Live Q&A - Managed Futures Trend & Carry Flash Update
This in‐depth live Q&A features guests Corey Hoffstein, Chief Investment Officer of Newfound Research, and Adam Butler, CIO of ReSolve Global, alongside host Rodrigo Gordillo, President and Portfolio Manager of ReSolve Global. In this episode, the panel unpacks the current macro market shifts and their impact on managed futures strategies, discussing topics such as policy shocks, systematic trend and carry models, volatility, and historical market precedents.
Topics Discussed
• Global Macro Market Dynamics and Policy Shifts affecting asset classes across Europe, the U.S., and beyond
• The Cumulative Impact on Managed Futures and Systematic Strategies that span multiple asset classes
• Multi-Asset Carry Strategy Fundamentals, including yield extraction and financing differentials
• Trend Following Strategies under Volatile and Reversal Conditions in rapidly shifting markets
• Risk Adjustments and Portfolio Rebalancing Mechanisms as systematic models react to sudden market changes
• Historical Precedents: Lessons from events like the 1994 bond massacre and subsequent policy shocks
• The Interplay between Policy Announcements and Systematic Strategy Performance amid geopolitical surprises
• Advisory Perspectives and Long-Term Risk Management for communicating drawdowns and premiums to clients
Transcript
All right.
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:Looks like we are live,
ladies and gentlemen.
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:Thank you everybody.
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:And, uh, welcome to our live Q and A
and today we're planning on discussing
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:what is going on, broadly speaking
in the macro markets today, and the
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:impact specifically to the managed
future strategies of trend and carry.
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:And, um, yeah, I mean, if you
guys haven't heard of us already,
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:uh, my name's Rodrigo Gordillo.
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:President and Portfolio Manager at
Resolve Asset Management Global.
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:And today I'm joined with Corey
Hoffstein, Chief Investment Officer
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:of Newfound Research, along with
Adam Butler, CIO of Resolve Global.
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:And everybody here today are co-founders
of the Return Stacked ETFs and Return
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:Stack Portfolio Solutions Ventures.
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:So thanks gents for joining us today.
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:Uh, and we.
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:Turn this around quite quickly.
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:I know everybody's been hard at
work trying to get a handle on
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:what's going on in the markets
in the last few weeks and days.
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:Um, and, uh, I'd like you guys to help
us set the stage, uh, a little bit
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:on what's going on in the markets.
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:I mean, in the last few weeks, um,
we've had European regulation reforms,
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:the surprise German fiscal stimulus.
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:The Atlanta Feds negative Q1 GDP.
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:Now print.
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:Not to mention the tariff
battles, you know, between
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:Canada and Mexico and Europe.
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:Now we have systematic.
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:Now it, it, the, the reality is that
systematic managers that we are,
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:we generally don't talk about these
fundamental things very much, but I do
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:want to kind of pick your brain 'cause I
know we talk about it a lot internally.
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:What have been the biggest market moving
stories in the, in the recent weeks?
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:Corey Hoffstein: Hey Rod, I wanna, I
wanna point out, you said all that's
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:happened in the last couple weeks.
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:All that happened in the last three days.
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:Yeah, so I think, I think it's just
that every day feels like a week.
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:Look to me, the, these are
all big stories, right?
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:Tariff pressure leading
to a massive negative one.
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:Q, Q1 GDP forecast, print
is huge for the US economy.
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:These European regulatory reforms are
huge for European growth prospects,
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:but to me that, like the big one that
was a surprise and and feels like a, a
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:bazooka is the German fiscal stimulus.
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:For folks who, who haven't read about
it or, or looked into it, the proposed
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:fiscal stimulus is really focused on
infrastructure and defense spending.
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:In particular it, it allows
Germany to lift their budget cap
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:for any defense related spending.
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:And so the amount of fiscal
stimulus that it captures is
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:between 10 or 20% of Germany's GDP.
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:Right.
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:So to put that into context, that's
about how much the US unleashed as a
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:percent of GDP during covid, right?
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:When we shut down the economy,
we did a fiscal stimulus
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:package of 10 to 20% of our GDP.
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:Germany just went, let's do it.
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:Right.
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:And so you saw massive moves
in the German fund, right?
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:Uh, rates there jumped 30 bips, which
is the last time they jumped 30 bips was
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:again, during covid, during ex, you know,
expectations that, uh, the government
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:was gonna have to pay for this somehow.
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:You saw huge moves in, um, the German.
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:Uh, Dax, right?
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:The equity market, uh,
both up and down, right?
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:Uh, lots of volatility there, right?
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:And you saw moves in, in
the Euro versus the dollar.
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:And so I think in terms of like something
that had a true cross market impact, that
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:was just a, a huge one in the scope of it.
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:For Germany is just so
massive relative to their GDP.
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:It, it feels, and again, I feel like
we use the word unprecedented every
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:time something happens in the markets.
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:But, but for not having, uh, a
covid like economic shutdown to
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:just say we're unleashing 10 to
20% fiscal stimulus is, is huge.
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:People should be aware, appreciated.
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:I also appreci just one
comment real quick, Adam.
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:It's, it's not in effect yet.
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:The, I think the vote is March 24th.
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:So in terms of what markets are
trying to digest, there's also a
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:probabilistic reaction here and you
know, if markets overshoot that this
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:is gonna get implemented, you could
see a whipsaw effect in, in late March.
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:Adam Butler: Yeah, I actually,
just in terms of whipsaws.
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:I mean, this has been an
environment dominated by Whipsaws.
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:I remember coming into, February,
the tariffs were announced.
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:The currencies of the target
economies are decimated, which
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:was in the direction of carry.
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:It was in the direction
of the prevailing trend.
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:Started out being a
phenomenal day, February 1st.
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:And By the end of the day, it was,
announced effectively that, the tariffs
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:were not gonna come into effect, or
at least they were gonna be delayed.
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:There were options for target
countries actions they could take
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:in order to avoid this outcome.
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:So market is completely reversed and we've
seen these kinds of policy reversals over
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:and over, over the last few weeks, and
it is this strange binary outcome, right?
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:25% tariffs or on Canada and Mexico on top
of 20% across the board, tariffs to China.
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:That is a completely different global
world in 6 to 12 months than not
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:having those tariffs in place, right?
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:So investors are having
to sort of price in this,
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:double-headed this binary distribution,
where, you know, you've gotta price in
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:the probability of one or the other.
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:And it's not like it can be the
average of the two, it's gonna
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:be one or the other, and markets
are just vibrating between them.
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:Right?
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:Uh, just in terms of the, the, um,
uh, the size, the magnitude of this,
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:um, change in Europe, you know, uh,
legislation was put in place on the
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:formation of the European Monitoring
Union to enforce fiscal prudence, largely
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:driven by the Bundas Bank by Germany,
which, which is typically the most, uh.
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:Uh, austerity or fiscal prudence
oriented country and, and,
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:and governance, uh, structure.
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:Um, but it was applied broadly to
the Eurozone, broadly to the EMU.
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:And, um, those rules are
not easily overturned.
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:Some of them require
unanimous consent from all EMU
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:participants in order to to pass.
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:So, you know, while Germany has changed
their views, obviously, you know,
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:180 degrees over the last few days
even yet, we still need to, we, the
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:Scandinavian countries also need to
validate any major changes in rules.
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:Uh, it also takes a two thirds majority
to change the, the laws around the debt
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:break in Germany that would allow them to
engage in this level of fiscal expansion.
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:And keep in mind, this is 10
to 20 times the level of fiscal
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:expansion that is currently allowed
under Germany's debt break policy.
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:So it's not just that, you
know, the politicians have
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:announced their objectives or
their goals or what have you.
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:It is, there's, there's, you know,
the markets are saying there's a
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:reasonable probability that, that these
rules will get completely repealed or
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:substantially modified in the very near
future, which will unleash a completely
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:different economic environment in Europe.
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:And that's what's being priced here.
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:Rodrigo Gordillo: Yeah.
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:And, and I think, you know, talk
about unprecedented, you know, the,
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:the last time that the yields move
this quickly in Germany was:
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:So it's been a while since we've
seen a single day move like this.
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:And so I, I just wanna kind of
go through, 'cause we're gonna be
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:talking about systematic strategies.
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:Um, and you know, just as a
reminder, systematic strategies.
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:In, in the managed future space,
invest across all equity markets,
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:you know, or large swath of equity
markets, large swath of bond
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:markets, commodities and currencies.
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:And I just wanna, I'm gonna go take
some time to go through some of
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:the major ones so that we can get a
feel for what type of the magnitude
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:of moves in the last few days.
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:Um, and so why don't I
begin with currencies here.
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:You know, the US dollar is up 8%
against major markets from September
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:to, uh, 2024 to January, 2025.
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:Down 4% from mid-January
through to March, fall.
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:That's the type of whip
saw we're seeing, right?
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:That the German, sorry, the, uh,
the UK uh, currency is up 2.5%
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:and the euro is up 4% in the last three
days, representing a 99 percentile in 99.9
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:percentile three-day move.
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:Right.
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:Again, this is gonna be a, a
common theme as I go through these.
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:Adam Butler: Yeah.
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:So just, just to put that
in perspective, right.
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:A 99.9
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:percentile move is expected to happen
about once every thousand days.
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:Rodrigo Gordillo: Yeah.
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:And so when I move on here
to, what do we just do?
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:The currencies, German bonds,
we just talked about them.
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:A 3% move in the last three days.
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:That is a less than 0.1
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:percentile outcome.
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:Uh, gilts down 2% in the last three days.
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:A one percentile outcome equities.
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:The German stock market, uh, we
look at 25% increase since, uh, two
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:thousand, 2024 in the last two days.
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:It's been incredibly
volatile with a negative 3.5%
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:on March 4th and a positive five, 3.5%
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:on March 5th, right?
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:Again, talking about these Whipsaws
S and P 500 NAS and, and Nasdaq.
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:Strong trends in 2024, now negative
for the year in:
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:definitely kind of seeing some
short term shift in momentum, uh,
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:away from US equities and towards
European equities on the energy front.
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:We're looking at a very strongly
positive 10 to 20% moves across a
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:variety of contracts from the lows in
September,:
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:And the, the, um, Brent crude move
in the last three days of negative
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:5% is in the fifth percentile.
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:Most energies are now negative for
:
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:gas, which is, which is up quite a bit.
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:It's up 35%.
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:Um, all right.
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:Metals, trends in gold and other precious
als are generally strong from:
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:through 2024 at five, even, even to date.
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:Um, copper, this is the big winner here,
is up 15% year to date with a, that's
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:like a massive big one day 5% move.
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:That's a 99.5
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:percentile outcome.
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:Right.
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:And that's, uh, that's
due to the tariffs, right?
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:That, that we're announcing copper.
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:I know people knew that that's, that's
another announcement that has come,
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:you know, we focus so much on equity
markets, but, um, you know, we are,
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:Adam Butler: One can be excused for
missing, um, a policy announcement.
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:Amongst the, uh, barrage we've been, yeah.
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:Rodrigo Gordillo: And then in grains and
sauce, the big movers were coffee up 15 to
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:25% in cocoa, uh, down 30% year to date.
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:Okay.
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:So that's, those are the markets we're
dealing with, and that's the magnitude.
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:And again, focusing on how rare
these moves are, single day, three
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:day moves as we move, uh, into, uh.
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:Assessing what those broad
market impacts are to systematic
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:strategies like carry and trend.
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:Uh,
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:Adam Butler: I think it's important too
to remind people, like listeners, when you
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:talk about managed future strategies, many
people don't realize that we're allocating
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:to all of these different markets.
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:Like the reason why we're talking about
how cocoa and copper and the DAX and
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:the BUN and all these different markets
have been behaving is because these
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:are, uh, for the most part constituents
of managed futures portfolios, right?
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:So while typically investors' attention
is on what's going on in maybe in the
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:s and p or maybe some are watching
the US tenure rate, uh, and maybe the
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:dollar, you know, So, um, really need to
take a global multi asset perspective.
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:Rodrigo Gordillo: Yeah,
that's a good point.
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:So let's start talking about some
of these managed future strategies.
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:Let's start with carry,
um, multi-asset carry.
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:To be specific, not everyone is really as
familiar with carry as with multi-asset
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:carry models as they are with Trend.
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:So Adam, you literally, uh, recently wrote
a large white paper for Resolve on carry.
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:Can you give us a 30,000 foot review
as to how the strategy operates?
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:Adam Butler: It's not that
large or intimidating.
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:Definitely digestible and
approachable and worth reading.
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:Um, yeah, I mean there is a reason why we,
parenthetically call carry yield, right?
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:carry is the return you expect to get on
an investment if the price doesn't change.
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:I mean, you know, obviously.
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:We're used to in this environment
getting the vast majority of our
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:returns from changes in prices, right?
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:Stocks go up, indices go up, et cetera.
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:But there is another source
of returns and that is yield.
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:And in equities it's the dividend yield.
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:In bonds it's the coupons
that are paid, quarterly or,
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:bi-annually or annually on bonds.
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:In currencies, you can borrow in a
currency with low interest rates to
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:invest in the short term, government
bills of a, of a currency or a government
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:with higher interest rates, right?
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:So you can borrow it, say 1% in your,
in a domestic currency, and then invest.
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:Overseas in, a country that's yielding
2% and earn that 1% spread in currencies.
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:and then in commodities there's
also a yield, a convenience,
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:real yield, a roll down yield.
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:the idea in commodities being that,
the futures markets are helping to
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:ensure large investments by commodity
producers by giving them a price
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:today for their production, which
probably won't come online for many
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:years in the future, but by the
futures markets giving them a price.
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:Today, They're able to lock in
a much better financing rate on
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:building out those large projects
to, to build those, into production.
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:And, therefore their cost
of financing is lower.
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:the economics on these
projects are more attractive.
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:And so it's this win-win in
commodity markets, right?
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:So it's really just dividends on
equities, coupon payments, in bonds.
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:Interest rate differentials in currencies
and this insurance and convenience yield
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:in commodities that we are harvesting.
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:Again, the price doesn't really need
to change though in futures markets.
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:It ends up that the price changes
just in terms of how futures roll
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:up or roll down the curve coming
into the maturity of the contract.
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:But the simplest way to
think about it is just.
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:Picking up coupons or,
or picking up dividends.
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:Rodrigo Gordillo: Okay.
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:So, but let's talk a little bit about,
so that's the concept of carry, but
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:let's talk about the idea of those carry
measures as signals to try to predict
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:future price movement of these assets.
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:Adam Butler: Yeah.
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:So in general, you wanna be
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:Rodrigo Gordillo: flipping coupons in
front of a steam roll roller rather than
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:using it as, um, as a predictive measure.
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:Adam Butler: Sure.
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:The, the idea is that in general, you're,
you're gonna expect to get a higher
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:return from an asset with high carry,
you're gonna expect to get a negative
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:return from an asset with negative carry.
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:What is positive carry or negative carry?
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:Well, typically carry is whatever
the, the rate of return is above
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:the cost of financing, right?
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:So you need to borrow money in
order to purchase, uh, an asset.
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:So if the rate that you are borrowing at
is lower than the rate that you expect,
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:expect to get paid on, on that asset,
you're expecting to earn a positive carry.
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:So let's say this is actually not the
case in in many global equity markets
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:at the moment, but let's say that,
that the expected dividend yield on
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:an equity index is 5% and the current
interest rate that you would would need
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:to borrow at in order to invest in that
equity index, you only have to pay 2%.
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:Well, you would expect that, um,
you expect to earn about a 3%
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:premium over that, the duration
of holding that instrument, right?
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:If instead, as actually is the case
today, the dividend yield is, is
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:actually lower than the financing rate.
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:So let's say the dividend yield is 2%
and it costs four or 5% to finance it.
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:Well, actually, you probably want
to be short that, um, asset and
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:long cash effectively in order to
earn the, that differential, right?
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:And so in that way, what we sort
of, uh, assume or expect and what's
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:validated over decades of empirical
evidence is that markets tend to rise
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:in price to match the expected carry.
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:Right.
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:So if there's an expected 3% di uh,
difference between the cost of financing
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:and the coupon or dividend yield or what
have you that you're expected to get
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:paid, then the price will sort of rise
in order to deliver that 3% premium or
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:in the, in the case of being short, the
price will fall in order to deliver that,
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:that premium, and we're measuring that
premium, that carry premium every day,
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:and it changes every day depending on
changes in interest rate differentials or
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:the slope of the yield curve, et cetera.
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:Um, and we're adjusting every day
to try to get maximum exposure to
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:markets that appear to have the
highest expected carry and the largest
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:short exposure to markets that have
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:the greatest expected negative carry.
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:Corey Hoffstein: And so Rod, if, if I can
summarize it maybe in like one sentence.
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:Yeah.
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:Right.
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:Because I think what's important
here, when we talk to people
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:about carry strategies, they often
think about clipping coupons.
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:What's critical about a multi-asset
carry strategy is it's using carry
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:as a signal to try to forecast
the total returns of each market.
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:Rather than a strategy that's
trying to isolate and extract
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:the carry on its own right.
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:So just like trend use a trend signal
to go long and short markets and you're
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:trying to forecast the total return carry
strategies can do something similar.
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:Rodrigo Gordillo: Yep.
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:So let's then with that understanding,
um, if anybody wants to get something,
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:uh, a bit deeper, we've done a ton of
other, uh, videos and, uh, papers on
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:it and, and you can go return stack.com
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:and read some of the,
uh, blog posts in there.
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:But, uh, let's talk about what,
how carry has been affected
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:in this market environment.
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:So, broadly speaking, how were
multi-asset carry models, positioning,
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:positioned, entering this week.
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:Adam Butler: Yeah.
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:So keep in mind, right, just
think about the evolution of the
316
:economic environment since say 2020.
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:Right?
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:So we had this large stimulus from
Covid, um, that contributed to a
319
:surge in inflation, can argue about
what other factors contributed,
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:but surge in inflation we had.
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:The Fed raised rates aggressively
and therefore short-term yields
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:rose above long-term yields now,
that the yield curve is inverted.
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:So that when the yield curve is
inverted, you're actually getting
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:a lower expected, uh, return on the
10 year than you are on owning cash.
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:And so that implies from a
carry standpoint, that we
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:should be short bonds, right.
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:Indeed the carryr strategy was short bonds
for much of the:
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:And through much of 2024.
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:And then as the economy began to
cool, the Fed began to, and global
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:central banks began to, to talk
more dovishly about rates imply
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:rate cuts actually have rate cuts.
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:The curves have normalized and, and
in many parts of the world, um, are
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:now back to being upward sloping.
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:Right?
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:So.
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:Over the last six months or so,
our, our bond exposure and the
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:carry strategy has tended to be on
average more sort of long bonds.
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:Now, what happened?
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:And, and by the way, as a result too, um,
there were changes in currency markets as
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:different economies ob uh, experienced.
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:Changes in, or moderation in
inflation rates at different, um,
342
:rates over time or at different,
uh, speeds, let's call it over time.
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:And therefore, the currency markets,
um, changed in, in order to reflect
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:those changes in return expectations
and therefore changes in interest
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:rates, short term interest rates.
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:Right?
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:So now we come into the
most recent episode.
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:Um, the Trump administration
announces that.
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:America is no longer in a position
to continue to fund the Ukraine
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:war, to continue to support NATO
to the extent that they have.
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:Europe is gonna need to
stand on their own two feet.
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:Um, so-called strategic autonomy
that motivates this enormous,
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:basically overnight change in.
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:Both the public's perception of the
necessity of, uh, major fiscal spending,
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:uh, policies in, in, uh, Europe, and
changes to the legislation that would
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:be required in order to, uh, actually
operationalize those fiscal expansions.
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:So the market goes from perceiving
that Europe is kinda locked into
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:this low growth environment because
they've got all these regulations that
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:prevent major expansionary policies.
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:Overnight that's flipped on its head.
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:We're getting a massive expansion.
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:Therefore, nominal growth
expectations jump effectively
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:overnight in Europe and Glo.
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:Uh, European bond markets are
repriced higher in terms of rates,
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:um, in order to reflect these
higher nominal growth expectations.
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:So that was a, as Corey mentioned, a
highly irregular shock to both short and
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:long-term rates on, on European government
bonds to the tune of between 20 and
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:30 basis points, basically overnight.
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:And as we know, when interest
rates go up, bond prices go down.
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:So we're long bonds.
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:The carry strategy, because
carry the, the slope of the
372
:yield curve has been normalizing.
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:In general, we're expecting positive
returns over cash from holding bonds.
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:We get this kind of overnight rate shock.
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:Um.
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:That obviously is highly punitive and
that was the major explanatory variable
377
:in terms of why we experienced that
large, uh, negative return yesterday.
378
:Wasn't just that there were also
sort of secondary effects too, as the
379
:interest rates changed between Europe
and the us, there also was then that
380
:made the Euro more attractive as a
currency for, you know, uh, global
381
:savers to hold their savings in.
382
:So there was a flight from
US dollars into the Euro.
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:So the Euro rose.
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:We were also net short the Euro because
the interest rates in, in the US have
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:been structurally higher than in most
of the rest of the world over the
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:last, you know, uh, 12 to 18 months.
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:So we've been structurally long, the US
dollar and short uh, foreign currencies.
388
:So we were positioned, we were,
we were, uh, short the Euro.
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:Now the Euro kind of
crashes higher, right?
390
:So that was also at the
margin, a bit of a hit.
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:Add in the Trump tariffs, copper jumps,
meanwhile, copper, uh, is suggesting
392
:negative carry properties, so we were
short copper on the wrong side of that.
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:And oil is reflecting supply
demand dynamics where the, um,
394
:oil market is in backwardation.
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:So we're also offside a
major collapse in oil.
396
:So it was just a kind of a, a con,
a, a, a constellation of large
397
:surprises that went against the
prevailing tailwind that we normally
398
:expect to get on our carry positions.
399
:Rodrigo Gordillo: So that's,
um, that's very helpful.
400
:Thank you Adam.
401
:Um, I think a lot of people in the last
three days may be thinking, okay, this
402
:is the typical carry strategy that has
a, um, a negative tail risk, right?
403
:This idea of the young carry trade
going against you at the worst of times.
404
:Um, do you think that idea is
true here for a multi-asset carry.
405
:Um, what are your thoughts on, on this
concept of, of the, uh, picking up
406
:pennies in front of the steamroller
for, for carry, broadly speaking?
407
:Adam Butler: Well, I mean, if you look
back historically at, uh, recessions
408
:and, uh, the concept of kind of
a, a typical procyclical strategy.
409
:Pro cyclical meaning it does well
when the economy is in an upcycle
410
:and, and does poorly when, when looks
like we're falling into recession.
411
:So think sort of the reaction
function of global equities.
412
:Um, you just don't see it.
413
:So because we're trading all of these
different markets, we're trading
414
:global bonds, global currencies, global
commodities and global equity markets,
415
:um, you know, for example, we've been
sort of strategically short, uh, on
416
:average global equities for many months.
417
:Right.
418
:So, you know, if, if sadly equities
kind of didn't fall yesterday, right?
419
:Yeah.
420
:So we, that was also a strange situation.
421
:Um, equities are down today.
422
:The carry strategy is, is
benefiting from that, right?
423
:But, you know, this is not a,
uh, a procyclical type of hit
424
:on the carry strategy, right?
425
:If anything, it's, it's, we, the carry's
getting hit by a major growth shock.
426
:In the Euro zone, right?
427
:And if you look back historically, the the
carry strategy doesn't have any pattern.
428
:You know it if it happens to be
positioned in some bear markets.
429
:So that it's kind of long equities
or short rates that it can get hit
430
:for a time while equities get hit.
431
:But there are lots of times when
it runs in reverse and carry ends
432
:up being a wonderful diversifier
by rising substantially as
433
:equities fall in bear markets.
434
:So there's just no clear pattern.
435
:You know, I, I understand that many
people who've been around markets
436
:for 30 or 40 years kind of think of
carry as currency carry where you're
437
:borrowing in, say the yen or the dollar
to invest in the Mexican peso or the
438
:Brazilian real or what have you, to
pick up this interest rate differential
439
:against emerging market currencies.
440
:That is clearly a pro-cyclical strategy.
441
:It is in theory, it is empirically.
442
:You see them, you know, they get hit
when equity markets get hit, but because
443
:we're applying this concept to all
these different markets and sectors,
444
:theoretically, there's no reason
why it should have that profile and
445
:empirically we just don't observe it.
446
:Rodrigo Gordillo: Right?
447
:And, and, but let's, I think,
look, we've had a shock.
448
:We've had a macro shock in the last few
days, and we have seen periods where
449
:the carry strategy has been caught.
450
:Offite.
451
:Um, can we talk a little bit
about historical context?
452
:Where, where the strategy is positioned
against the policy shock, and then
453
:what happened and what happened after?
454
:Uh, give us, can we go through
some, some examples there?
455
:Adam Butler: Yeah, sure.
456
:I mean, think about
the:
457
:Uh, so Greenspan, he's,
he's newly in office.
458
:He wants to, um, set a
standard as a, a hard liner.
459
:Uh, so he, he enforces this very large,
uh, surprise interest rate raise.
460
:And, um, you know, that that was actually
the, the, until this period, the largest
461
:drawdown in the carry strategy, just
this unexpected major adjustment.
462
:To, uh, in that case rates, it was
rates again, this time that caused a,
463
:a material decline took kind of a, a, a
year or so to recover from those losses.
464
:Uh, equities and metals also
contributed to losses in that period.
465
:But eventually, you know, because the,
there's not, nothing changed about the
466
:long-term expectation of this premium.
467
:It went on to, uh, to new highs.
468
:There were, uh, steel tariffs
introduced in March of:
469
:The carry strategy was caught offside,
uh, some commodities in that year
470
:and, uh, and struggled for a couple
of of quarters, but actually ended
471
:up 20% on the year in 2016 to 2018.
472
:We also had, you'll remember the fed
tried some policy normalization during
473
:that period, and then markets kind
f had a temper tantrum in, in:
474
:2018 was a very rocky year.
475
:So when, at, at the beginning, when, when,
uh, central banks began this normalization
476
:policy and markets weren't expecting it,
we had another, um, substantial drawdown.
477
:There was also a round
of tariffs on China.
478
:So another sort of similar context
to the, the current situation.
479
:Um, so carry, carry experienced
about a 20% drawdown then, right?
480
:And there was also kind of a post pandemic
inflation while the market was digesting
481
:what the, um, how the Fed was going
to normalize rates after raising them.
482
:Then it's, it's been a kind of, a bit
of a sideways to down move, right?
483
:Uh, it obviously in all
of these prior periods.
484
:Things normalized and carry went
on to actually, um, in many cases
485
:and kind of on average to emerge
from these troughs with a surge of
486
:better than average performance.
487
:Rodrigo Gordillo: Yeah, that's what we've
seen across every one of these as the,
488
:uh, uh, very strong outsized recovery,
um, coming out of these situations.
489
:So that is important to understand here,
but, um, just going back to the last three
490
:days, uh, a lot of people are asking,
have there been any adjustments, um,
491
:made as a system adjusting in any way.
492
:Uh, can we talk a little bit about
how often a multi carry strategy
493
:described in your paper as, uh.
494
:Is adjusting and then how the adjustments
have happened in the last three days.
495
:Adam Butler: So we're looking at.
496
:The changes in the interest rate
differentials and the slope of the
497
:cash yield curve and the term structure
of commodity futures, et cetera.
498
:Uh, we're looking at that every
day and we're making adjustments
499
:to the portfolio every day.
500
:Um, and so yeah, there has been
at the margin, uh, some reduction
501
:in energy exposure, equity
markets, uh, metal exposures.
502
:There's been a marginal
reduction in European bonds.
503
:What's happened is, um, there's
been an obviously a, a, an increase
504
:in, in volatility, which at the
margin would expect a position to
505
:contract, but because the yield
curve has has steepened in Europe,
506
:also the expected carry has gone up.
507
:And so to some extent expectation
of, of higher future performance
508
:by holding European bonds has
offset the increase in volatility.
509
:So there hasn't been a, a very large
reduction in European bond exposure.
510
:There has been some at the margin, right.
511
:Um, there's actually been a small increase
in exposure to US bonds, but generally
512
:the exposures in carry tend to, uh,
to change a little bit more slowly.
513
:You know, major changes to things
like, um, uh, global yield curves,
514
:global currency, uh, differentials, et
cetera, tend to happen over a period
515
:of sort of several weeks and months.
516
:And so we expect the strategy
to adapt on those timeframes
517
:more than via overnight shocks.
518
:And if you look back on average,
over very short horizons
519
:after these types of shocks.
520
:That actually, that strategy has actually
paid off because you, you tend to see an
521
:overreaction in the very short term to
this type of shock or this type of news.
522
:The market then moderates
that reaction a little bit.
523
:So we tend to get back a
little bit of what we lost.
524
:And then once the market
stabilizes, the, the, um, carry
525
:signals have also stabilized.
526
:We've got a, a more, uh, a better reading
on the new regime that we're in, in terms
527
:of the carry portfolio, and we're better
positioned for what emerges going forward.
528
:Rodrigo Gordillo: Perfect.
529
:Okay, so that's, that's a very good
overview of, you know, carry, what's going
530
:on in carry, and, and how it's changing.
531
:Let's flip over to trend, uh,
following managed futures.
532
:Corey, maybe you can help us
out here get some, uh, better
533
:understanding of what's been going on.
534
:Um.
535
:Trend following strategies generally
succeed when they catch these very
536
:strong sustained moves and they tend
to struggle in these type of reversals
537
:that we've been talking about.
538
:So over the last three days, uh, why
don't you give us an overview of which
539
:markets have contributed the most and why.
540
:Corey Hoffstein: Yeah, and I think it's
always interesting to think about when you
541
:have these big reversals in some cases.
542
:In other cases it's been substantial
extensions of the trend are how much are
543
:those surprises really priced in versus
how much was the market predicting?
544
:And we, we can talk a little bit
about that, but just in terms of, you
545
:know, what we saw over the last couple
days, obviously gains in European
546
:equities were strong though volatile.
547
:And we've been overexposed to European
equities, largely underexposed to US
548
:equities as US equities have been flat
to negative over the last three months.
549
:We've been seeing a moderation of
that position while European equities
550
:have been very strong, plus 10 to 15%
depending on which market you look at.
551
:So we continue to see
positive trends there.
552
:we've been long metals,
gold, silver, copper.
553
:And continue to see strong trends there.
554
:Energy is one that we've been flat-ish,
and it depends on particularly where
555
:in the energy complex we've been.
556
:You know, we had some gains
in net gas that were offset
557
:by losses in, crude right.
558
:And, RBO gasoline.
559
:So, that's sort of a mixed
bag over the last couple days.
560
:Bonds, we've been short and so, while
we're down year to date on bonds, 'cause
561
:bonds have been a, I mean, bonds have
just been a struggling trade for the last.
562
:I don't know, call it 18 months
almost as they just get whipsaw
563
:back and forth by different, the
market digesting policy decisions
564
:and what's happening with inflation
and, economic impacts of tariffs.
565
:but we did get the benefit from
bonds and then probably the
566
:biggest loss was in currencies.
567
:Right?
568
:We have been predominantly long, the US
dollar, as you mentioned at the beginning,
569
:Rodrigo, the dollar as a basket was up.
570
:8% last year.
571
:It's not a surprise.
572
:We were long the dollar against a good
cross section of other G10 currencies.
573
:And then we had these very rapid
repricing, particularly in the British
574
:pound and the Euro that led to a, pretty
substantial, you know, one or two day
575
:loss, not, substantial in knocking the
whole portfolio off sides, but substantial
576
:in the size of that individual position.
577
:Rodrigo Gordillo: And so since these we've
seen extreme volatile moves here in the
578
:last few days, uh, have we seen any major
adjustments in positioning as a result?
579
:Corey Hoffstein: Yeah, and, and
when we think about, again, we're,
580
:evaluating trends every single day.
581
:When we think about trend following,
there's, two drivers for us.
582
:There's the volatility component where we
are volatility targeting these positions.
583
:So as volatility expands, we'll
naturally reduce the size long, will get
584
:less long, short will get less short.
585
:And if trends change materially,
right, that can change the direction
586
:or moderate how much exposure we have.
587
:So, again, with weakening US equity
and increased equity volatility,
588
:we've seen some of our equity
position to continue to come down.
589
:We've actually seen a marginal
increase in the metals as gold,
590
:silver, and copper continue to perform.
591
:We've seen a marginal
decrease in energies.
592
:trends continue to reverse
from popositive and somef them
593
:are showing as negative now.
594
:We have increased our short bond exposure.
595
:bond prices have been trending negatively
since around September last year, and,
596
:the trend continues and so we'll, press
the shorts there and, we've been reducing
597
:long US dollar exposure now reducing here.
598
:Right.
599
:I, think when we look at a couple
multi-day changes, you know,
600
:our bond exposure has jumped up.
601
:40%.
602
:Right?
603
:But it's, important to keep in mind
vol of a five year treasury is very
604
:different than vol of equities.
605
:Currencies have dropped, you
know, about 20 percentage points.
606
:But again, vol of the Euro is
very different than vol of equity.
607
:So on a, risk basis, there haven't
been really substantial changes
608
:from these last couple of days.
609
:But as markets continue to digest.
610
:The probability of these
things going into effect.
611
:That's where trends can emerge, right?
612
:I think that's a really
important point here is people
613
:often ask, why do trends exist?
614
:We talk about this one day change with the
German fiscal policy proposal that has to
615
:go to vote, and Adam talked about all the
potential risks of this going to vote.
616
:The market over the next month will
start to price in the probability
617
:of realizing that the first move was
just recognizing that it could occur,
618
:and then as it becomes more or less
likely, if it becomes less likely that
619
:those moves will likely revert as it
becomes more likely they might continue.
620
:And again, that's how those trends
can persist as markets price in the
621
:probability of, these bimodal events.
622
:Rodrigo Gordillo: Right.
623
:So let's talk about just the same thing
as, as carry, like historically we've
624
:seen similar geopolitical movements
affect trend in different ways.
625
:Um, what lessons from those kind of
past events can we apply to the price
626
:movement of managed future trend today?
627
:Corey Hoffstein: Yeah.
628
:Not surprisingly, it's actually a lot of
the same events that happened in Cary.
629
:We're trend events as well.
630
:Right?
631
:And it's because a lot of these events
that catch their carry or trend offside,
632
:it's not because trendy carry actually
historically are similar signals.
633
:They're actually quite dissimilar,
and that's what makes them
634
:such a great compliment.
635
:But it's because the policy or
market shift has been so against
636
:the prevailing expectation.
637
:That you get this sudden
reversal in these markets.
638
:So, you know, um, 1994, you know, again,
the interest rate, uh, event in 94
639
:with a massive unexpected rise in rates
caused trend to have a negative year.
640
:Steel tariffs in 2002, 2015 through 2018.
641
:Just a struggling period for
trend in general as it was.
642
:Sort of these ambiguous central bank
decisions around the world as to whether
643
:they were or were not gonna come off of
the, you know, zero interest rate policy.
644
:Um, you know, start and stop growth in
global economies in the early:
645
:again, causing, causing, uh, struggles
for a lot of, uh, trend strategies.
646
:And then.
647
:2021 to 2024.
648
:Obviously 2022 was a very strong
nd year, but then we had post:
649
:again trying to renormalize trends
to post pandemic inflation:
650
:particular, being very tough in bonds.
651
:I mean, I think the majority of losses
last year were in bonds, but we can
652
:highlight the move in the yen as well.
653
:Last year as being a big driver,
a sudden surprise, a big sudden
654
:policy surprise that went against
the prevailing positioning.
655
:The last thing I'll add there is.
656
:While some of these moves can go
against the prevailing positioning,
657
:right, the trend is your friend
until it ends, you can still net
658
:make money on trend following, even
if the end is a violent reversal.
659
:And if you look at a lot of trend
following p and l last year, the
660
:yen was a violent reversal in
August that caused a lot of pain.
661
:But the net p and l for the year
on the Y trade was still positive.
662
:'cause the performance was
tro so strong before that.
663
:And so some of these can be very
painful when they occur simultaneously.
664
:Trend actually hasn't really been
that bad over the last couple of days.
665
:No.
666
:Especially compared to carry.
667
:Um, but again, some of these things when
they are trend surprises can be painful,
668
:but you have to consider it in the
position, you know, in, in the context of
669
:the larger trend in p and l that you've
generated over the last six to 12 months.
670
:Rodrigo Gordillo: Yeah, and, and look,
I, I'm just reminded of '08 when I
671
:was a very heavy investor in trend.
672
:You know, we're talking about three
days and when Lehman happened,
673
:the volatility in trend was just
insane over those three days.
674
:And, um, it wasn't necessarily favorable.
675
:Again, this is, the thing about
all of these is that there's a,
676
:there's a period of adjustment.
677
:Um, and, uh, we saw it in
:
678
:That first leg, it just, the trend
happened to be positioned in the
679
:opposite of the prevailing trends.
680
:And so the first week or so, it had a
similar reaction to what was happening
681
:in global markets, but then it quickly
transitioned the other way, right?
682
:So the, the adaptability of
this is something to remember.
683
:But in any given day, you know, really
whether we're gonna be on the right
684
:or wrong side of a geopolitical move
will depend broadly on whether that
685
:geopolitical move is in the, in, in the
prevailing, uh, trends or against it.
686
:So, um, it, it, three days is not much.
687
:We gotta talk about it, we gotta put
it into context, but, um, but it, let's
688
:remember the big picture ultimately.
689
:So let's talk a little bit about just
kind of comparing this, uh, trend
690
:following and multi-asset carry.
691
:Um, you know, they're both
trading the same contracts.
692
:Um, what, uh, why do we have
those two different signals?
693
:And, and how did, how do they tend to
relate to each other, especially, um,
694
:when they react slightly different
to, uh, global macro events?
695
:Any, anybody grab that one?
696
:Adam Butler: I mean, they're
mechanically, they're similar.
697
:In so far as you know, we're,
we're, we're broadly trading
698
:the same universe of markets.
699
:Um, we're, we're broadly finding an
optimally diversified portfolio of those
700
:markets based on the trend and or carry
signals at, at the end of every day.
701
:Um, and, you know, they're,
they're systematic, right?
702
:And the other thing to recognize
that, that Corey has hinted at, um.
703
:Is that systematic strategies, at
least the ones that carry and and
704
:trend rely on, are relying on.
705
:Changes in prices.
706
:You know, for, for trend it's the
change in effectively the rolled front
707
:month, um, futures contract for carry.
708
:It's changes in the prices of, of
contracts along the, um, along the curve,
709
:the futures curve or along the spa curve.
710
:Um, but we're taking signals
from the market itself.
711
:So, you know, as, as market participants
are, are shifting capital away
712
:from one market and toward another
trend and carry are picking up
713
:on that, why do we rely on that?
714
:Well, it's because we do assume that
at the margin participants making
715
:decisions in markets on average.
716
:Reflect information, right?
717
:So we are picking up on the information
that the market is transmitting via its
718
:price movements and just by virtue of the
fact that these movements are basically
719
:impossible to decipher narratively or
using, using some kind of, uh, clinical.
720
:Framework, just in your mind, you
know, we are forming portfolios
721
:based on all these different signals
across 27 different markets, right?
722
:But it's all just reacting to or digesting
information that the market is giving us.
723
:So when the market is not doing a
very good job of adjusting because
724
:it is confused or uncertain, or
doesn't know what is likely to happen.
725
:These are the periods when our,
when the trend and carry strategies
726
:are most likely to suffer.
727
:And that's exactly what
we're seeing today.
728
:We're in a period of extreme
policy ambiguity, right?
729
:We won't always be in a period
of extreme policy ambiguity.
730
:Once that sort of settles out, either
the market will get used to the way
731
:that, for example, Trump communicates
and be able to, you know, read the tea
732
:leaves and, and anticipate what his true
intentions are and adjust towards that.
733
:Sort of over the intermediate term
or just, you know, Trump may get
734
:what he wants and therefore there
won't be the same number of these
735
:policy changes, um, happening.
736
:But at some point there will be, the
market will adapt to the new environment.
737
:There will be a new equilibrium,
and these strategies will continue
738
:to go on and do what they've always
done, which is just deliver on
739
:this nice, uncorrelated premium.
740
:Rodrigo Gordillo: So the, let's,
let's just kind of discuss,
741
:you know, the difference here
between market moves on headlines.
742
:Uh, just kind of wrap it up really,
you know, what are the strateg, the,
743
:the strategies operate on principles.
744
:And, uh, the question is whether
recent returns are a feature or a bug.
745
:Um, and so which is it like,
is this a feature or a bug?
746
:What we're seeing in these,
in these, um, two strategies?
747
:Corey Hoffstein: Yeah.
748
:Right.
749
:So we have these systematic strategies
that we talk about trying to harvest these
750
:premium that we believe exist, right?
751
:Trend following in carry.
752
:And we believe that there are,
particularly with carry, I think there's
753
:a very strong argument that there's,
that's tied to intrinsic risk premia that
754
:exists in the market carry of a trend.
755
:You might argue there's some risk
premia there, some behavioral right,
756
:but they can be caught off side by
these sudden market headline movements.
757
:And I, and I think that's just the
reality of any investment strategy.
758
:Certainly it's never fun for something
like a carry strategy to be down 5% in
759
:a day, or you know, 5% over three days
and four and a half percent in one day.
760
:Um, but we see that happen
in other markets, right?
761
:Not just alternative strategies.
762
:We see, we've seen that happen
in equity markets frequently.
763
:We've seen that happen in bond markets.
764
:Rarely over the last 20 years,
but it has happened right.
765
:And those sort of things happen
when there is a fund, the market is
766
:fundamentally repricing something
that it, it didn't get right.
767
:And a strategy can do the same thing
where the strategy can be offsides.
768
:Um, because again, in our case if
we're trend and, and carry relying
769
:on market derived signals, and those
market derived signals are just
770
:not capturing or didn't anticipate.
771
:These sudden rapid, in
this case, policy changes.
772
:So the reality is it,
it's a feature, right?
773
:The thing I always say is, if a strategy
becomes too easy to hold over the
774
:long run, everyone would hold it and
all the premium gets squeezed out.
775
:It's not a fun answer.
776
:It's a little flippant, frankly.
777
:But you know, I've said time and
time again, no pain, no premium.
778
:If we believe there's a risk premium
here that's different than equities
779
:and bonds it, we should expect it
to behave like equities and bonds.
780
:And no one really questions.
781
:Equities dropping by
5% over a couple days.
782
:It's happened.
783
:It'll happen again in the future.
784
:But when it happens in an alternative
strategies, the sudden question
785
:is, well, is the strategy broken?
786
:And I think a lot of that
just comes from a lack of
787
:transparency in these strategies.
788
:Going back to the beginning of this
call, we rattled off all these markets.
789
:That impacted carry, especially, right?
790
:Just carry, just fundamentally, this
week was on the on wrong side of three
791
:or four massive policy announcements
that came out of nowhere, right?
792
:You got the Canada Mexico tariffs, you
got the copper tariff, you have European
793
:deregulation, you have the German fiscal
policy announcement all happening in
794
:a two or three day period, and carry
was on the wrong side of all of those.
795
:And that un, that's unfortunate, but a
lot of people don't even realize when
796
:they're investing a strategy like this
because again, it changes over time.
797
:They might be long the Dax, long the
dollar, you know, long German bundts.
798
:That's where the beneficial
diversification comes in,
799
:hopefully over the long run.
800
:But that can, that can cut
in the short run as well.
801
:And so it is, I don't wanna say losses
are a feature, but losses are a reality.
802
:Rodrigo Gordillo: And, and so are, you
know, large positive gains that offset
803
:losses in your traditional portfolio
that, you know, we don't talk about much
804
:'cause everybody wants to focus on what,
what's, what's going quote unquote wrong.
805
:The wrong is the pain that
you're paying for that premium.
806
:Uh, one of the questions here was, you
know, this, the, the drawdown in carry
807
:has recently, recently been pretty large.
808
:Um, and you know, one of the biggest
challenges for advisors here is to
809
:help clients stick to strategies
through different market environments.
810
:And a, a good way to set expectations
here, and I, I bring this up over and
811
:over again, is, look, you're taking risk.
812
:You are taking risk in equities, you're
taking risk in bonds, you're taking risk
813
:in a carry strategy or trend strategy.
814
:A good rule of thumb for me
has always been, what, are my
815
:expectations of the best and worst?
816
:Let's focus on the worst year, right?
817
:So if you have a strategy like
the carry strategy that we discuss
818
:as a, on an average volatility of
standard deviation of around 10%.
819
:Well, I think the expectation here needs
to be that there will be a negative three
820
:standard deviation move in that strategy.
821
:It is broadly normally distributed.
822
:You need to expect those types of
moves to happen every so often.
823
:It happened back in 1994 during
the, bond massacre in 94.
824
:it happened, in the mid noughts and we're
seeing a little bit of it again today.
825
:And what's a three standard deviation
for a 10%, volatility, strategy, you
826
:know, assuming a sharpe ratio of 0.5?
827
:That's a 25% drawdown is a
three standard deviation, right?
828
:It's probably gonna go plus
or minus that at some point.
829
:that's the risk.
830
:That is the kind of the long-term risk
that you're gonna take in order to see
831
:it then in every case, it's rebounded
pretty aggressively from that bottom.
832
:And, you know, this is the
behavioral side that I think, you
833
:know, I want to bang the table on.
834
:This is where you might
want to start thinking about
835
:allocating if you have it, right?
836
:if, you believe that it's normally
distributed, you believe that it's,
837
:it's going to revert back to its mean.
838
:it might not be a bad idea to start
seriously thinking about allocating here.
839
:Um,
840
:Adam Butler: This is where
you earn your premium, right?
841
:So if you're gonna earn it, are you gonna
stick around and get paid for it, right?
842
:I, I also like to think about.
843
:With these trend and carry strategies,
I think it works for others as well.
844
:But the, I just bring it back
to middle school science.
845
:It's potential energy and kinetic energy.
846
:Kinetic energy is when you're
getting, when the bets that
847
:you're, making are paying off.
848
:Right?
849
:But in carry, you're building
potential, potential energy as,
850
:okay, you're, in bonds because
they've got high rates versus cash.
851
:Well, there's a loss on that position,
which means that rates just went up.
852
:So now you're, yeah, you just took a loss,
but your expected return is higher, right?
853
:And so you've, got this sort
of negative kinetic energy
854
:translating into potential energy.
855
:And so the potential return on the
portfolio, is probably considerably
856
:higher now because, you know, the, rate
differentials have, widened the, slope of
857
:the yield curve has steepened, et cetera.
858
:And so you just have to wait for this
potential energy to translate into
859
:kinetic energy once it's unleashed
in, you know, the next regime, right?
860
:Um, it really is just a waiting game.
861
:This is where you pay and
the payoff happens later.
862
:Rodrigo Gordillo: Yeah.
863
:Um, I mean, look, just to kind of wrap
things up, any parting words from any
864
:of you as to, you know, how to think,
how to kind of help advisors talk to
865
:clients with regard to this type of
environment with rapid policy shifts.
866
:Uh, we talked a little bit
about no pay, no premium.
867
:Any, any other thoughts?
868
:Adam Butler: Well, I, I have one thing
and somebody mentioned it about, you
869
:know, um, how much trend versus carry
would you recommend in, in a portfolio?
870
:Right.
871
:Um.
872
:And I mean, in general, we, we
have about the same expectation
873
:for both, at least I do.
874
:You know, I'm not sure whether
everyone would come down in the
875
:same exact place, but I think about
about the same expectation for both,
876
:especially over, you know, a five
or 10 or 20 year investment horizon.
877
:Um, I have about equal expectation.
878
:So, and what's great is that off,
you know, they're uncorrelated,
879
:they're reacting to different,
information at different times.
880
:So, you know, I always say you
should, if you own trend, you
881
:should 100% also own carry.
882
:They are, they're tremendously
good diversifiers for one another.
883
:They're, it's like having two eyes
and being able to, view things in 3D
884
:through binocular vision, you're, getting
information from the term structure.
885
:You're getting information from
price, momentum, and together
886
:it's just a really fine.
887
:well-crafted dish and the experience
of them together is just so much
888
:smoother and more palatable than
holding either of them on their own.
889
:Corey Hoffstein: Yeah, I mean, I, I
have a tremendous amount of sympathy
890
:for advisors who particularly
have line item sensitive clients.
891
:When any line item goes through
a big one day drawdown, you
892
:know, they've gotta field calls.
893
:Right.
894
:And that's, and you can't
rent conviction, right?
895
:So if an advisor isn't truly
understanding what this strategy is, I,
896
:I understand the desire to get out of it.
897
:And frankly, I felt the same way
yesterday looking, looking at our,
898
:you know, the carry strategy I have,
I, you know, we eat our own cooking.
899
:I have a substantial amount of,
my portfolio has a carry overlay.
900
:But to Adam's point, I also
have a trend overlay and I
901
:have other overlays that I add.
902
:I have a huge amount of overlay on
my core stock and bond position.
903
:Carry is just a slice and somehow
despite loss, substantial losses in
904
:carry yesterday, my PA was positive.
905
:Rodrigo Gordillo: Yeah.
906
:Corey Hoffstein: Right.
907
:And, and so I go back to.
908
:Even I have to check myself,
like I can become over line item
909
:focused, but at the portfolio
level, like diversification worked.
910
:You know, it wasn't fun to have that part
of the portfolio down, but there was other
911
:stuff that was substantially up that net
offset it because I wasn't so dramatically
912
:overweight that one particular trade.
913
:And so again, it is one risk
premium that we have high
914
:confidence in, but it's one of many.
915
:And it's one that is gonna operate well
or not well in different environments.
916
:The same way stocks and bonds operate
well and not well in other environments,
917
:trend may operate well and not well.
918
:And, for me, trying to market time or,
determine when these things do well
919
:or not, is totally, undermining the
potential benefits of diversification.
920
:And when you have diversification
across a huge swath of different
921
:strategies, the hurdle rate for
market timing just goes up so much.
922
:And so for me, I just go back to
those basic principles of do I have
923
:conviction in the strategy long term?
924
:Is it appropriately sized in my portfolio?
925
:Yesterday was a great test and for
me it was, you know, and what else do
926
:I have next to it that I do believe
is truly diversifying and, did it
927
:behave in a diversifying manner?
928
:And so I looked at my PA yesterday
and I said, it did exactly
929
:what I thought I would do.
930
:Rodrigo Gordillo: Yeah, and, and
again, I think what we've seen
931
:is that these strategies are
non-correlated to equities, bonds,
932
:and themselves in the last three days.
933
:And we've certain, like, look, an
another acute moment of pain for managed
934
:futures was during the SVB fiasco, right?
935
:The, the, um, Silicon Valley drop trend
had a, it was just caught really offside.
936
:Carry was not, it was
a non-event for carry.
937
:Slightly up, I think, during that period.
938
:Right.
939
:So again, it's, it, it,
it can be the opposite.
940
:Right now carry's struggling more than
trend, um, and that's what we've, what it
941
:is, it's, it's just, it's added diversity
across different areas of your portfolio.
942
:Um, and they all tend to have a positive
expected return, and we're gonna be in
943
:around that over time in different ways,
which is exactly what we're looking for.
944
:Okay, so with that, um, sorry
we weren't able to get into
945
:any fund specific content.
946
:Here we are, um, restricted from, uh,
speaking to, uh, with regard to the
947
:funds, due to regulatory restrictions,
but I, I hope that this was useful in
948
:providing some context on the macro
environment and the kind of managed
949
:future strategies that are out there.
950
:Um, if you do have any questions,
you can reach out to us directly,
951
:you can go to return stacked.com
952
:and go to the contact section
and talk to any one of our reps.
953
:If you want to go directly to
us we are on Twitter and pretty
954
:active there, or LinkedIn.
955
:These days.
956
:So look us up.
957
:Um, uh, Corey is Cho at choffstein.
958
:Adam is at Gestalt U and
I am at Rod Gordillo.
959
:P Um, all right.
960
:Any, any parting thoughts?
961
:Adam, I know you needed
to go 15 minutes ago.
962
:Thank you for sticking around.
963
:Thank you everybody for
sticking around this long.
964
:Really appreciate your, uh, time
today and, uh, looking forward to
965
:seeing you in our next live q and a.
966
:Adam Butler: Thanks.