The Derivative

What should we make of the recent crypto crash?  A sign this is all a scam? Or just another dip in the cycle? Gather round; you're in for an interesting chat with the Church of the Flying Spaghetti Monster Disciple on Twitter @LDrogen. A Long Island surfer turned quant turned crypto fund manager who shows us how you have to be able to hold two separate thoughts in your head to succeed in the wild world of crypto. We're hanging ten and talking Crypto with Starkiller Capital's Leigh Drogen. In this episode, Jeff and Leigh bond over their love of skiing, the inception of Starkiller, how he's doing trend-following on a portfolio of coins with dynamic yield farming. Jeff gets Leigh to dive deep on the long list of warts in crypto: shadow banking, yield swaps, yolo trades, Ponzi schemes – but also wants to know what the real opportunities are. They then talk just how you can do trend following on assets so volatile, how you even start to go about doing due diligence in this space, and how to hedge the book. Plus, Leigh's in the hot seat giving us his views for preparing for the next 10x cycle — SEND IT! Chapters: 00:00-01:44 = Intro 01:45-10:50 = Big Wave Surfing, Skiiing & Montana scenery 10:51-31:45 = The Warts of Crypto: Shadow banking, Yield Swaps, Yolo trades & Ponzi schemes 31:46-43:19 = Trading the coins: Trend following in the Volatile Crypto space 43:20-58:02 = Hedging the book, Coin rewards & farming for extra yields and liquidity 58:03-01:09:57 = Managing Risk & Stepping into the pool with a hazmat suit 01:09:58-01:16:11 = Hottest take: Preparing for the next 10x cycle Follow along with Leigh on Twitter @LDrogen and @StarkillerCap and for more information visit www.starkiller.capital 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's guest may be new to Twitter (@nancy__davis), but she's certainly not new to the wide world of volatility in all its wonderous “fruit” forms, including of course rates and fixed income volatility. In this Derivative episode, Jeff sits down with one of the "100 Most Influential Women in U.S. Finance," Nancy Davis. Nancy, who started her career at Goldman Sachs, is the founder of Quadratic Capital, portfolio manager for the IVOL and BNDD ETFs, and a frequent finance commentator on Bloomberg and CNBC. In this engaging chat, Nancy is talking TIPS (inflation, duration exposure, plus real yields, and yield curve control), debit card vs credit card investing, why most bond investors are short mortgage calls, the purpose of IVOL, the day-to-day of running an ETF (the Vanguard of Convexity), a mother's love for options, what it takes to make it as a female in finance, why having a P&L is the key to meritocracy, and much more. Plus, we're playing two truths and a lie where we find out if she has a strong poker face or if that's just a reference to her doppelganger — SEND IT! Chapters: 00:00-01:29 = Intro 01:30-20:26 = Everything TIPS: a single inflation index, duration exposure, real yields & yield curve control 20:27-30:56 = Debit Card Investing: Risk Management budgets & Orders of Operation 30:57-47:31 = The Purpose of IVOL, Mortgage rates & Bond portfolios, & Rate Risk vs Spread risk 47:32-55:13 = Running an ETF: The Vanguard of Convexity 55:14-01:04:58 = Goldman’s not a Squid, A mothers love for Options & What it takes to make it 01:04:59-01:12:17 = Two Truths & a Lie: Gaga edition Follow Nancy on Twitter @nancy__davis and for more information on Quadratic Capital visit quadraticllc.com 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

In this week's episode, Jeff talks with StoneX's Global Macro Strategist, Vincent Deluard @VincentDeluard, who authors weekly research reports on global macro trends, asset flows, European capital markets, and quantitative topics. We catch him literally right after the Fed hikes 75bps, and learn quickly that Lagarde was an accomplished synchronized swimmer and that having a French accent sure helps selling “French” wine in China. But what about that Fed hike? Are we saved? Are we doomed?  Who’s got the cleanest dirty shirt in the global economy this time around? In this fun chat, Vincent talks about inflation, deflation, stagflation, and even some greenflation….but don’t insult him by saying he’s an economist. He’s a researcher, making calls and taking stands. We dig into his early inflation call, what different Inflation hedges look like, his unhappiness with Silver, commodity supercycles, the ticking corporate debt timebomb, a potential short squeeze to end all short squeezes in the Japanese Yen, and so much more! Vincent also gives us a hot take...that the real pain is yet to come?! Yikes..except he does it all with a smile and charm. SEND IT! Chapters: 00:00-01:50 = Intro 01:51-09:32 = Le Tour de France, selling fake French wine & a Live Fed report breakdown 09:33-22:20 = Inflation is here to stay, Stagflation, Deflation & why Japan is a sample size of 1 22:21-35:06 = You’re not Long a Fed Put, the Fed’s Short Gas Price Calls 35:07-50:29 = Inflation Hedges, Energy as the best driver & Commodity super cycles 50:30-57:43 = Companies aren’t going to be able to cover the debt service, joining Toxic blobs 57:44-01:17:23 = World Tour: Japan, Swiss Milkshakes, Norway, China, Brazil - & Pick your fighter 01:17:24-01:27:47 = Hottest Take: Real pain & a Second Leg Down Follow along with Vincent on Twitter @VincentDeluard and check out StoneX.com for more information.  Also, don't forget to check out Vincent's Global Macro reports and sign up for a free trial! 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

We're taking flight and zooming over to the big bend for a cheerio chat with Charlie McGarraugh, an ex-midwesterner turned londonite. Charlie is the Chief Strategy Officer at Blockchain.com and has an impressive resume as a former mortgage-backed securities trader, head of metals at Goldman, founder of an algo sports betting company, and more. In this episode, Charlie dives into living across the pond (in the metals and commodities space), starting the world's LARGEST Bitcoin wallet (and selling it to blockchain.com), what's going on in the Crypto space and what's to come, and rebuilding and retooling a robust trend following CTA like Altis. This episode is hotter than your favorite Fish'N'Chips — SEND IT! Chapters: 00:00-02:07 = Intro 02:08-16:26 = Is Goldman a Vampire Squid?  Living across the pond in the metals & commodities space 16:27-28:50 = Starting the world's largest Bitcoin wallet, selling to and joining Blockchain.com 28:51-46:22 = Crypto Carnage? What's going on in the Crypto space and what's to come 46:23-01:03:50 = Atlis: Rebuilding & Retooling a robust trend following CTA 01:03:51-01:08:08 = Hottest Take: Ether on the highs ---- Follow along with Charlie on Twitter @CMcgarraugh and for more information check out blockchain.com  Watch & Listen to Part II of What happens in Vegas... Gets dished on this pod. Overheard at a Derivatives Conference on the Mutiny Funds podcast and if you haven't yet, check out Part 1 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

Viva Las EQ Derivatives... This week Jeff journeys back to the Windy City from Sin City, where he is joined by a special guest, Mutiny's very own Jason Buck @JasonMutiny. In this episode, they give essential insight into this unique conference for options traders, hedge funds, and insurers. They break down everything you need to know about the event and key takeaways like what was being said, what wasn't said, and what caught their attention. Jason and Jeff dive into topics like; the vibes at EQD, Russian Energy, Commodity supercycles, Multi-Assets including Hedges/Risk Premia, Backtesting, Puts & Dips, the unknown (unknowns), the smartest guys in Vol, and so much more. But the fun doesn't end there...we're putting a part-2 to this discussion on Jason's Mutiny Investing Podcast! So go check it out on your favorite podcast platform, Apple, Spotify, whatever you got...SEND IT! Chapters: 00:00-01:50 = Intro 01:51-16:08 = Vegas Vibes, Russian Energy, "Greenflation", term structure, Carry, & Commodity super cycles 16:09-27:36 = Multi-Asset Hedges, Risk Premia, Back testing, Puts & Dips 27:37-48:04 = The Unknown Unknowns: Skew is crashing, global risks, sell-offs, inflation, & the smartest guys in long Vol 48:05-58:19 = Liquidity & the S&P Index, Dispersion, & the end game for Supply of Derivative tools Follow along with Jason on Twitter @JasonMutiny and @MutinyFunds and for information on Mutiny Funds visit mutinyfund.com Don't forget to subscribe to The Derivative, and follow us on Twitter @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

You're driving down the winding roads of Napa Valley, visiting the countless wineries, taking in the beautiful scenery, and enjoying the various pairings of meats, cheeses, and palate cleansers... But that’s not all that pairs well with wine. This week Anthony Zhang, an ambitious entrepreneur who created Vinovest, gives us the inside scoop on how wine is so much more than just those ‘soft’ descriptors, and can actually be considered an asset class. Even if Jeff asks… really? Is it really scalable and doable for large investors? It's no coincidence we're dropping this week's pod the day after National Wine Day. Grab yourself a glass of vino as Anthony aerates topics like; starting a company from a dorm room, getting paid to skip college, how wine gains value, why wine doesn't need a token for Crypto, coping with paraplegia, and his outlook ahead. Plus, he gives us an exclusive insight into finding a gem within the wine list. This episode will make you want to sip, savor, and repeat — enjoy! Chapters: 00:00-01:58 = Intro 01:59-17:46 = Side hustle turned startup, a Thiel Fellow & the Entrepreneur's Trap 17:47-30:16 = Vinovest: Wine as an Asset Class 30:17-41:12 = Supply Dilemmas, Moving the crop, Do/Don't Embrace Technology & How wine gets value 41:13-51:03 = Crypto? Why Wine doesn't need a Token 51:04-56:49 = Beating Paraplegia and how to interact with the handicapped 56:50-01:10:55 = What would you invest in: Assets vs Wine / Finding the gem in the wine list Follow Along with Anthony on Twitter @anthony_j_zhang and Vinovest @vinovest1 and check out vinovest.co for more information. Don't forget to subscribe to The Derivative, and follow us on Twitter @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 for part two with Noel Smith – where we dig into the types of options and volatility strategies, he employs for his Convex AM hedge fund.  For the background on why he’s worth listening to on that front, listen to Part 1 about marketing making on the CBOE floor, Getco, and more here: https://youtu.be/XCeN56HgT68 Noel’s deep options expertise has led Convex AM to a four pillars approach to volatility trading: Vol Arb, Dispersion, Risk Premium, and Bond Vol Arb. In this episode, you will learn ideas and best practices from a lifetime of professional trading and how the Convex AM team bundles these four pillars to offer them to outside investors. Noel also takes a deeper dive into the current macro environment we're in and how it impacts his trading (or should we say how he lets it affect his trading), option and market maker gamma hedging, what exactly is Bond Vol Arb, how to trade it and why it is in a portfolio, and more! Plus, we couldn't close out this two-part segment without a little fun. We ask Noel to play two truths and a lie. So, stay tuned to find out if Noel has done better in real estate or options trading, if he is actively working with Columbia University in their AI department developing their derivative model, and/or if he was the only market maker in the world on a few stocks. SEND IT. Chapters: 00:00-01:51 = Intro 01:52-05:25 = Constructing a Volatility Trading Program & Driving Your Own Car 05:26-16:52 = The 4 Pillars of Convex AM, providing real Alpha in Vol Arb 16:53-38:28 = The importance of Dispersion & Risk Premium 38:29-49:57 = What is Bond Vol Arb? / Term Structures & the Move Index 49:58-58:12 = Macro thoughts: Flow & Liquidity 58:13-01:08:01 = Two Truths & a Lie Follow along with Noel on Twitter @NoelConvex and for more information check out convexam.com Don't forget to subscribe to The Derivative, and follow us on Twitter @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 talking with the purveyors of one of the best performing mutual funds thus far in 2022, the dynamically shifting asset allocator, RDMIX (past performance is not necessarily indicative of future results). It hasn’t all been rainbows and lollipops, however, for the ReSolve Asset Management Global team of Rodrigo Gordillo and Mike Philbrick, and they explain why and when a core of Risk Parity should work, and exactly what is and isn’t a Risk Parity approach (hint: it’s not just levered stocks and bonds). In this episode, we're tackling topics like; does anyone actually use 60/40, The RDMIX 50/50 portfolio (50% Risk Parity/50% Alpha Strategies), ensembles of alpha sources, diversification of betas, and asset allocation in general, commodity trend following, return stacking and dispersion, and more. Plus, we're getting personal with Rodrigo and Mike (we even include Adam), and it's up to our host Jeff to decipher what is true and what is not. Chapters: 00:00-02:03 = Intro 02:04-20:19 = Does anyone actually use 60 /40?,  "TIPS", and inflation 20:20-30:25 = No, bonds aren’t the end of Risk Parity, Risk Parity isn’t just Stocks/Bonds 30:26-46:01 = RDMIX’s 50/50 portfolio = 50% in Risk Parity/50% in Alpha Strategies 46:02-01:00:53 = Ensembles, Diversification & Asset Allocation in RDMIX 01:00:54-01:16:13 = Commodity Trend Following, Return Stacking & Dispersion 01:16:14-01:24:54 = Three Truthful/not true, well... Manager "stories" from ReSolve From the Episode: Return Stacking Whitepaper  |   Lunch & Learn webinar with ReSolve Asset Management  |  ReSolve's Riffs Podcast Previous Podcasts: Researching the Risks of Return Stacking  |  Talking Asset Allocation, AI, and the Alpha process with Resolve  Follow along with Rodrigo Gordillo @RodGordilloP & Mike Philbrick @MikePhilbrick99 on Twitter and visit investresolve.com for more info Don't forget to subscribe to The Derivative, and follow us on Twitter @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, we're painting the picture of what life on Chicago's option trading floors was like at the CBOE...but there's a catch — we put it all on the table and needed two episodes! Today's guest came into asset management in a round-about way – trading his own money for decades before venturing into the world of other people's money…We're talking to the one and only Noel Smith @NoelConvex , Managing Partner and Chief Investment Officer of Convex Asset Management. In this two-parter, we're talking everything from the Pets.com and the Sears option pits to singing Janis Joplin's Mercedes song to a down and out trader, to steak dinners at Gibson's and a yacht on Lake Michigan. Along the way, Noel managed to fund the founding of electronic market maker Getco and create a prop firm spanning dozens of pits with 50 traders under him. How does market making in options really work, is gamma-driven delta hedging in option flow as important as FinTwit makes it out to be, and where did the floor trading edge go? It's all here. Chapters: 00:00-01:53 = Intro 01:54-09:05 = Lake Tahoe, Taxes & Thrill Seeking Sports 09:06-28:41 = In the old days, the computer was your brain 28:42-38:24 = Prop trading firms & the rise into High frequency trading 38:25-48-05 = Third Millennium, and Edge in the Quality of Information 48:06-58:14 = How GETCO came to be… Nearly Blowing Out Follow along with Noel Smith on Twitter @NoelConvex and for more information on Convex visit their website: https://www.convexam.com/ 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, we're adding another stamp to our Derivative passport and traveling to Zurich, Switzerland, as we talk to the Head of Systematic Solutions and Portfolio Construction at Sygnum Bank's Asset Management, Artur Sepp @ArturSepp — who specializes in crypto-assets and decentralized finance. Artur has led quantitative research at systematic trend-following hedge fund Quantica Capital, focusing on data-driven investment strategies and asset allocation in global managed futures. In this episode, we dig into his background to discover what it's like being a quant (not as much like TNG character Data as Jeff would like…) and discuss; coding, mathematical modeling, and why statistics matter (testing simple, yet complicated models), the framework of trend following (be sure to download our trend-following guide here), pros and cons of risk premia strategies, quants trying to figure out the short data sets in Crypto and more! Plus, find out where Artur would invest 1K, 1 MM, and 100MM in Crypto. Chapters: 00:00-01:44 = Intro 01:45-10:47 = Coding, Math, Data, Stats - Testing simple, yet complicated models 10:38-38:12 = Framework of Trend following: The Carry, When factors are identified & Why Trend following could fall flat 38:13-42:37 =  Pros & Cons of Risk Premia strategies 42:38-53:38 = Dynamic Trends in Option volumes & Is the VIX dangerous? 53:39-01:13:25 = Quants on Crypto 01:13:26-01:23:44 = What would you invest in? ---- From the Episode: Check out our podcast with Roy Niederhoffer - Making Market Music Follow Artur on Twitter at @ArturSepp and check out his Blog on Quantitative Investment Strategies 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