provided by low rates and volatility spikes, and why the US government’s “business model” is fundamentally flawed. Robert also shared a couple of stories from his experience working with Bono Vox, as well as a take on U2 that you would probably never expect. Thank you for watching and listening. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

This is GestaltU from ReSolve Asset Management where we debate the most relevant investment topics of the day, hosted by Adam Butler and Rodrigo Gordillo of ReSolve Global. The Crypto space is gaining more interest every day. David Fauchier is a Portfolio Manager and allocator at Nickel Digital Asset Management, with eight years of experience in the digital asset space. Prior to joining Nickel, David was CIO of Cambrial Capital, a London based fund of funds, which specialized in sourcing and selecting market neutral managers in the digital asset space. He also sits on the Advisory Board of Global Digital Finance, an industry membership body engaging policy makers and regulators to advocate for industry best practice in cryptoassets. On this episode we discuss: The history of money regimes The cottage industry and new definition of “Market Neutral“ Contrasting allocation criteria for digital vs traditional managers Fund Managers and “The Five Aces“ Paranoid Cowboys The plumbing of fund management The three approaches to Crypto investing Cumulative “IQ Points“ As an addendum, we were able to debrief with David on the evening of the May 19th crypto liquidation event to hear first-hand how institutional traders experienced the event in real-time. This was a wide-ranging conversation as David provided in depth insight into the paths taken during the current evolution of Crypto and where he feels it may lead us from here. We hope you enjoy this informative interview.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. And in the blink of an eye, a year went by. In the early days of the coronavirus pandemic, we recorded a conversation on the global investment landscape in the wake of competing narratives and heightened uncertainty. The Pandemic Portfolio episode paved the way for what would become ReSolve Riffs, our ‘happy hour’ conversation on investment (and sometimes other) topics. Forty-seven episodes later, we looked back at this first year, the lessons we learned and what we might expect going forward: Global Macro – the all-encompassing theme and ‘elemental soup’ of investment decisions Inflation, reflation and the commodities boom The role of the US dollar Guardians of the narrative Equities – ‘beta vortex’, gamification and continued FOMO markets Volatility, convexity and tail-protection Major trends on the horizon – ESG, VR and the awesome power of blockchain technology We also revisited worthy episodes that might have been overlooked, including those that explored behavioral biases, market psychology or were just downright entertaining. Towards the end, reminiscing gave way to forecasting, as we speculated on the evolving fields of AI and gene-editing and how they might impact the world in the coming years. Thank you for being a part of this incredible first year. We hope it’s the first of many. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

How can we move from Factor Beta to Alpha? We discuss: Swensen, Yale and aligning incentives The cycles of factor investing Machine learning, the Bias/Variance trade off and Alpha Ensembles Sustainable Alpha through continuous Innovation

What additional Sleeves can we add to maximize diversity? We discuss: Style premia, factors, smart beta – the benefits and risks Efficient negative Sharpe ratios Redemptions and “noise traders” Larry Swedroe and anomalies Value characteristics and correlations Flows and Arbitrage opportunities

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. “The global macro game is far from boring!” Juliette Declercq, Founder & Global Macro Strategist at JDI Research, is not one to mince words, neither on her monthly reports, or on the rare occasions she grants an interview. We had the privilege of hosting her this week for some deeply insightful macro riffing that included: Her bullish case for global equities, particularly European companies Why Big Tech shouldn’t be considered a growth (or long-duration) asset Financial repression as the most urgent macro challenge of our times Inflation, yield curve (no control) and the USD Fiscal policy as the avenue for increased money velocity Crypto Asset – disintermediation, securitization and network effects Banking vs DeFi – the hybrid way forward (and the importance of customer service) Exponential possibilities within the Ethereum ecosystem We also explored Juliette’s investment framework, which takes on a trader’s vantage point – looking no further than the next 12-18 months – and seeks to maximize returns from her best ideas by “allowing winners to run”. It was an extremely engaging conversation, drawing many questions from the audience. Thank you for watching and listening. See you next week.

How do we eat Sharpe ratio and meet financial goals with a maximally diversified portfolio? We discuss: Using leverage in a robust and diversified portfolio to preserve diversification while achieving target returns Why “credit” is not a distinct asset class and does not increase diversity Integrating your bets The repercussions of levering up What makes Risk Parity hard

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*. Jim O’Shaughnessy (chairman and co-CIO of O’Shaughnessy Asset Management) is a Wall Street legend. He is one of the “OGs” of quantitative investing, a best-selling author, and more recently also turned podcaster with his Infinite Loops channel. Jim joined us for a roller-coaster of a conversation that covered: The beauty of marrying science fiction with real science Interviewing people you look up to, and why “no man is a hero to his valet” A fast-changing world requires non-linear thinking Aspirational leadership and nurturing self-confidence Acquiring knowledge, mental models and the future of education How openness to failure can set us up for success Unrelenting optimism – buying the call option on mankind We also discussed the future of the wealth advisory industry, which Jim is confident will be highly dependent on client customization, and we could have easily gone on for a few more hours. But Jim lost his connection towards the very end, mid-laugh (a memorable snapshot for those of you also watching), leaving Adam, Mike and Richard to riff by themselves for the last few minutes. Thank you for watching and listening. See you next week. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

Traditional yields are low, so how do we meet our funding obligations? We discuss: Rebalancing highly diversified portfolios to generate 3%-5% in excess returns The Diversification Ratio and maximally diversified portfolios The increased value of maximally diversified commodity sleeves Special advantages for non-institutional investors Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global. As is often the case with sharp and curious minds, our guest this week traveled a meandering route through his career. While studying meteorology and public health in university, Eric Crittenden (CIO of Standpoint Asset Management) stumbled into an economics class and fell in love with complex dynamic systems. He then joined a family office that was uniquely focused on levering into technology companies in the run up to the Dotcom Crash, a debacle that strengthened his views on the importance of diversification and risk management. We discussed: From a purely cartesian market view, to recognizing the crucial role played by psychology and behavior Early appreciation for the “elevator down, escalator up” type of risk How to give investors both what they want and need His whitepapers, especially “Does Trend Following Work on Stocks?” Why it’s harder to raise capital for diversified strategies, but also harder to get fired Liquidity weighting versus risk weighting Why collecting a risk premium means you are on the “wrong side” of skew Disaggregating term structure from price appreciation in returns – why carry pays Our conversation also covered the benefits of signal generation that combines different phenomena, why in theory, investors want diversification and risk management (but not so much in practice), and much more. A widely entertaining episode, with no words minced and even a moment of collective catharsis. Thank you for watching and listening. See you next week.

Michael Harris started trading rates and derivatives 30 years ago. He is the Founder of Price Action Lab and the developer of the first commercial software for identifying parameter-less patterns in price action 20 years ago. In the past 10 years he has worked on the development of DLPAL, which is a software program designed to identify short-term anomalies in market data for use with fixed and machine learning models. In this wide ranging interview we discuss: Back testing and generating trading signals on an Atari Console Loss Compression and Forecasting Data Mining – microfeatures, micropatterns and trend following The hit rate, payoff ratio, profit factor and the Profitability Rule Data Mining Bias and Data Snooping The Seven Weekly Strategies The direction of probability The conversation was interesting and enlightening as Michael provided new insights into emerging financial technologies. We hope you enjoy it. Thank you for listening.

Diversity of investments only produces “diversification” if asset classes are held in proper balance. We discuss: The 60/40 portfolio and why it’s not diversified or risk-balanced The advantages of Global Risk Parity Portfolios How leverage helps to preserve diversification Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global. This week we were joined by Lawrence Hamtil, founder and principal at Fortune Financial Advisors, author of their popular blog, as well as an active member of the FinTwit community. His power lifting hobby and contrarian nature permeate his writing and investment philosophy, which made for a great conversation that included: Why you can’t fire a cannon from a canoe – the importance of building a solid foundation Discipline, preventing major injuries/drawdowns and proper benchmarking – investment wisdom drawn from weight-lifting “We must all suffer from one of two pains: the pain of discipline or the pain of regret. The difference is discipline weighs ounces while regret weighs tons” – Jim Rohn Investment approach shaped by the turmoil of the Great Financial Crisis Tobacco, defense contractors, and other “less desirable” sectors– benefiting from narrative-induced externalities Low beta, minimum variance and inflation risks We also delved into his barbell approach for equities, sector allocations and their cyclical natural, ESG, regulatory moats, and how to avoid value traps. Thank you for watching and listening. See you next week.

Investors are often prone to “home-country” equity bias and other heuristics that leave them under-exposed to the world’s many diverse opportunities. We discuss: The importance of global asset class diversity Ray Dalio and the “All Weather Portfolio” Making portfolios resistant to inflation and growth shocks Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global. Although most of us like to think that we will rise to the occasion when the moment comes, various studies show that the vast majority of people will sink to the level of their training in the heat of battle. A systematic response to dynamic scenarios, removing one’s emotions from the equation, has been the standard approach in the military for millennia. In the world of investing, rules-based methodologies remain a contentious topic, even though a majority of the most successful asset managers are quants. Rob Carver (Independent Systematic Researcher and Author) knew early on that his investment career could only take the ‘systematic path’. He joined us for a great conversation that covered: His early days on a trading floor, which felt like trying to solve Sudoku puzzles with a dozen angry men screaming at him Drawing inspiration from Thomas Bass, author of The Predictors Nuances across different rules-based methodologies Allowing intuition to seep in – when and how to sin The chasm between managing 3rd party capital versus your own money The evolution of his systematic thinking – the humility and beauty of ensembles Model fitting, automation and optimization – going down a quant rabbit hole Rob also detailed some of his experiences during major market selloffs, particularly in the Great Financial Crisis and more recently in the Covid Crash. We also established that systematic investing just isn’t sexy enough for Hollywood, and we’ll likely never see Keanu Reeves starring in “The Covariance Matrix” (h/t Breaking the Market). Thank you for watching and listening. See you next week

Philip Tetlock’s research on the qualities of Super-forecasters explains why forecasting is hard and how diverse models and systematic thinking can help close the gap. We discuss: Improving predictions by regularly updating data The Brier Score and why it really matters Why larger samples permit more accurate short term predictions The difficulties with the “Long Now” narrative Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global. Our guest this week was none other than Ted Seides, host of the popular Capital Allocators podcast. Ted began his career under the tutelage of endowment legend David Swensen at Yale University Investments, then went on to found Protégé Partners, investing and seeding small hedge funds. This career arc gave him a unique perspective into the decision-making processes of multi-billion-dollar institutions, as well as the portfolio managers on the receiving end of their allocations. After almost 200 podcast episodes and a recently released book – Capital Allocators, How the world’s elite money managers lead and invest – it’s hard to overstate the breadth and depth of Ted’s institutional “inside baseball”. We covered: The range of disciplines that are leveraged by some of the world’s most successful investors Why capital allocators are essentially interviewers (and can make for good podcast hosts) Repetition, pattern recognition, and separating the wheat from the chaff Governance and the constant tussle between CIOs and investment committees Negative screening, triangulation and reference checks – above and beyond due diligence Performance chasing, familiarity and other biases – why institutions often resemble retail investors Leveraging the work of Annie Duke, Gary Klein and Michael Mauboussin We also discussed the difficulties of high information asymmetry, behavioral fortitude, and cognitive diversity. Ted even shared a few interesting anecdotes from his time working with Swensen. Thank you for watching and listening. See you next week.

Anyone who is responsible for stewarding wealth, from a high net worth person, to a family office, to an investment firm, to a pension plan. We discuss: Long term preservation of wealth for 30, 50, 100 years Building an investment “house” to weather all storms The difference between earning wealth and protecting it long term Clearing the “high confidence” bar Hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.

Interest in crypto assets continues to accelerate, attracting investors from all walks of life and from all over the world. In this episode, we are joined by Raoul Pal, CEO and Founder of Real Vision Group, and Global Macro Investor, and one of the earliest and most enthusiastic exponents of the crypto-asset space. Raoul has many years of hands-on experience in both global macro and crypto assets, and offers critical insights on where investors should focus to maximize profits in both the near and long term. The top three investment themes for the next five to ten years Globalization, technology, aging demographics and the ‘Attention Economy’ The miracle of the “India Stack” ‘Network Effects’ and behavioral incentives A new parallel financial system Fractional ownership of almost everything Incorporating Crypto into portfolios Raoul shares in detail why he is so confident that crypto-assets and parallel financial systems will revolutionize our ability to conduct commerce safely and efficiently in the near future. In the end, he leaves listeners with a much-needed feeling of optimism about the road ahead. Hosted by Adam Butler and Mike Philbrick of ReSolve Global.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. “Drink once every time someone says "rebalancing", twice for "geometric", thrice for "ergodicity". Leverage these amounts by 2.7x for the full Kelly experience”. This was the opening salvo from our guest, the once anonymous author of the popular Breaking the Market Blog, now revealed as Matt Hollerbach (founder of Pronghorn Analytics). With a background in mechanical engineering, he has applied his analytical and mathematical background to challenge a variety of once-sacred investment beliefs, generating thought-provoking articles that have prompted wide-spread discussion. Our conversation included: Disillusionment after the Great Financial Crisis and delving deeper into the entropy of markets Geometric returns and rebalancing metrics, and why they matter The case for a faster and more frequent update of a portfolio’s underlying assumptions Efficient Frontier versus Geometric Frontier Similarities and Differences between Risk Parity and Matt’s Geometric Rebalancing approach Ole Peters, ergodicity and why stock markets should be “stochastically efficient” Adapting to the vol of vol Stress versus Strain Margin of safety and Kelly-optimal bet-sizing Matt also explained the underlying mechanics of his strategy, and shared some of his favorite return metrics and other insightful concepts borrowed from various disciplines. If you’re planning on grabbing a drink to play along, make sure it’s not too strong. Thank you for watching and listening. See you next week.

In this episode, we are joined by Michele Wucker, author of the international bestseller “The Gray Rhino” and the new book “You Are What You Risk”. She coined the term “gray rhino” for obvious, probable, impactful risks, which we are surprisingly likely but not condemned to neglect. The gray rhino has moved markets, influenced central banks, guided risk managers and business strategy, and made headlines as an important frame for the ignored warnings that let the Covid-19 pandemic get out of control. The metaphor was inspired by work early in her career when she sounded a warning about Argentina’s debt crisis, then reprised that warning with an early and successful argument for a pre-emptive haircut in the Greek debt crisis. She is founder of the Chicago-based strategy firm Gray Rhino & Company, speaks frequently to high-level global audiences, and is cited often in leading global media which recently have included The Wall Street Journal, The Economist, and the Washington Post. We discussed: Five reasons decision-makers have for not addressing problems Making the “devil’s advocate” more prominent in the decision-making process Individual biases and how they define your “risk fingerprint” The “risk compass” and how it can help manage client risk tolerance The “Glass Cliff Phenomenon” and corporate crises The balance of left tail and right tail risk in group/family dynamics Thinking less deterministically and more probabilistically to get better outcomes Little “hacks” to help manage risk Michele also shared real-life anecdotes of how using these methods have helped corporations/boards and families manage risk tolerance differences. She stresses repeatedly the usefulness of knowing the “risk fingerprint” of every member of the group, leading to significantly better outcomes. We hope you enjoy this far-reaching and entertaining discussion.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Interest in cryptoassets, and specifically Bitcoin, has skyrocketed in the last few years. From it’s humble beginnings Bitcoin has grown into a behemoth, leading some to wonder if it will eventually become a contender for the role of global reserve currency. Our guests for this episode were Greg Foss and Magdalena Gronowska, early adopters of Bitcoin and part of the team that launched the very first Canadian crypto ETF on the Toronto Stock Exchange. Our conversation covered: How the bond market wags the equity tail Why Bitcoin can become default protection on a basket of sovereign credit as national debts explode What Bitcoin is currently disrupting, from energy usage to gold, from the FED to the banking system What is money The “Honey Pot” Why now is a better time to invest in Bitcoin than 2016 Spinoffs from Bitcoin mining, from energy to technology The solution for “Fiat Ponzi” The discussion was enthusiastic, thorough and sometimes downright funny. We hope you enjoy this episode and look forward to you joining us again next week.

This is ReSolve Riffs – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. As governments in the U.S, Europe, Japan and elsewhere embrace aggressive fiscal stimulus measures in the wake of the global Coronavirus pandemic, investors are growing concerned that this may unleash a sustained inflationary impulse. As investors dust off their inflationary market playbooks, many are realizing portfolios may need to be significantly restructured. This week ReSolve’s own Portfolio Managers, Mike, Rodrigo, Richard and Adam, wrestle with the underlying macro dynamics that might pave the way for inflation, and discuss how to position portfolios to manage these risks. In particular, the team focuses on how commodities are designed to preserve real wealth in inflationary environments, and how to build optimal commodity portfolios to address these risks: The many paths to inflation, and the role of MMT and debt monetization Importance of diversity and balance (or heterogeneity) in the design of commodity portfolios Why existing commodity indices and products are designed for capacity, but sacrifice heterogeneity and balance How optimal commodity portfolios may be expected to deliver a rebalancing premium to rival the equity risk premium, duration premium, and credit risk premium This jovial discussion complements the whitepaper, “Optimal Commodities” and listeners are encouraged to download and read the paper as well. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. In 1971, US president Nixon suspended the convertibility of the dollar to gold bullion, terminating what was known as the Bretton Woods system, which also kept other major currencies pegged to the greenback at a fixed exchange rate. Since then, the US dollar has experienced three major cycles of appreciation followed by weakening, all of which have greatly impacted asset prices around the world. Our guest this week is Julian Brigden (‎Co-Founder & President: ‎Macro Intelligence 2 Partners), a macro strategist who is particularly focused on secular USD trend and their ramifications across global markets. Our conversation included: His general framework, favorite macroeconomic indicators and putting the pieces together Why the ISM is a fantastic metric to gauge activity (Portfolio) size matters – tactical vs strategic calls Parallels with the 1960s, financial repression and how this may impact the US dollar Central banks’ independence in check, and the growing role of fiscal policies Inflation – expectations of the coming commodity bonanza and knock-on effects across the globe Rates, bubbles and the outlook for equities Gold vs silver vs copper – portfolio hedges under secular inflation We also discussed liquidity crunches, the role of the Fed, the wealth gap and alternative paths to overcoming the current enormous debt overhang. As long-time followers of Julian’s work, we had been looking forward to this episode for some time, and it exceeded our expectations. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Almost three decades since the very first launch, Exchange Traded Funds (ETFs) have grown to a multi-trillion-dollar segment of the market, with more than seven thousand spread across the world. The US market is home to approximately 30 percent of them, spanning the passive/index-tracking, actively managed and thematic categories, not to mention a handful of more exoteric niches. We drew on the expertise of our friend Eric Balchunas (Senior ETF Analyst at Bloomberg) for an update on the current state of the ETF. We discussed: The hottest tickets in town – the ARK family and Cathie Wood Soap opera drama – why haven’t crypto ETFs been allowed yet Why thematic ETFs are actually a closet-momentum play Value as the most intuitive factor – emulating Graham’s ‘Intelligent investor’ The Beta Vortex, how passive distorts price discovery Biases and the narrowing gap between institutional and retail investors The answer to 99 out of 100 questions in markets – blame it on the Fed Eric also gave us the breakdown in AUM for each segment of the market, as well as his estimate for the current size of the entire passive investment complex. This was a wide-ranging and very entertaining conversation, with great input from the audience (especially from our friends Brian Portnoy and Dave Nadig – thanks guys), and we also learned there is such a thing as “conversational alpha”. Thank you for watching and listening. See you next week.

In this episode, Rodrigo Gordillo, Rafael Ortega and Ignacio Villalonga from Zona Quant discussed quantitative methods in Spanish.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Over the last few years, the topic of mental health, once taboo, has been recognized as a crucial component of our general well-being. Yet depression, anxiety and other ailments of the mind remain largely a silent epidemic, and the last twelve months have been particularly hard because of the loneliness many have endured due to the lockdowns. Our guest this week was Matt Zerker, former Portfolio Manager at ReSolve and now Founder & CEO of tethr. Our conversation included: Matt’s life journey struggling with depression, losing a close friend, finding a support group and ultimately landing on a path towards his true calling No man is island – we all yearn to belong ABC – always be compassionate Resisting, suppressing, blocking – it’s much healthier to let go Why men find it harder to admit they are struggling, especially in finance Physiological responses, emotional interpretations and feedback loops How to shorten the reaction times of negative responses and build new (and more positive) neural paths We also discussed the role of psychedelics, Jason’s experience with Trading Tribe, and how to detach one’s ego from destructive narratives. This was a deeply personal conversation and a true homecoming for Matt, and we hope it can help to spread the word on the importance of mental health in our community. Thank you for watching and listening. See you next week.

“I think there are a lot of people who feel a genuine frustration at how the system has behaved, and more importantly about how there has been this dynamic of privatized gains and socialised losses. The way I would resolve it is, you know that’s wrong. And yet it seems that the models or the tools that are being used give us no option to that. And at the core, what that’s telling you is that the models are a mistake…” Mike Green In this podcast, Mike Green and I discussed political philosophy. Well, I fumbled around trying to articulate my frustrations, objections and questions and Mike managed to read between the lines and carry the show. By way of background, I’ve been frustrated with a few things since the late 1990s. Most of my frustrations relate to how regulators, governments and central banks have repeatedly undermined the capitalist process of creative destruction by bailing out imprudent risk-takers. We got a taste of this in 1998 when the Fed bailed on LTCM, and a belly-full of it in 2008 when they changed the rules on mark-to-market accounting and bailed out the banking sector. Since then central banks have supported asset prices at every turn, with increasingly direct intervention, culminating in direct purchases of corporate credit in March of 2020. For the most part, Mike and I are frustrated about the same things: regulatory capture and a fundamental misalignment of political power and incentives, the compound effect of which is responsible for most of the forces that are tearing America apart from within. However, where my experience has festered and soured, Mike has been diagnosing the problems and seeking solutions. Viewed through the prism of Mike’s philosophical framework, our current situation is a function of decades of policy choices rooted in a misguided faith in Calvanist meritocracy, amplified by a fundamental misapprehension that goes to the very heart of economics. These themes converge as we explore: How treating the economy as an ergodic system inevitably leads to accelerating boom-bust dynamics How central bank policy is largely motivated by a policy choice that has placed the social safety net in the hands of the corporate sector Why a policy of offering guaranteed, non-dischargeable loans to children to pay for higher education is criminally irresponsible, and creates a cascade of corrupt signaling mechanisms and mal-incentives, with obscene repercussions MMT, the Kalecki equation and how policy can be structured to narrow the wealth gap Ergodicity economics, the Farmer’s Fable, and the myth of meritocracy The importance of the Fourth Turning as a time to dismantle corrupt institutions and rebuild in a new image Disentangling skill from luck, and designing a redistribution policy that socializes windfall gains to support distributed entrepreneurship and economic dynamism Creating a system of accounting that recognizes non-monetary contributions and externalities How citizens will think about taxes in a modern monetary world, and whether taxes have only ever been paid at the business end of a gun Whether we can move past the Fourth Turning without a major catalyst, what that catalyst might look like, and how to look across the chasm with optimism about the future This is a two-hour podcast, and I apologize in advance for meandering questions and the occasional non-sequitur. Still, this was a deeply important conversation, and I think it’s worth your time. I think many of us who think about the state of the world know that something is very wrong. Many of us have worked to bury these frustrations and work within the game and the rules as they are. But at root we are mostly checked out. Mike makes the case that the system is broken, but it can be fixed. And he expresses an incredibly coherent framework for a system of...

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. This week we had the great pleasure of hosting none other than Lyn Alden (founder of Lyn Alden Investment Strategy), one of today’s most prominent macro strategists and thinkers. Her background in both engineering and economics endows her with a diverse skillset and unique perspective, which helps her (as well as her readers and clients) make sense of the extremely challenging environment investors are currently facing. This wide-ranging conversation covered topics that included: Her investment framework – the integration of top-down and bottom-up Japanification – the good, the bad, the ugly, and some unexpected diamonds in the rough in the Land of the Rising Sun The weaking US dollar, its multi-year cycles and global investment implications Currency wars, economic tradeoffs and game theory dynamics NASDAQ & Bitcoin – the unbeatable portfolio of late – recency bias, and why it always pays to be diversified in the long run Fiscal and monetary policies, both pre- and post-pandemic, and what an end game might look like Lyn also delved into her views on precious metals, possible inflationary outcomes and effective hedges, and of course, Bitcoin. Her ability to explain complex topics clearly and concisely was on full display, which made for a deeply enlightening and entertaining episode. Thank you for watching and listening. See you next week.

Today’s conversation is with Razvan Remsing, Director of Investment Solutions at Aspect Capital. Aspect is a multi-billion dollar London based systematic investment manager founded by one of the original founders of AHL. Razvan’s role is at the intersection of investment strategy research, product development, and client management, which positions him to comment on themes ranging from client engagement and communications through specific details about the underlying mechanics of Aspect’s strategies. We start by discussing the unique challenge of communicating with clients about what to expect with systematic strategies. Razvan emphasizes the importance of helping clients gain intuition about what’s happening inside the “black box” so that they know generally what to expect in different market environments. Ideally, clients will be sufficiently informed about the strategy they’ve invested in so that they may be disappointed with results from time to time, but never surprised. The conversation then migrates to an exploration of what happened to Aspect’s strategies in 2020. Razvan observes that 2020 was especially interesting because we basically lived through a full market cycle in just one year (and arguably in the span of just a few weeks). He asserts that the defining factor for success or failure in 2020 was the speed of your strategy. Strategies with short forecast horizons and holding periods had the opportunity to successfully navigate the major reversals in the year, while slower moving strategies were at a major disadvantage. We also discussed the poor performance of liquid alternatives and especially the major Style Premia products over the past few years. Razvan is unpersuaded by the view that poor performance was due to overcrowding. Rather, he attributes poor performance to an over-emphasis on classical “value” and credit type strategies, which are low Sharpe strategies to begin with. Low Sharpe strategies should be expected to endure long painful drawdowns. The conversation also ranged into Machine Learning, the value of alternative data from capital flows, sentiment, options surface, and more esoteric sources, and how strategies informed by some of these series responded more quickly to the seismic shifts experienced in markets in 2020. Razvan shared some rare insights, for example into differences in trading and sizing exposures to commodities versus financials. This was definitely one of our more technical conversations, with the rewards you’d expect from the ability to go deep into topics with a true craftsman.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. An almost USD 2 trillion fiscal bill is moving ahead in Congress, while breakeven rates rose above the 2 percent mark for the first time since 2018 (with no signs of relenting). It is no wonder that inflation is now top of mind for investors. Uncertainty isn’t limited to whether it reawakens after almost four decades, but how it might manifest and how investors should protect themselves. This week we riffed with Nancy Davis (Managing Partner & CIO of Quadratic Capital Management) who manages the popular IVOL ETF, covering topics such as: Her early days as a prop trader for Goldman Sachs, earning her stripes trading derivatives What is IVOL: a combination of TIPS and interest-rate options Using cash to manage duration What is implicit in the shape and slope of the yield curve The risk of outliving one’s means – the importance of protecting against inflation ‘Backing up the truck’ when volatility is so low Linear vs asymmetric – not all derivatives are created equally Nancy shared her screen throughout the conversation and walked us through her general framework, including what she believes are some of the most relevant features to monitor when navigating the inflation and rates landscape. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. With governments pressing on with huge fiscal and monetary expansion, fears of inflation have once again resurfaced. The spectacular rise in the price of grains and other raw materials, some by as much as 30% last year, have added fuel to these concerns. To discuss this inflationary macro backdrop we welcomed Bill Fleckenstein (President of Fleckenstein Capital & co-host of the End Game podcast series) to the show. A former dedicated short seller, this episode was particularly timely in the wake of the historic short squeezes that took place this week and the ripple effects across markets. Our conversation included: Running a short equity fund, adapting to shifting circumstances and ultimately returning capital to shareholders The role of short selling in markets and the disruptions caused by Fed policies r/WallStreetBets, GameStop et al – a brief anatomy of a surreal week Deflation and Japanification – why the Fed is cornered Why inflation is the most important variable to watch for in the coming months MMT, taxation and breaking the social contract Bill also expressed his views on how portfolios should prepare for what he believes is an inevitable outcome, but also entertained scenarios that might cause him to change his thesis. In the end, “in a social democracy with fiat currency, all roads lead to inflation”. Thank you for watching and listening. See you next week.

In this episode, Rodrigo Gordillo had the pleasure of being interviewed by Ignacio Villalonga from Zona Quant, a quant blogger who is part of a growing community of quantitative investors from Spain. In this inaugural Spanish speaking episode, Rodrigo fielded a series of questions sourced from the Spanish speaking FinTwit community that covered everything from proper global diversification and how to minimize data mining, to the benefits of the Rebalancing Premium, and much more. Zona Quant: https://www.rankia.com/blog/zona-quant

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. This week we riffed with Patrick Ceresna of Big Picture Trading, fellow podcaster and co-host of the popular shows Macro Voices and The Market Huddle. His trading framework combines a seasoned, top-down macroeconomic perspective with deep knowledge of technical analysis and prolific use of options to express his market views. Our conversation included: Living in the trenches – the differences between trading and investing Stress-testing ideas and the humility required to make a living as a trader Sharpening macro hypotheses through weekly conversations with bright minds Technical analysis – an incomplete yet powerful tool Analyzing money flows and sentiment indicators The flexibility and asymmetry offered by options Sizing positions and the importance of timing – don’t fight the trend Gold, Bitcoin and Giffen goods – market psychology at play in the era of easy money A great communicator, Patrick shared stories of his formative trading years and drew a compelling analogy between the dotcom euphoria and today’s “everything bubble”. He also brought along a few charts to walk us through his methodology and some of the macro themes he is currently focused on. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Convexity is one of those concepts that even if you understand it, explaining it to someone can still be hard, especially for a layperson. Unless you are the Convexity Maven, in which case it is second nature and you can apparently explain it to your mom. We had the pleasure of hosting Harley Bassman, creator of the popular MOVE Index, for a wide ranging and truly entertaining conversation that covered topics such as: Sharpening the blade - the value of working with people that challenge your ideas Calculus for everyday use – it’s actually simpler than most people think Policy responses (and mistakes) following the Great Financial Crisis His predictions for Treasury rates, MMT, and what indicators might cause him to change his mind Millennials, Baby Boomers, demography and inflation How fiscal and monetary tools might affect the US dollar How Risk Parity might navigate the coming years Gold as a currency Favorite themes and trade ideas for this environment Harley also brought a slide deck and walked us through some interesting charts as he described his investment thesis, so you might want to check out the video version of this episode. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Like virtually all segments of the investment industry, the financial advisory business has undergone significant shifts over the past two decades. Gone are the days where a pasteurized, assembly-line approach with catchy branding is enough for a thriving enterprise. In the digital age, investors – like everyone else – want authenticity. They seek a personal touch. They yearn for a real connection. Alex Chalekian (founder and CEO of Lake Avenue Financial) lives by these principles. In our conversation, we explored: His journey: from studying to become an accountant, to investment entrepreneur Allowing others to learn from your mistakes and trying to extricate one’s ego Understanding the unique skill set you and your team members bring to the table The importance of proper communication: staying true to your message while navigating the regulatory landscape The appropriate digital forums and the difference between them Building and giving back to your community Alex also shared some of the investment themes and new projects his team is excited about, and there was even time for a brief discussion on the hottest investment topic of the day – Bitcoin and the world of crypto. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. 2020 has been a year like no other in living memory. Though the global pandemic has obviously been the most important story of the year (and quite possibly of a generation), stocks have rallied to new all-time highs, companies have raised record amounts of capital and the technology sector has minted a handful of TRILLION-dollar firms. Though some investors find this fitting with the ‘new normal’, others are convinced this is the ‘mother of all bubbles’. To make sense of these unusual times, there’s nothing like a good dose of historical perspective. For the final show of the year, financial historian Jamie Catherwood (O'Shaughnessy Asset Management & Investor Amnesia) joined us for a great conversation that included: The origins of capital markets and its countless manias The South Sea Bubble, John Law and the Mississippi Company Why the history of the Dutch Tulip Mania has been widely exaggerated Charlie Munger’s three I’s – innovators, imitators and idiots How wars invariably lead to periods of low interest rates (and eventually bubbles) Yield-seeking in the 18th and 19th century – and plenty of sovereign debt defaults Jamie shared numerous interesting anecdotes that seem to draw clear parallels to the current environment – which has been described by some as ‘the golden age of fraud’. You can find more of these in his new course. Happy Holidays! Thank you for watching and listening. See you in January.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Most investors have 30 - 50% or more allocated to bonds. With U.S. equities at nosebleed valuations, investors need to wring the most efficient returns out of every sleeve of their portfolio. Brian is the Associate Director, Fixed-Income Strategies, Manager Research at Morningstar so we focused on the fixed income sleeve of portfolios. Specifically, we wanted to know how investors can generate the returns they need in a near-zirp world. Brian offered great color on the flawed construction of credit indices, and why this opens the door for outperformance by active credit managers. We discussed the most durable credit strategies and what looks especially attractive now. Brian also filled us in on the differences between different types of structured credit, such as CLOs, CDOs and CMOs, and how to approach the sectors at the moment. Run don't walk to learn what to do with all those bond funds in your portfolios!

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. As life expectancy increased throughout much of the past century, so did the importance of saving and growing one’s nest egg for retirement. Though most who retired during the last 40 years enjoyed a massive tailwind from stocks and bonds, those that switched from accumulating to drawing down their savings between 2000 and 2002 suffered a rude awakening. Currently, there is widespread concern that typical stocks-and-bonds heuristics will not suffice. Ben Carlson (Director of Institutional Asset Management at Ritholtz Wealth Management) has given this a lot of thought. He joined the ReSolve crew to talk about his recently launched book, covering topics that included: Investment principles as a distant and foreign language outside of finance: the importance of narrative to bridge the comprehension gap (which can often be a chasm) The dual role of financial advisors: fiduciaries and behavioral psychologists Incentives to create and nurture a savings habit: mindset is key The myths surrounding risk tolerance: willingness vs ability Savings rate, lifestyle and portfolio returns: understanding the levers we can actually control A crucial yet often overlooked factor: sequence of returns CPI inflation vs the inflation that individuals experience: the blind spot for most portfolios We also discussed how remaining active into an older age is correlated not only with a longer lifespan, but also with prolonged health and mental acuity. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Our guest this week was none other than Meb Faber (co-counder and CIO of Cambria Investment Management), a well-known quant and prominent member of the FinTwit community. In addition to being an asset manager, he is an entrepreneur and venture capitalist, not to mention host of a popular podcast – and therefore an entertainer at heart. We enjoyed a wide ranging conversation including topics such as: The ‘mental gymnastics’ of contemplating ideas that are likely being ignored by most investors Crowded vs contrarian trades Preference falsification in polling, the role of inertia and the endowment effect North America’s impossibly complicated retirement systems vs Australia’s superannuation Financial education, incentives, and the enormous room for policy improvements We also discussed the importance of properly framing conversations, especially in the realm of policymaking (Universal Basic Income vs Freedom Dividend), some of Meb’s recent venture capital investments and a whitepaper that’s coming down the pipe. Thank you for watching and listening. See you next week.

Today’s conversation is with Alexander Mende, Senior Investment Analyst and Head of Investment Research at RPM Risk and Portfolio Management in Stockholm, Sweden. RPM is an alternative investment firm, focusing on directional investment strategies, specifically Managed Futures and Global Macro. Alex is responsible for portfolio management, quant and macro research, manager screening and selection at the firm. We spend the first few minutes discussing the experience of living with COVID-19 in Sweden before moving onto the technical discussion. We explore the evolving role of managed futures and trend following both in terms of client expectations and how managers have adapted strategies to deal with the current macro-environment. In contrast to many similar firms, RPM takes an active approach to manager risk exposure. Alex describes how the firm manages risk both “horizontally” – by changing relative manager allocations through time – and “vertically” – by scaling exposure to the overall portfolio in response to proprietary models. Alex “opens the kimono” on two of RPM’s most useful indicator suites, the CoMaSe model designed to identify conditions that may lead to coordinated market selloffs; and the MDI model that measures the aggregate “trendiness” of market conditions. We walk through case studies to better understand how RPM uses the tools in practice and their potential value-add. Alex is clearly a passionate, no-nonsense quant and it’s clear RPM thinks about the problem in a novel way, with commensurately attractive results.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. The year that saw the fastest decline, followed by the steepest recovery in market history has left one topic top of mind for most investors – volatility. Though down from its eye-watering spike in the first quarter, the VIX (CBOE Volatility Index) has remained significantly higher than in previous years, and not without good reason. The ongoing pandemic, a bifurcated and fragile economic recovery, the most polarized US presidential election in living memory, continued geopolitical saber-rattling between China and the US, and the list goes on… We had the pleasure of hosting one of the foremost volatility experts in the industry – Wayne Himelsein (President and CIO of Logica Advisors) – for a deeply insightful conversation that covered: His background in the industry, and how he met and partnered with Mike Green Why “absolute” doesn’t mean steady returns – the lumpy nature of positive convexity Why Logica loves gamma and how to “scalp” it Unknown unknowns, unrealized vol and protecting against events that are by definition, outside of your sample distribution The difficulty in sizing a long-volatility strategy within a broader portfolio Wayne also delved into his investment process in some detail, including how Logica measures and adapts to market phase-shifts. You should probably just stop what you’re doing and press play. Thank you for watching and listening. See you next week.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. As US equities and bonds continue their apparently unstoppable rally, their expected return over the coming years grows vanishingly small, Especially if markets are faced with anything other than the goldilocks environment of growth, deflation and abundant liquidity that has ruled the past 12 years. Readers of our research (as well as any student of history) will know that stocks and bonds can go through prolonged periods of synchronized underperformance, while Risk Parity can navigate virtually any form of inflationary or growth shock. But when executed properly, with periodic rebalancing, Risk Parity can benefit from a substantial tailwind, as we showed in our recent paper – Maximizing the Rebalancing Premium. Our discussion of the rebalancing premium and its implications for investors included: The traditional thinking on rebalancing is likely outdated – adjusting for drift is not enough Defining the rebalancing premium and how it can be maximized The benefits of rebalancing for different implementations of Risk Parity Why buy-and-hold investors are paying this premium Risk Parity vs the ubiquitous 60/40 The debate also delved into the importance of reducing volatility drag to smooth out the path portfolios take and improve geometric returns. Thank you for watching and listening. See you next week.

ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day