Resolve Riffs Investment Podcast

Today’s guest produces the Breakingthemarket blog, which exploded onto the scene in spring of last year, spewing shrapnel at traditional beliefs about investment objectives and portfolio construction. Borrowing key concepts from Ed Thorpe and the Ergodicity Economics community, Matt  - who would like to remain anonymous for now – builds portfolios that focus on maximizing geometric returns by combining uncorrelated investments with frequent rebalancing and appropriate exposure informed by the Kelly criteria. We dig into how Matt’s background in mechanical engineering informed his approach to the problem, why he thinks most investors are upside-down in their investment approach, and why his strategy of Geometric Rebalancing may be a compelling strategy for all markets. We dig deep into portfolio concepts like how he estimates returns and other portfolio inputs, the relative importance of errors in means and covariances, and how to manage portfolio exposures over time. We also discuss the principles of ergodicity economics and some broader implications for policy and the wealth distribution. I’d been looking forward to this for months and it did not disappoint.

This week we interview Andrew Miller, CIO of Miller Financial Management. Andrew’s passion is at the intersection of investment management and financial planning, and he has extremely novel perspectives on both domains. We trace Andrew’s background in structured credit and alternatives and map this experience to his current framework for thinking about diversification and sources of risk and return. We also discuss how Andrew’s views on diversification have evolved over time and how he thinks about factor strategies and alternative premia, including how he applied trend-following principles to factor exposures. Andrew spends a lot of time on engineering optimal asset location strategies and shared some compelling facts about how some fairly simple steps can improve expected returns by almost 1% per year.  It’s rare to find someone with deep theoretical and fundamental understanding of nuanced investment topics who has found very practical ways to deliver the potential value of these strategies to clients on the ground. There’s something here for everyone!

This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. Most pension plans and other institutional investors with long-term liabilities are faced with an enormous mismatch between the return assumptions in their actuarial models and the combination of sky-high equity valuations and rock-bottom bond yields. Some have chosen to address their funding gaps by adding leverage to their portfolios. Topics of this include: Different types of leverage – Implicit vs explicit, recourse vs non-recourse Hidden leverage in private investments Volatility targeting – pro-cyclical vs counter-cyclical Leverages towards concentrated vs diversified investments and market fragility The conversation was greatly enhanced by a series of questions from our friend Mike Green (Logica Capital) – who we hope will join us in the coming weeks. Special thanks to Mike and others that have participated with their questions. Keep them coming and see you next Friday.

This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. The recent pandemic-led selloff has once again highlighted the importance of having ballast in portfolios to deal with extreme equity volatility – and ultimately protect investors from disastrous outcomes. This week we discussed: Whether bonds can continue to provide protection given rock-bottom yields If gold will outshine other safe-haven assets in the current environment The tradeoffs between sovereigns and the shiny metal The current economic environment and the possibility of a paradigm shift The team also explored how both bonds and gold should fit into a risk parity framework where investors do not necessarily have to make a choice but can rather benefit from owning either one – or both – at the right time. Thanks for watching and see you next week.

Jason Buck is a founding partner of Mutiny Fund, an asset management firm with a vision to make high-quality tail hedging solutions available to a wider community of investors. Their fund aggregates managers with different tail-hedge styles, including options strategies, VIX relative value, and short-term trend traders to manage tails of all shapes and sizes. We cover: Why tail risk is best managed through the use of ensembles The so-called "Dragon Portfolio" as a risk-parity solution that adds an extra dimension of risk How to think about sizing tail-hedge strategies in portfolios How to make hay while the sun is shining while remaining positioned for a storm How to manage the behavioral challenges of strategic allocations to tail-risk strategies Jason brought a lot more to this discussion than just a pitch for tail hedges. It's clear he's thought deeply about the investment problem in general and has a clear vision about how tail hedge strategies can fit into a broader portfolio structure. You'll definitely want to check this one out.

Adam and Pierre focus their discussion on diversification as a combination of "diversity" and "balance". Diversity is about holding investments that are designed to thrive in very different market environments, and for different reasons. Balance has the objective of ensuring that investments are all able to express their unique personalities. Risk parity is the ultimate expression of diversification. Sadly, many investors are misguided about the concept, and focus on the wrong things. We drill to the heart of the idea and illuminate why a risk parity portfolio should be the starting place for most investors.

This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. We were joined this week by our friends Wes Gray (Alpha Architect) and Tobias Carlisle (Acquirers Funds) to discuss value investing, its prolonged winter and how it has fared in the current environment. This broad conversation includes: How value has historically outperformed growth, despite appearing to lag most of the time The mental – and emotional – fortitude required to stick with it during tough periods Active share – disaggregating value from broad equity beta Difference between harvesting Value in Long-Only vs Long-Short strategies Raw yields vs Excess yields Separating Value from Quality The group also compared different value metrics against portfolio turnover and capacity, their relative cheapness with respect to the market as well as versus themselves over time. Please enjoy this episode and join us live next week!

In this wide-ranging discussion, Logica's Mike Green describes a mosaic of ways to "seek out a straddle", and reveals new data and analysis to help flesh-out his thesis on the growing importance of systematic passive flows to U.S. stocks. Mike makes a persuasive and disturbing case for how a series of regulatory changes driven by economic and political objectives have corrupted the equilibrium and signaling mechanisms of modern markets, and offers a framework, with specific examples, on how to position for a market environment that few currently expect. Adam challenges Mike on a number of conjectures but Mike rises to the occasion with novel analysis and counter-intuitive interpretations bolstered by a variety of charts, tables, and illustrations. Trust us – this episode will challenge almost everyone's beliefs and is not to be missed.

This is “ReSolve’s Riffs” – live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. On our second episode, we invited our good friend Corey Hoffstein (Newfound Research) to analyze the roller-coaster experienced by equity investors in the past 3 months and discussed: the disconnect between the equity rally and the pain in the broader economy the companies and sectors that have led the charge how Trend signals in equities have evolved in the recent period how investors might position themselves going forward We also address the big question in most investors’ minds: should they jump back into the stock market and avoid additional FOMO or take this second chance to embrace a more diversified and adaptive approach? Watch – or listen – below and join us live next Friday!

Join us for our inaugural episode of the “ReSolve Riffs” series where the team will go live on Youtube every Friday at 3pm over cocktails to discuss topics that are in the immediate zeitgeist of the investment world. In this episode we cover the very heated tail protection debate. The team discusses the challenges with different types of tail protection implementations including: the difficulty in sourcing the right strategy the challenges of different fund structures, whether diversification alone is enough to manage tail risk and, the benefits of tail ensembles. We also cover the behavioural challenges at all levels of investor sophistication that make it so difficult to stick with tail protection as a strategic long-term allocation, and make a case for the type of investor that might benefit from these approaches. We hope you enjoy the episode and that you’ll join us to riff live with the team!