Resolve Riffs Investment Podcast

Today’s conversation is with Marat Molyboga, Chief Risk Officer and Director of Research at Efficient Capital Management. Marat is a soviet trained mathematician who achieved his Masters in Applied Mathematics in Moscow, and holds an MBA in Finance from University of Chicago, a CFA, and a PhD in Finance from EDHEC business school. He has authored or co-authored 20 published papers. Efficient specializes in building multi-manager investment solutions for institutional investors with a particular focus on managed futures. Marat describes the fundamental building blocks in the qualitative and quantitative framework that Efficient uses to select managers, and form and monitor portfolios over time. In addition, we explore four papers in detail on topics like combining carry with trend, how the makeup of Chinese commodity markets impacts risk-premia for Chinese CTAs, the potential benefits of short-term trend signals, and how novel portfolio construction techniques may help investors construct more resilient portfolios of CTAs.   Marat has a unique perspective on commodity trading advisors and listeners will learn about how institutions utilize and evaluate CTA portfolios, and specific techniques that can drive improvements in trend strategies and portfolios of CTA funds.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Ever lower interest rates and debt-fueled growth have been the major driving force for asset price appreciation over the last four decades. Many have now come to believe that the system is close to a breaking point, teetering at the edge due to a virtually unpayable debt overhang that has created multiple asset bubbles across the world. To make sense of the current macroeconomic backdrop and where we might go from here, we had the pleasure of hosting Diego Parrilla (Managing Partner at Quadriga Asset Managers). Topics included: His previous life as an energy analyst and his thesis on The Energy World is Flat Bubbles and Anti-Bubbles Central banks, monetary expansion and inflation – how to boil a frog False diversification, correlations breaking down and constructing true balance Soccer teams can’t depend on 11 strikers – how his strategy creates positive convexity to become an effective goalie for a diversified portfolio His concerns over inflationary pressures in the coming years and his asset allocation approach reminded us of our own Risk Parity framework. While the topic proved initially contentious, we eventually found common ground in the principles that will help drive positive outcomes for investors in the coming years. 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. It is, without a doubt, the most logical starting point for any portfolio that seeks both global diversity and risk balance. Preparation before prediction. First, do no harm. Yet there is a wide range of ways to structure and deploy Risk Parity – as always, the devil is in the details (for a deeper dive check out our recent whitepaper). We had the pleasure of speaking with Alex Shahidi and Damien Bisserier (co-founders of Evoke Wealth and ARIS Consulting), creators of the popular RPAR ETF, on topics that included: Their history and journey before joining forces Multiple definitions and iterations of Risk Parity The consistent mispricing of global diversification benefits (why Risk Parity works) Why the investment industry is wired to overweight prediction and underweight preparation Behavioral hurdles and the real struggle with FOMO Of course, it wouldn’t be a true Risk Parity debate without addressing the role of bonds in the current zero-bound environment and the importance of duration adjustments on bond holdings, as well as the role of currencies and different ways of obtaining exposure to commodities. A true Risk Parity primer. Thank you for watching and listening. See you next week.

Today’s conversation is with David Berns, an emerging thought leader in asset allocation and behavioral finance, who is pushing the boundaries on how to best measure real-world behavioral preferences and build optimal portfolios that actively incorporate this extra information. We open the conversation with a discussion of his involvement in the design and launch of three new ETFs, which seek to deliver an investment experience that addresses both traditional mean-variance preferences, and also accounts for real investor behavioural and cognitive biases. We then discuss core themes from his new book, “Modern Asset Allocation for Wealth Management”, which marries advances in portfolio optimization with a scientific approach to measuring real investment risk preferences. I was impressed with David’s thinking about fundamental investment principles and driving ambition to go beyond traditional portfolio formation techniques to account for loss aversion and reflection, and higher moments of the return distribution. It’s clear David genuinely cares about client satisfaction with their investment experience and is advocating for ways to treat clients as unique individuals with novel preferences and goals. This discussion has something for everyone from advisors to portfolio managers to planners and even for end investors.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. Every time equity markets experience a major selloff, investors’ attentions are drawn to the handful of strategies that actually benefitted from the event. So-called crisis alpha comes in many flavors and iterations, which further complicates the allocation decision. Our friend Jason Buck (CIO of Mutiny Fund) sought to solve this problem a few years ago. He joined us for a conversation that included: The different kinds of risks to portfolios and how to protect against them What actually constitutes a tail event Moneyness, sizing and using wrinkles to reduce volatility drag Finding an ensemble of strategies that doesn’t bleed money outside of major drawdowns Rebalancing – a true and underappreciated source of return We also discussed how to position a tail protection strategy (or an ensemble of them) within an overall diversified portfolio and what form that portfolio might take. The difference between time-series and ensemble probabilities was also debated – and the term ergodicity may have been thrown around a bit. Thank you for watching and listening. See you next week.

Many traditional value or factor based investors have been scratching their heads for the past few years, wondering whether a shift in fundamental dynamics may have permanently altered the way markets behave. Corey Hoffstein has been wondering the same thing, which prompted him to spend the last several months speaking to experts in options trading, market microstructure, and the hidden effects of passive index investing about how these forces may be reshaping the underlying market ecosystem. These conversations and subsequent analyses led to the publication of Corey’s latest whitepaper on Liquidity Cascades, where he seeks to triangulate impacts from several potential paradigm shifts to identify what’s driving price action in today’s markets. We cover all the major themes from the paper and discuss practical implications and key risks for investors over the next few years. Corey shares some new charts and analysis, and elaborates on key figures and themes from the paper that you won’t want to miss. As soon as Corey published the paper I couldn’t wait to do a deep dive with Corey just like this. And as usual, the conversation did not disappoint. Please enjoy this conversation with Corey Hoffstein on Liquidity Cascades.

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. The advent of Exchange Traded Funds (ETFs) brought about one of the largest and most transformative trends in the investment landscape. With legions of enthusiasts and no shortage of detractors, ETFs also ignited the so-called passive investing revolution, upending the industry and sparking controversy. We could think of no better guest than our friend Dave Nadig (CIO and Director of Research at ETF Trends and ETF Database) for this conversation, which covered: Understanding that not all passive investments are created equal There’s much more discretion than meets the eye – even in the S&P 500 index Price-discovery distortions – (possibly) on its way to a new equilibrium The coining of a new concept – Reflexivity Inflection Point The Rise of ESG and why the category has been outperforming in 2020 The discussion heated up as we debated who gets to define “E”, “S” and “G”, and semantics converged to a better definition – values-based investing. A wildly entertaining episode made even better by the live questions and comments. Thank you for watching and listening. See you next week.

Brian is the founder of Shaping Wealth and author of two books, The Investor's Paradox and The Geometry of Wealth. We spoke about the connections between wealth and happiness, and the myriad complications that distract people from what really matters. On our journey we touched on the importance of setting constructive expectations, how to navigate the relative nature of happiness, how the human brain interfaces with social media and markets, and how the advisor role is extending in the direction of holistic financial wellness. Brian's diverse background in manager selection, fund management, and investor education gives him a unique perspective on how humans connect with money and each other.  

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day. In the digital age, we are all suffering from varying degrees of information overload and must lean on trusted guardians of the narrative to make sense of it all. Our good friend Ben Hunt (Epsilon Theory), one of the most reliable guardians, joined us this week for a thought-provoking conversation that included: How he witnessed and reported on the COVID pandemic story unfolding well ahead of most people and his current efforts in helping to supply medical masks in the US Why mainstream media keeps getting it (mostly) wrong Staying true to your wolfpack and avoiding the temptation of adding too much cheese to a story – even though it might greatly amplify your reach Gresham’s law and how fiat news often crowds out truly important stories Wallstreet as a highly effective narrative machine that keeps driving investors to buy like clockwork Ben’s alter-ego Neb took charge when describing the system as dominated by crony capitalism and ultimately broken, while his B.I.T.F.D. mantra got plenty of pushback from the South-Americans across the screen. Towards the end Ben returned and shared some very cool images from his own Narrative Machine, focusing on the stock that has dominated headlines this year. 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. Behavioral finance has been at the forefront of investing for many years now, yet it is still largely misunderstood and rarely applied to investors’ actual habits. Our good friend Dan Egan has been pushing this frontier, and in this conversation we covered: The fallacy of trying to predict what makes us happy and how that applies to investing Why understanding our biases does not provide immunity against them Formulating incentives and nudging investors towards habits that can benefit them Generalizations vs uniqueness across investors Imagining who is trading against you – and what they might know that you don’t We also discussed the importance of narrative and the study that suggests stories often outweigh the experiences themselves. A true session of psychoanalysis for investors! Thank you for watching and listening. See you next week.