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*.

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.