The Derivative

Latest Episodes:

Setting the Risk Parity Record Straight (it’s NOT just stocks/bonds) with Resolve’s Rodrigo Gordillo and Mike Philbrick May 12, 2022

Show notes

We’re talking with the purveyors of one of the best performing mutual funds thus far in 2022, the dynamically shifting asset allocator, RDMIX (past performance is not necessarily indicative of future results). It hasn’t all been rainbows and lollipops, however, for the ReSolve Asset Management Global team of Rodrigo Gordillo and Mike Philbrick, and they explain why and when a core of Risk Parity should work, and exactly what is and isn’t a Risk Parity approach (hint: it’s not just levered stocks and bonds).

In this episode, we're tackling topics like; does anyone actually use 60/40, The RDMIX 50/50 portfolio (50% Risk Parity/50% Alpha Strategies), ensembles of alpha sources, diversification of betas, and asset allocation in general, commodity trend following, return stacking and dispersion, and more. Plus, we're getting personal with Rodrigo and Mike (we even include Adam), and it's up to our host Jeff to decipher what is true and what is not.

Chapters:

00:00-02:03 = Intro

02:04-20:19 = Does anyone actually use 60 /40?, "TIPS", and inflation

20:20-30:25 = No, bonds aren’t the end of Risk Parity, Risk Parity isn’t just Stocks/Bonds

30:26-46:01 = RDMIX’s 50/50 portfolio = 50% in Risk Parity/50% in Alpha Strategies

46:02-01:00:53 = Ensembles, Diversification & Asset Allocation in RDMIX

01:00:54-01:16:13 = Commodity Trend Following, Return Stacking & Dispersion

01:16:14-01:24:54 = Three Truthful/not true, well... Manager "stories" from ReSolve

From the Episode:

Return Stacking Whitepaper | Lunch & Learn webinar with ReSolve Asset Management | ReSolve's Riffs Podcast

Previous Podcasts: Researching the Risks of Return Stacking | Talking Asset Allocation, AI, and the Alpha process with Resolve

Follow along with Rodrigo Gordillo @RodGordilloP & Mike Philbrick @MikePhilbrick99 on Twitter and visit investresolve.com for more info

Don't forget to subscribe to The Derivative, and follow us on Twitter @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn, and Facebook, and sign-up for our blog digest.

Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer

The Glory Days, Market Making & Trading Options at the CBOE with Noel Smith of Convex AM May 05, 2022

Show notes

This week, we're painting the picture of what life on Chicago's option trading floors was like at the CBOE...but there's a catch — we put it all on the table and needed two episodes! Today's guest came into asset management in a round-about way – trading his own money for decades before venturing into the world of other people's money…We're talking to the one and only Noel Smith @NoelConvex , Managing Partner and Chief Investment Officer of Convex Asset Management.

In this two-parter, we're talking everything from the Pets.com and the Sears option pits to singing Janis Joplin's Mercedes song to a down and out trader, to steak dinners at Gibson's and a yacht on Lake Michigan. Along the way, Noel managed to fund the founding of electronic market maker Getco and create a prop firm spanning dozens of pits with 50 traders under him. How does market making in options really work, is gamma-driven delta hedging in option flow as important as FinTwit makes it out to be, and where did the floor trading edge go? It's all here.

Chapters:

00:00-01:53 = Intro

01:54-09:05 = Lake Tahoe, Taxes & Thrill Seeking Sports

09:06-28:41 = In the old days, the computer was your brain

28:42-38:24 = Prop trading firms & the rise into High frequency trading

38:25-48-05 = Third Millennium, and Edge in the Quality of Information

48:06-58:14 = How GETCO came to be… Nearly Blowing Out

Follow along with Noel Smith on Twitter @NoelConvex and for more information on Convex visit their website: https://www.convexam.com/

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Trend Following, Signal Deterioration, & Crypto Modelling With Quant Artur Sepp Apr 28, 2022

Show notes

This week, we're adding another stamp to our Derivative passport and traveling to Zurich, Switzerland, as we talk to the Head of Systematic Solutions and Portfolio Construction at Sygnum Bank's Asset Management, Artur Sepp @ArturSepp — who specializes in crypto-assets and decentralized finance. Artur has led quantitative research at systematic trend-following hedge fund Quantica Capital, focusing on data-driven investment strategies and asset allocation in global managed futures.

In this episode, we dig into his background to discover what it's like being a quant (not as much like TNG character Data as Jeff would like…) and discuss; coding, mathematical modeling, and why statistics matter (testing simple, yet complicated models), the framework of trend following (be sure to download our trend-following guide here), pros and cons of risk premia strategies, quants trying to figure out the short data sets in Crypto and more! Plus, find out where Artur would invest 1K, 1 MM, and 100MM in Crypto.

Chapters:

00:00-01:44 = Intro

01:45-10:47 = Coding, Math, Data, Stats - Testing simple, yet complicated models

10:38-38:12 = Framework of Trend following: The Carry, When factors are identified & Why Trend following could fall flat

38:13-42:37 = Pros & Cons of Risk Premia strategies

42:38-53:38 = Dynamic Trends in Option volumes & Is the VIX dangerous?

53:39-01:13:25 = Quants on Crypto

01:13:26-01:23:44 = What would you invest in?

----

From the Episode:

Check out our podcast with Roy Niederhoffer - Making Market Music

Follow Artur on Twitter at @ArturSepp and check out his Blog on Quantitative Investment Strategies

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

What’s New about the New -1x/+2x VIX ETFs SVIX and UVIX, w/ Stuart Barton, Jim Carroll & Vance Harwood Apr 21, 2022

Show notes

A little over four years since 2018’s Volmageddon, and 2 years after TVIX got terminated – two new VIX ETF’s were recently launched – the 1x short VIX exposure SVIX and 2x long VIX exposure UVIX by VelocityShares. What’s different about them, how do they protect against another Feb of 2018 event. We’re going straight to the source(s) to answer those questions and more; chatting up three musketeers of VIX expertise: Stuart Barton CIO of VolatilityShares, Jim Carroll of the @Vixologist Twitter handle, and Six Figure Investing blog writer Vance Harwood. They join us to talk through just what is innovative about this new approach, and why such innovation was necessary.

This all-star trio talks us through the plumbing behind these new VIX products (including their new index construction/design, rebalancing methodology, and VIX vs.VIX futures), why all levered ETFs suffer from Volatility drag, why futures based ETFs suffer from Contango, and what can be done about those two issues, knowing the difference between ETPs, ETNs & ETFs, what’s in store for volatility the rest of the year, and everything else having to do with VIX futures. Plus, we get an interesting insight into their hottest takes!

Chapters:

00:00-01:28 = Intro

01:29-21:08 = The newly launched UVIX and SVIX – a new (better?) way to Rebalance Daily

21:09-33:21 = The Negative effects of Volatility drag & Leveraged ETFs

33:21-46:17 = The alphabet soup that is ETPs, ETNs & ETFs

46:18-01:01:59 = Benefitting from Volatility drag & the Gamma phenomenon

01:02:00-01:05:16 = Future of Volatility?

01:05:16-01:12:52 = Hottest Takes

From the Episode:

Check out The Derivate podcast episode: $TVIX gets Terminated – What^%$#

Toroso Advisors | Six Figure investing Blog | Volatility Shares

Follow along with the guys on Twitter: Jim Carroll @vixologist Vance Harwood @6_Figure_Invest and Stuart Barton @VolatilityStu

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Using Emotions to Make Better Decisions and Deliver Results with ReThink’s Denise Shull Apr 14, 2022

Show notes

Forget about not being emotional in your investment process. Tap into those emotions! According to today's guest Denise Shull, that is the recipe for success. Denise is the Founder of the ReThink Group and leverages her neuroscience and modern psychoanalysis background to solve the mental mysteries of successful investing, trading, competing, and leading teams.

In this episode, we talk through Denise's days as a trader, the differences between trading and athletic performance, why systematic traders can still use some help from time to time, and of course, all things Winter Olympics [enter gold medal-winning client Lindsey Jacob Ellis], which she still tears up talking about. Tune in to discover the power of using your emotions and having someone like Denise in your corner!

Chapters:

00:00-01:33 = Intro

01:34-17:10 = From trading in Chicago to Neuropsychology

17:11-28:54 = The Shull Method: The Value in Emotions

28:55-42:12 = Athletes vs Traders & and whether there’s any "Edge" left?

42:13-55:01 = Lindsey Jacobellis: Processing negative feelings, Visceral intelligence & Intuition

55:02-01:03:03 = How do you invest?

Follow along with Denise on Twitter @DeniseKShull and visit The ReThink Group's website for more information

About Denise:

Denise Shull,ReThink's Founder and CEO, leverages her background in neuroscience and modern psychoanalysis to solve the mental mysteries of successful investing, trading, competing and leading teams. She is known for her uncanny effectiveness in resolving mental blocks and decision conundrums. Her Wall Street career began in 1994 when she joined one of the first electronic trading firms in Chicago. She then traded at Schonfeld Securities before she was recruited to run her own desk at Sharpe Capital in NYC.

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Hedge Funds vs ETFs, Passive vs Active, 70s Inflation vs Now, & Commodities vs CTAs with Simplify's Mike Green Apr 07, 2022

Show notes

What exactly does a chief strategist do? Besides picking fights with Bitcoin HODLers on Twitter… And how exactly does one of the most prominent voices on the dangers of too much passive money trying to fit into a single asset classes on/off ramps, end up at….wait for it….an ETF shop?

We aim to find out in this episode with Simplify's Chief Strategist and Portfolio Manager - the one and only Mike Green - he of Clue character handles, Princess Bride Avatars, and insightful RealVision interviews and macro focused writing pieces.

In this fun chat, Mike shares his particular brand of monotone macro mastery with us, but we also dive into his famous anti-XIV trade, role at Simplify, why the ETF structure keeps getting more and more appealing, big boy markets, exchanges and the LME, the inflationary pressures of the '70s vs. today, why 'team transitory' gets a bad rap and quick thoughts on Crypto and NTFs. You're not going to want to miss this jammed-packed episode!

Chapters:

00:00-01:25 = Intro

01:26-09:06 = Joining the Navy, College enrollment & Keto Success

09:07-32:46 = Mike and his views on Passive at an ETF shop? ARKK and identifying a “Flows Beta”

32:47-43:18 = $CTA, the new Managed Futures ETF & Discretionary vs Systematic

43:19-53:35 = CTAs too big, Big Boy Markets, Big Exchanges & the LME

53:36-01:09:24 = Inflationary Pressures: 1970's vs Today, Fragile Systems & Team Transitory

01:09:25-01:14:57 = Quick thoughts on Crypto & NFTs

01:14:58-01:17:33 = Two Truths & a Lie

From the episode:

Learn more about Mike's background in our previous recorded episode here.

Follow along with Mike on Twitter @profplum99 and check out Simplify Asset Management here.

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Why is intraday trading so hard, Where is the ES liquidity, and When are most market moves happening (overnight), with Deepfield’s CEO, Bastian Bolesta Mar 31, 2022

Show notes

Who in the right mind would choose to make a living day trading stock index futures? It must be one of the most competitive, most challenging arenas out there with HFT and 10s of billions of dollars in quant strategies chasing alpha. In this week's episode, we're chatting up the founder and CEO of short-term systematic shop Deepfield Capital from Switzerland, who ply their wares on stock index markets from Asia to Europe, the U.S.

Bastian also discusses why there is a difference between market movement during the day and overnight sessions, the status of ES liquidity these days, whether less liquidity will bring new opportunities, the science (and art) of strategy research, why VIX futures are tough to trade, and more! Plus, as a bonus, we find out why Bastian dressed in a full head-to-toe Chewbacca costume for a wedding.

Chapters:

00:00-01:25 = Intro

01:26-14:20 = A Swiss View on Swiss Neutrality

14:21-29:11 = Is Day trading Stock Indices the hardest game around?

29:12-51:56 = Why is there such a Difference between Market Movement in day and overnight sessions?

51:57-59:42 = Where is ES Liquidity these days? Does less Liquidity bring More Opportunity?

59:43-01:19:00 = The Science (and the Art) of Strategy Research

01:19:01-01:27:45- Why VIX Futures are Really Hard to Trade

01:27:46-01:33:34 = Two Truths & a Lie

Follow along with Bastian on Twitter @LongVol_DFC and for any questions email him at info@deepfieldcapital.com

About Bastian Bolesta

Bastian Bolesta is a founding partner and Chief Executive Officer of Deep Field Capital AG (DFC), a Switzerland-based, independent, purely systematic asset manager, developing and trading niche intraday and short-term systematic programs in global futures and equity markets. DFC's expertise in developing short-term quantitative programs is built on +20 years of independent, proprietary trading. As CEO and member of the Investment & Research Committee, Bastian drives Deep Field's business development and investment process for its systematic investment strategies on the proprietary trading and asset management side.

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

The Trillions of Dollars tracking Three Million Indices, with F.T.'s Finance Correspondent, Robin Wigglesworth Mar 24, 2022

Show notes

Interesting times in the world bring interesting guests to the show. And, there's no better time than now to sit down with a global finance correspondent, especially with the U.S. unleashing their USD financial war against Russia. Robin Wigglesworth, a Financial Times journalist, joins us all the way from Oslo, Norway, for a captivating chat about his home country, the current turmoil between Ukraine and Russia and its impacts worldwide, and why there isn’t more of an uproar over the current “tech wreck”.

We also flip the script and talk to Robin about his many fascinating interviews, from industry icons like Larry Fink, Cliff Asness, and Jack Bogle, to the infamous bet between Warren Buffet and Ted Seides, and uncovering the inside scoop from his latest book, Trillions: How a Band of Wall Street Renegades Invented the Index Fund and changed Finance Forever. Plus, we take a deep dive into the massive growth in passive investing indices (3 million to be exact), ETFs, and more!

Chapters:

00:00-01:28 = Intro

01:29-06:32 = Norway

06:33-20:25 = Death of the Dollar? & the Oligarch Class

20:26-30:41 = Tech Wreck & Artificial Smoothness

30:42-43:52 = Memorable Interviews, Industry reporting & a $1.5 Trillion Sovereign Wealth Fund

43:53-53:41 = Trillions: a Chicago angle, and why Credit ETFs held up ok

53:42-01:11:14 = Trillions: Jack Bogle & Active vs Passive is BS

01:11:15-01:21:16 = Trillions: What the future looks like/ the Big get Bigger

Follow Robin on Twitter @RobinWigg and check out his latest book Trillions at robinwigglesworth.com

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Commodity Volatility, Global Macro, and Trend Following with Alan Dunne from Archive Capital Mar 17, 2022

Show notes

Happy St. Patrick’s Day! The luck of the Irish is on our side as we celebrate today's episode with Dubliner Alan Dunne, CEO and Founder of Archive Capital, a boutique multi-asset and investment research firm focused on global macro and managed futures strategies. Alan has worked in the financial markets and investment management industry for over 25 years at hedge funds and large investment banks as a CIO, hedge fund allocator, macro strategist, and technical analyst.

During our exciting chat with Alan, we focus on the crazy volatility in commodity markets, how macro traders have evolved over the years, and why crisis periods can be good for a trend managers' track record. Plus, Alan plays "Where Would You Invest 10K, 100K, and 100 MM?" So, grab a green beer, keep calm, and shamrock on because we're jumping right into the pot of gold this week!

Chapters:

00:00-01:16= Intro

01:17-17:29= Crazy Volatility spikes & Approaching Trend Following

17:30-26:01= Systematic Macro & Embracing Quant Strategies

26:02-40:37= Abbey Capital: Dispersion in the Trend Space & David Harding

40:38-54:47= CTA Due Diligence

54:48-01:05:53= Archive Capital: The Liquid Space / Podcasting

01:05:54-01:13:15= What would you invest in?

Follow along with Alan on Twitter @alanjdunne and for more on Alan and Archive Capital, visit Archive Capital | Dublin | Asset Allocation

Check out our new Trend Following Guide here!

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Vol Persistence, The Unholy Trinity of Risk, and the (100 yr) Dragon Portfolio for our 100th episode with Chris Cole Mar 10, 2022

Show notes

Picture this...Downtown Chicago...December 2019 B.C. (Before COVID)...The RCM crew is venturing out to a small studio ready to record the first episode of The Derivative, with no video or clue what we were doing! Who would have thought we would be crossing the 100th episode mark just two short years later!?

And, we couldn't celebrate this special milestone without a one-of-kind guest. Chris Cole, founder and CIO of Artemis Capital Management, is taking it up 100%, as he tells us about his very own journey within the industry. From his days of convincing people that they need some long vol – to too many people trying to own long vol and bidding up the cost of that protection — and everything else in between.

But the fun doesn't stop there! We're talking Chris's unique research pieces over the years, digging into his pet dragon (portfolio), George Lucas Star Wars as a long vol metaphor, and his could have been should have been Pulitzer material paper on Dennis Rodman — because who doesn't love the '90s Bulls?! Plus, we're bringing back a favorite fan closer from seasons 1 and 2. Stay tuned, sit back, and enjoy the show!

Chapters:

00:00-02:05 = Intro

02:06-16:38 = The Wide World of Vol, Sticky Strike Regime & Inflation

16:39-45:12 = Unholy Trinity of Risk, Hyper-active Central Banks & Power Law Distributions

45:13-01:08:21 = The 100 yr Dragon Portfolio, Corporate Debt & Gold vs Crypto

01:08:22-01:22:51 = George Lucas' Optionality & Long Vol Rodman

01:22:52-01:31:43 = Hottest Take: Debt Crisis

From the episode:

WHAT WOULD YOU PUT IN A 100-YEAR PORTFOLIO?

Follow along with Chris on Twitter @vol_christopher and visit artemiscm.com for more information on Chris and Artemis Capital Management.

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.