The Derivative

Latest Episodes:

Trend Following Asset Allocations with Jon Robinson of Blueprint Oct 26, 2023

Show notes

In the constantly changing and often unpredictable industry that is wealth management, is it possible to systematize an asset allocation approach? Might you even apply trend following to the problem? On this episode of The Derivative, Jon Robinson, the CEO and co-founder of Blueprint Investment Partners, draws upon his unique experience on both sides of the trend-following fence: proprietor and customer. He reflects on his early days working on the New York Stock Exchange floor and delves into the intricate process of shifting from traditional research methods to systematic investment.

Join us as we explore the subtleties of trend following, its evolution over time (Jon’s evolution over time), and the strategies that Jon and his team at Blueprint Investment Partners employ. Our conversation sheds light on the fundamental principles of maintaining strong advisor-client relationships, the changing landscape of portfolio management, and what the future of the investment advisor space might look like. Tune in for an engaging discussion on the effectiveness of trend following not as an investment in its own right, but as a filter on other investments— SEND IT!

Chapters:

00:00-01:46=Intro

01:47-05:20= Greensboro HQ

05:21-17:21= The wild west of futures, entrepreneuring & trend following models

17:22-36:27= Piecing together the Blueprint with a trend following edge / simplifying the implications / Enter in.. Chesapeake

36:28-48:28= Managing the spectrum & private hedge funds

48:29-58:02= The future of the advisory space & behavior adoption

58:03-01:08:24= RIA Or Private Client? Helping an investor

From the episode:

Follow along with Jon on LinkedIn and his team on Twitter @Blueprint_IP and for more information visit their website blueprintip.com.

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

Systematic Commodity Trading (without Trend) with Jae-Min Hyun of NWOne Oct 05, 2023

Show notes

In commodity trading, where volatility reigns supreme, finding an edge can be daunting. In this episode of The Derivative, we switch up our normal Commodity Trading talk with our non-trend following guest, Jae-Min Hyun of NWOne. With extensive experience in commodities trading and a quant background that spans Wall Street firms, hedge funds, and a new talent incubator, Jae-Min brings a wealth of knowledge to the table.

Join us as we explore the intricate intricacies of building a systematic commodity trading strategy using fundamental inputs instead of just price, why inefficiencies equal edge, the importance of risk management, the role of machine learning, and the rest of the challenges of navigating this dynamic market. Jae-Min Hyun's insights shed light on the complexities of this niche within the world of finance, offering valuable perspectives for both seasoned traders and those seeking to understand the nuances of commodity trading — SEND IT!

Chapters:

00:00-01:32= Intro

01:33-15:49= NYC is wet, but back! An early start at Morgan Stanley constructing commodities & building Quants

15:50-29:25= Exacting Alpha in inefficiencies, market fundamentals, directional futures & diversification

29:26-43:20= Calendar spreads (delivering exposure) and all models working in concert

43:21-54:04= Why only commodities? Research, systematic strategies & the competition

54:05-01:05:46= Commodity exposure, alpha generation & A.I. in quant trading

From the episode:

NWOne Diversified Strategy

The Predictors - Book

Semi-Annual Rankings Whitepaper

Follow along with Jae-Min on LinkedIn and for more information visit NWOne's website www.nwone-llc.com

A Philly Alts Steak: Talking Commodities, Stacking, and Systematic with Auspice, Newfound & Campbell Sep 28, 2023

Show notes

Philadelphia is renowned for various iconic symbols, including the Liberty Bell, Rocky Balboa, the famous Philly cheesesteak, and, most recently, RCM's Live Panel Discussion "Is 60/40 Dead? Can Alternatives Fill the Void?" This engaging panel discussion features industry leaders Tim Pickering, Corey Hoffstein, and Brian Meloon, with the insightful Kevin Davitt giving an insightful intro. It was so compelling that we decided to turn it into an episode of the Derivative podcast.

We kick off our discussion by diving into the rapidly evolving landscape of the index options market and the financial industry as a whole. Explore the critical role of adaptability in the face of exponential technological advancements, with a spotlight on NASDAQ's MDX options leading the way.

But there's more! Tim Pickering, Corey Hoffstein, and Brian Meloon share pivotal moments from their careers, emphasizing the importance of innovation during challenging periods. We'll also delve into quantitative investing strategies, the intriguing concept of return stacking in ETFs, and why diversification is necessary in your investment portfolio — SEND IT!

Chapters:

00:00-01:31 = Intro

01:32-14:18 = Adapting to a changing landscape with Kevin Davitt

14:19-22:24 = Introductions: Ah Ha! moments – what got you in the industry

22:25-36:38 = Adapting to market shifts

36:39-43:39 = Why should you care?

43:40-59:43 = What are investors looking for – Why Commodities? Why Systematic? Why Leverage?

59:44-01:04:25 = Why now?

01:04:26-01:17:17 = Open for questions

From the episode:

Flirting with Models podcast

Liquidity Cascades – Newfound Research

Follow along with Tim Pickering on Twitter @AuspiceTim, Corey Hoffstein @choffstein and Brian Meloon on LinkedIn

Opportunities in Option Mutual Funds with Russ Kellites Sep 21, 2023

Show notes

In the ever-evolving world of finance, change is the only constant. Like the shifting tides of the market, options trading has transformed from monthly expirations to weekly and even daily strikes. It's like going from a leisurely stroll to a thrilling daily marathon in the world of trading. Alongside these shifts, hedging strategies have also had to adapt, especially after the rollercoaster ride that was 2018.

On this episode of The Derivative, we're taking you on a journey through the financial landscape with none other than Russ Kellites from Alpha Centric Funds. From the intriguing story of San Francisco's economic landscape to the evolution of computer science and AI, to the transition from Goldman Sachs to starting a fund - we're covering it all — SEND IT!

Chapters:

00:00-01:42= Intro

01:43-10:23= Hard hits in San Fran & Building blocks of A.I.

12:24-22:21= Hitching a ride w/ Warren Buffet & Designing a Fund

22:22-39:17= Diversifying Options & the 4/5 Quadrants of Volatility

39:18-53:07= Market Environments (Long & Short positions)

53:08-59:41= Market Participation

59:42-01:05:22= The value of time: It’s a long-term investment

From the episode:

Portfolios of Power Futures with Tim Kramer

LJM – The Autopsy

Follow along with Russ on LinkedIn and for more information visit alphacentricfunds.com

Long/Short Commodities with Emil van Essen & Bryan Kiernan of Katonah/EVE Sep 14, 2023

Show notes

From front-running commodity index rolls to trading spreads, we're taking you on a bit of a historic journey with Emil Van Essen and Bryan Kiernan of Katonah Eve. Join us as we explore the evolution of their strategies and firm, while talking the world of commodities.

In this episode, we'll uncover the evolution of Katonah Eve, from pulling data ahead of the game to mastering roll yields and transitioning into the world of spread trading. We'll also discuss what it takes to survive so long in this business, going institutional for in-house operations, and how they have more than just skin in the game, they’re putting skin in the the pre-game as well to test new sources of Alpha.

We unpack what makes their Long/Short Commodity strategy different, and how long/short differs from trend, and explore topics like term structure, spread trading and data, the importance of diversification, and the importance of testing ideas with live ammunition. And we can’t talk with Emil without talking about the energy patch, the crypto space, and China – all of which we touch on. SEND IT!

Chapters:

00:00-01:57= Intro

01:58-4:38= Mountain Bike Racing?

3:56-15:35= Evolution of EVE: Pulling data ahead of the game & Roll yields to spread trading

15:36-22:38= Expanding in-house infrastructure, market making, and the constant search for Alpha

22:39-37:15= Long/short Commodities, Term structure, Spread vs Trend & Diversification in Commodity markets

37:16-50:34= The Energy guy, Alpha in Crypto & inside China

From the episode:

Crude Oil goes negative…What ^%$# - Derivative podcast

Follow along with Emil and Bryan on ⁠LinkedIn⁠ for more information!

Portfolios of Power Futures with AMPD ETF’s Tim Kramer Aug 31, 2023

Show notes

Is electricity a commodity? If not, why not? If so, how do you get exposure with the demand for electricity set to possibly outstrip the world's forthcoming technological advancements. Join us on a high energy episode of The Derivative by RCM Alternatives for an in-depth exploration of "Electrifying America" with Timothy Kramer, a seasoned energy and power trader and CEO of CNIC Funds – the group behind the AMPD electricity ETF. In this stimulating conversation, Kramer sheds light on the difficulties of accessing the power market, why electricity should be part of any inflation-protecting commodity investments, and what the overall landscape looks like for America's electrification journey, unveiling three key pillars: importance, inflation, and imbalance.

From the coming era of all-electric vehicles to the challenges facing renewable energy, Kramer navigates the complexities and opportunities. He also delves into the creation of innovative indices and the dynamic interplay between power and commodities — SEND IT!

Chapters:

00:00-01:53 = Intro

01:54-03:53 = Texas is How Big?

03:54-17:38= The Electrification of America, Power’s Supply/Demand

17:39-23:48= ESG push back & removing carbon = Carbon Neutral

23:49-36:47= Creating an Index- AMPD: Deregulation, power generation & retail providers

36:48-44:12= The power players in the power market

44:13-54:23= Carbon offset vetting and commodity exposure

54:24-01:00:42 = Is Bitcoin mining a legit use on power grids?

From the episode:

The Electrification of America

https://www.cnicfunds.com/

The Kaoboy of convertible Arb with Michael Kao Derivative episode

Super storms, mathematical modeling, and hurricane hunting with Dr. Jeff Masters Derivative episode

Follow along with Timothy on LinkedIn and check out all the links above for more information!

Why Systematic? Why CTA? Why Now? A panel event with Mercer, Campbell, EMC Capital, & Resolve Jul 27, 2023

Show notes

Why Systematic? Why CTA? Why Now? These are common questions on the minds of many professionals in the Managed Futures field. On this episode of the Derivative podcast, host Jeff Malec takes on a unique role as a featured guest on a panel recently hosted by RCM Alternatives in Chicago alongside Cohen & Company and Mercer.

While Jeff is usually the one leading the discussions, this time, he gets the opportunity to be a participant alongside other industry experts. Together, they delve deep into the inner workings of various trading models. The main focus of the discussion is to understand how these models function, distinguish between pod-shops and multi-strat data infrastructure, and explore the role of A.I. in the industry.

Additionally, they discuss the differences between systematic macro and trend-following approaches.

Joining Jeff on the panel are Joe Kelly from Campbell, Brian Proctor from EMC, and Rodrigo Gordillo from Resolve. The conversation is both insightful and engaging, shedding light on the world of Managed Futures Hedge Funds — SEND IT! Chapters:

00:00-01:42=Intro

01:43-15:41=Approaching CTAs – Why now for systematic macro? Inflation, stacking (yes + this)

15:42-25:57=Current state of rising interest rates & trend following diversification

25:58-40:25=Machine learning: Parameter sets, Data, managing risk, A.I., & no emotions

40:26-48:49=Discretion: When, Why, or do we use it?

48:50-01:11:06=Questions? Let's open it up to the audience

Follow along on Twitter with Rodrigo Gordillo @RodGordilloP, Mercer @mercer, & Cohen & Company @CohenCPA for more information!

Trend Following Plus Nothing with Jerry Parker Jul 20, 2023

Show notes

What do you do when you’ve already done everything there is to do in trend. Managed billion of dollars: check. One of first to run a trend following mutual fund: check. Trend following on individual equities: check. You push the envelope again, and convince the folks that create ETFs that you actually can pack your fully diversified equities plus futures portfolio into an ETF wrapper. On this episode of The Derivative, we sit down with the legendary Jerry Parker, a former Turtle Trader who’s newest effort is an ETF product called ‘Trend Following Plus Nothing’.

Jerry and Jeff explore a wide range of topics, including whether multi-billion CTAs sold their (trend) souls to get there, just why nobody really tries to trend follow on individual equity names. Seeing a green light when they tell you it can’t be done. Jerry also opens up about finding the perfect balance of personal risk and mental fortitude to achieve success in trend following while sharing some personal anecdotes, including his love for pet birds.

Discover the power of trading components instead of an index of components, the impact of Fed limits on trend, and the intricacies of volatility targeting (hint: Jerry doesn’t believe in it). We'll also delve into the art of portfolio construction, the virtue of trend following impatience, the true essence of trend following as an inflationary hedge, and so much more — SEND IT.

Chapters:

00:00-02:00=Intro

02:01-04:50= No birds allowed on Long Island, NY

04:51-16:38= The journey creating the new ETF needed diversification

16:39-30:02= Replication – what’s your limit? Hard=Simple/Simple=Hard

30:03-41:45= Market Makers, Outlier Moves, and what’s deserving of your portfolio

41:46-48:50=Embracing the Trend Following philosophy

48:51-01:00:02= The narrow road taken

01:00:03-01:03:29= Trend following+nothing

From the episode: The Swiss(Franc) isn’t all that neutral – blog post

Trend Following Turtle Tails (and Tales) with Jerry Parker - podcast Check out our Trend Following whitepaper!

Follow along with Jerry on Twitter @rjparkerjr09 and visit ChesapeakeCapital.com for more information!

The World of Equity Hedging, Part II with Jason Buck Jul 13, 2023

Show notes

Jason Buck is back in this follow-up, Part II episode rehashing all the goings on at Global EQD '23, and he's continuing the conversation on equity market hedging, not to mention interest rate, currency, and more hedging – plus volatility markets and investment strategies with host Jeff Malec.

Jason and Jeff discuss what was discussed, including the influence of Fed policy, abnormally low volatility in equities, cross-asset volatility, and the relationship between skew and put options. Tune in to discover the risks associated with high-frequency trading (HFT) firms in the zero-day-to-expiration market and gain insights into balance and risk management.

Explore supply and demand dynamics, black swan events, and the perspective of market makers. Gain valuable knowledge on the interplay between institutional and retail traders, the importance of diversification in building portfolios, and the comparison between systematic and discretionary approaches to investing — SEND IT!

Chapters:

00:00-01:31=Intro

01:32-10:07= Leaders in Vol – Monetizing Vol, Skew vs puts & commodity Vol can’t be suppressed

10:08-26:00= The volume of ODTE options & when retail flow becomes toxic

26:01-32:55= Complexity, probability & path dependency: Building a resilient portfolio

32:56-48:43= Systematic vs discretionary, the importance of dispersion

48:44-58:54= Fixed income factors and a panel too short

In case you missed it: Check out Part I of this EQD Breakdown here!

Follow along on Twitter with Jason ⁠@jasoncbuck ⁠and ⁠@MutinyFunds⁠ for all updates and also check out the website ⁠mutinyfund.com⁠ for more information.

Volatility (LIVE IN VEGAS) panel discussion Jun 29, 2023

Show notes

We're doubling down on the knowledge and taking you through the high-stakes world of Volatility with a special "Derivative Podcast" straight from the world's entertainment capital, Las Vegas. Join host Jeff Malec and our panel industry heavyweights Cem Karsan, Luke Rahbari, and Zed Francis as they delve into the intriguing market dynamics and risk management world.

From the role of Volatility as an asset class to the impact of retail platforms like Robinhood and TikTok, our panelists explore the ever-evolving trading landscape. Discover the power of probabilistic decisions in options trading, uncover the significance of liquidity, and gain insights into the art of positioning for success. These experts also shed light on the challenges of managing risk in an unbalanced options market, examine the role of market makers, and analyze the implications of the Federal Reserve's actions.

This episode provides a jackpot of insight surrounding the fascinating interplay between Volatility and macroeconomics, providing valuable perspectives on inflation, fiscal policy, and market trends — SEND IT!

Chapters:

00:00-01:23=Intro

01:24-12:57= Approach to Volatility & its role in a portfolio

12:58-27:32= Playing the game & options liquidity

27:33-45:32= OTDE Options, hedging your risk, & who blows out in this market?

45:33-01:05:12= Art or Science? Systematizing a strategy / Effects of hedging Vol & short-term Vol in the markets

01:05:13-01:27:13 = Opening up for questions: Constraints on the Fed, Protection on the tails, Are the giants (large funds) in control?

Follow along on Twitter with Cem Karsan @jam_croissant, and Luke Rahbari @luke_rahbari for all their updates and for more information visit kaivolatility.com, equityarmorinvestments.com, & convexitas.com

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