The Derivative

What was the short-lived SVB baking crisis all about?  Has it forced the Fed’s hand?  Are we done tightening? Lots of Macro questions so who better to dig into it with than the appropriately nicknamed Macro Alf. In this episode of The Derivative, we sit down with Alfonso Peccatiello, founder of The Macro Compass and owner of the wonderful Twitter handle @MacroAlf to discuss the challenges of generating alpha in a low-volatility environment.  Peccatiello shares his experience of working for ING Bank and managing the Treasury Department's investment portfolio, how regulatory forces have pushed the large players into what looks currently like the wrong investments. They explore the difficulty of generating more return by taking the same amount of risk, especially in a market where the last basis point of carry of risk premia available was the name of the game. Alfonso and Jeff also delve into the bond market's predictive ability (or maybe more fair to say inability) and its role in predicting the economy's future, the importance of risk management, and the blending of systematic and discretionary processes in making investment decisions. They emphasize the need to consider various factors when analyzing the bond market and interpreting its nuances, plus so much more! So sit back, relax, and get ready to learn valuable insights into investment and macro trading and the challenges faced in generating alpha in a low-volatility environment — SEND IT!  Chapters: 00:00-02:18 = Intro 02:19-14:54= It’s Alf! Regulatory schemes, Bond exposure, Macro volatility, & Quitting the bank 14:55-25:34= Real Estate: The largest asset class under pressure 25:35-35:38= The Macro Compass – Blending Risk appetite, Research & tools 35:39-50:39= The fall of SVB: regulations, funding & risk management & The Swiss Credit Suisse 50:40-01:02:48= Off the Radar: China & its reopening From the Episode: Fed Pricing chart Follow Alfonso on Twitter @MacroAlf and check out his research, podcasts, and more at ⁠TheMacroCompass.com and subscribe! Don't forget to subscribe to ⁠⁠The Derivative⁠⁠, follow us on Twitter at ⁠⁠@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

As investors and traders, we all strive for success in the markets. But what sets the best apart from the rest? According to Kapil Rastogi, the President and co-founder of PlusPlus Capital Management, it's all about having the right culture. Ranking among the best in the industry in RCM’s semi-annual rankings report for best risk control certainly doesn’t hurt either.   In this episode of The Derivative, Kapil shares his insights on a range of topics, including his personal journey to becoming an investor and trader, how compensation structure and successful backtesting can be at odds, and his unique approach to a behavioral approach to trading. He also delves into the importance of culture versus strategy, why most investors are asking the wrong questions, and how to identify a firm with the right culture. With a focus on the two components of success, strategy, and culture, Kapil highlights the significance of hiring the right people and fostering a positive culture. Kapil and Jeff also discuss the concept of skew and how it affects risk, the importance of minimizing drawdown, and how the recent bond volatility has played out in the markets. Through his experience and expertise, Kapil offers valuable insights into what it takes to succeed in the world of risk control. Tune in to learn more about the conscientious culture behind risk control — SEND IT! Chapters: 00:00-02:14 = Intro 02:15-11:47 = Getting started with Neiderhoffer & backtesting blunders 11:48-30:49 = Meticulous Backtesting, complex behavior models & why A.I. can’t replace intuition 30:50-47:40 = Culture vs Strategy: The five types of Culture 47:41-01:04:21 = Risk control, minimizing drawdown & a simple definition of skew 01:04:22-01:19:58 = A calculated response to the SVB events 01:19:59-01:18:41 = Sports vs Hedge funds: staying above your high water mark Check out Kapil on LinkedIn and visit pluspluscapital.com for more information on PlusPlus Capital Management Don't forget to subscribe to ⁠The Derivative⁠, follow us on Twitter at ⁠@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

When it comes to investing, there are countless strategies to choose from, each with its own set of pros and cons. One strategy that has stood the test of time is trend following, a technique that involves analyzing market trends and making trades based on those trends. Despite its proven track record, some investors remain skeptical about trend following, perhaps because they don't fully understand how it works or they've been burned in the past by unsuccessful trades. In this episode of The Derivative, Marty Bergin, CEO of DUNN Capital Management, discusses trend following's success and the impact of interest rates on other markets. He stresses the importance of diversifying portfolios by seeking uncorrelated markets and accepting losses as a crucial part of trend following. The episode also delves into Bergin's company's adaptive risk profile and different methods traders can use to adjust their risk profiles, providing valuable insights and predictions for the future. You won't want to miss these critical insights into trend following and predictions for the future. So what are you waiting for? SEND IT! Chapters: 00:00-01:51 = Intro 01:52-16:24 = RV Disaster Recovery, the History of DUNN, Bill Dunn & the System 16:25-30:23 = A long track record, an Adaptive risk profile, influences by interest rates & capturing the upside 30:24-36:47 = Good & Bad years: what’s the driver? & Vol targeting 36:48-50:33 = Investors & the impact on trend following 50:34-57:55 = Replication of products & new technology 57:56-01:03:51 = What’s the Future for Trend? For more information on Marty Bergin & DUNN Capital visit DUNNcapital.com  Don't forget to subscribe to The Derivative, follow us on Twitter at @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

WTF is “Gammageddon”?  What do 0DTE options have to do with it?  Should I be fearful? Should I be greedy? We’re getting into all of it in this episode where we dig into just what zero days to expiry (0DTE) options are, who’s trading these things, who’s on the other side, and why (and why not) any of it could matter to investors… to option traders…..to the VIX.  On the latest episode of Derivative, Jeff talks with Mike Green and Craig Peterson about what is really happening down in the options weeds as the industry’s newest product makes headlines. During the discussion, the trio covers a range of topics, including why quarterly options may be better than annual, weekly better than quarterly, and of course, daily better than weekly. They talk the decay of options, the participation of retail investors, the ins and outs of gamma hedging, and the similarities between selling calls and selling puts. They also explore the dynamics of gamma explosion and risks involved in trading something which expires before it clears (WTF indeed). So, sit back, relax, and tune in to WTF! GAMMAGEDDON? — SEND IT. Chapters: 00:00-01:30 = Intro 01:31-12:54 = Tier 1 Alpha, ODTE defined, are we barrelling towards Gammageddon? 12:55-26:15 = ODTE options: Who’s buying, who’s selling? & it’s exposure to risk 26:16-41:49 = Do ODTE options dilute the VIX, is it really broken? 41:50-51:41 = GEXs & Gamma: bring on the noise 51:42-01:03:22 = How does it all end? Comparisons of trading volumes 01:03:23-01:06:53 = Crypto Victory Lap? From the episode: Charts in order during episode  Previous episodes with Mike Green: Straddles, SVXY, and (GAMMA) Scalping with Logica’s Mike Green Hedge Funds vs ETFs, Passive vs Active, 70s Inflation vs now, & Commodities vs CTAs with Simplify’s Mike Green Follow along with Mike on Twitter @profplum99 and Tier1 Alpha @t1alpha Don't forget to subscribe to The Derivative, follow us on Twitter at @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

Grab your favorite trucker hat/baseball cap, and settle in for this episode where Jeff picks Meb Faber’s brain on everything from skiing to picking an investment advisor because they can get you on at Riviera Country Club.  We’ve got Meb Faber back on the show to nominally talk about trend following – but as often happens with Meb – we get into a bunch from global equity exposure, to market cap weighting, to Japan's dot-com bubble, de-globalization, investing in U.S. stocks, and the value of trend in a low-inflation environment. Meb and Jeff explore Meb’s first exposure to trend following (yes, it has a ski story attached) and discuss the optimal portfolio allocation to trend, and the problem with replicating private equity. They touch on passive investing, how to choose a trend-following fund, and the current state of the market. Plus listeners can gain insights into the ETF and RIA space, and speaking of space – hear about start-up investing in farmland and space — SEND IT. Chapters: 00:00-02:00 = Intro 02:01-12:50 = Skiing in Japan to global market cap weighting & Japan’s real estate bubble 12:51-27:46 = De-Globalization, Why everyone’s overinvested in U.S. stocks, Value/Trend and inflationary environments 27:47-47:30 = First exposure to Trend Following, what’s the optimal portfolio & the problem with a private equity replication strategy 47:31-59:58 = Passive investing, how do you choose a trend following fund & current state of the market 01:00:19-01:06:13 = What’s going on in the ETF & RIA space – where is it headed? 01:06:14-01:12:47 = Start-up investing – Farmland & Space 01:12:48-01:17:49 = Mebs’ Top Ski Spots From the Episode: The Case for Global Investing | Meb Faber asks: Why aren't more investors allocated to trend following?  |  Journey to 100x Guide to Trend Following whitepaper Follow along with Meb on Twitter @MebFaber and check out mebfaber.com, and his podcast The Meb Faber show. Don't forget to subscribe to The Derivative, follow us on Twitter at @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

We’re back this week bringing you the second half of our Miami event - sharing the open discussion and panel portion that focused on volatility as an asset class. The panel was quite the collective of talent, with Luke Rahbari, CEO of Equity Armor Investments, Zed Francis, CIO and co-founder of Convexitas, Rodrigo Gordillo, president of Resolve Asset Management and Jason Buck, CIO and co-founder of Mutiny Funds. In this packed VOL episode these four stir up an interesting discussion on volatility as an asset class, why we should care about volatility, and why it's necessary to have protection in your portfolios. How volatility comes in waves, and we need to be ready to react to its movements. Defining volatility vs risk, rebalancing your portfolio, offense + defense, low volatility, long volatility, these are just a few topics that are being dissected in this episode and it’s a conversation you don’t want to miss! Chapters: 00:00-01:43 = Intro 01:44-29:23= Volatility as an asset class, Why should we care, offense + defense, the world & diversification 29:24-43:02 = Defining Volatility vs risk, the importance of rebalancing your portfolio, & how volatility performed in 2022 43:03-01:02:08 = Role of players in the market, Options, Liquidity & Overlaying strategies for low Volatility 01:02:09-01:21:47= Key Q&A’s on Volatility Follow along with our panelists on Twitter @RodGordilloP, @jasoncbuck, @convexitas, & @luke_rahbari Don't forget to subscribe to The Derivative, follow us on Twitter at @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

We're back with a new episode of The Derivative, and this time we're talking all things trend-following, Miami, and volatility with Kevin Davitt from Nasdaq. This episode starts by clarifying some questions about trend-following strategies and sharing some quick thoughts on volatility in 2022. It was a unique year for trend following, with different sectors showing up at different times and overlapping, making for a much smoother experience than we've seen in the past. We also discuss the importance of embracing uncertainty, being proactive, and investing in relationships, as well as the common misconceptions around trend following and managed futures. If you're interested in learning more about trend following, managing volatility, and building relationships in the industry, be sure to give this episode a listen! Chapters: 00:00-01:47 = Intro 01:48-13:32 = Clearing up questions about Trend Following strategies & Quick thoughts on Volatility in 2022 13:33-43:55 = Embrace Uncertainty, Be Proactive & Invest in Relationships with Kevin Davitt Stay tuned for the panel discussion in Part II of this episode next week! Follow along with Kevin on Twitter @kpdavitt13 and check out his recent articles writing for Nasdaq, and for more information on Nasdaq visit nasdaq.com Don't forget to subscribe to The Derivative, follow us on Twitter at @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

Despite the market being down substantially this year, bouncing around inside of bear market territory, it's been a bit of a challenging year for long-vol traders. Simply put, the Vol spikes we’ve become accustomed to getting with a down market haven’t materialized as much.  While the retracement of vol on bounces higher in stocks has remained. it's hard not to think, "What is going on?!'  And that's why we're putting Wayne Himelsein, CIO at Logica, in the 'Vol' seat to share what he's witnessed in 2022. In our final episode of 2022, Jeff and Wayne delve into a variety of topics like; the lack of Vol sensitivity, contagion risks, and feedback loops, digging into Logica's straddle strategy, paying for long-term exposure, problems with machine learning, and is there enough data for machines and quants to work with when it comes to volatility? Tune in to see if this new Vol regime is our new normal — SEND IT! Chapters: 00:00-02:23 = Intro 02:24-05:28 = Sunny California from "the bunker" 05:29-27:00 = A difficult year for Long-Vol traders: Lack of sensitivity, contagion risks, feedback loops & is selling Vol protection 27:01-41:00 = Digging into Logica's strategy: Put spreads, Gamma Scalping & protecting what you're trying to protect 41:01-51:22 = Skew vs Distribution of Return: Panic events, debunking the signal & the skew price is lower than it used to be 51:23-01:00:21 = Is there enough data to cipher the VIX? / Problems with machine learning 01:00:22-01:12:03 = Seeking strength in the straddle 01:12:04-01:16:35 = Hottest take: Vol, there is no normal Other Derivative Episodes with Wayne: Wayne Himelsein: The Human Behind the Hedge Fund The Volvengers: Wayne Himelsein (Iron Man) & Mike Green (Captain America) on the derivative Follow along with Wayne on Twitter @WayneHimelsein and check out Logicafunds.com for more information 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. 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

This week on the Derivative we're doing it a little differently sharing our platforms with RCM's Agriculture podcast, The Hedged Edge. The Hedged Edge is back online with a guest who could be it's podcast's most important guest of all time. At a time when inflation is running rampant through the world economy, drought conditions are drying up our rivers, and the global supply of grain is scarce. We are tasked with the question, "what the hell is going on in logistics, and is there any relief in sight?"     To help address these questions and more, Jeff Eizenberg is joined today by a man that needs no introduction to most in the physical commodity sector – Woodson Dunavant with the Dunavant Logistics company based in Memphis, TN. Quick Links from the episode: For more information visit Dunavant.com, follow @Dunavant_LTL on Twitter, and check out their LinkedIn & Facebook. Direct questions for Woodson: woodson.dunavant@dunavant.com Subscribe to The Hedged Edge on your preferred platform, and follow them on Twitter @ag_rcm, LinkedIn, and Facebook. 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. 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

Jeff loves it when he sits across from someone who, like him, has been in the niche-managed futures part of the investment world for their entire career. There’s not all that many of them, and today's guest, Michael Harris(@mikeharris410) fits the bill. Michael's unique backstory began within the Sales and Product Development group at Morgan Stanley Managed Futures in 1997, continued as European trader and eventual President of managed futures behemoth Campbell & Co., overlapped with time on the board of the Managed Funds Association, and continues today where he currently resides as Quest Partner's President. Michael and Jeff talk about quantitatively positioning for long skew via short-term trading strategies and what set Quest apart to make him choose them to build on his impressive career. They also discuss a variety of topics like; the transition from the trading floor to the executive floor, what it was like in the good old days of managed futures, advice for funds that want to join the billion-dollar club, the macro risks in the world today, and so much more. Plus, we put Michael in the hot seat where he gives us his take on Crypto and digital assets — SEND IT! Chapters: 02:50-07:57 = Work/Life balance 07:58-28:31 = Exploring the CTA macro space, Dean Witter's MF dept, John Henry's Model & Algorithmic progression 28:32-34:33 = Campbell & Co, Growing your Billion dollar fund 34:34-47:38 = Portfolio protection, trend following, adding positive skew & short-term strategies 47:39-01:02:12 = Reacting faster & embracing trend with short-term models 01:02:13-01:10:21 = the MFA: Providing education & understanding 01:10:22-01:21:29 = Hottest take: Crypto & digital assets From the episode: Sign up for the Quest indicator book Quest's whitepapers & research Previous Derivative episode with Quest Partner's Nigol Koulajian RCM’s Trend Following Guide Follow Michael on Twitter @mikeharris410 and for more information on Quest Partners visit questpartnersllc.com  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 of 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.