FEATURED: Navigating Market Volatility - The Derivative by RCM Alternatives
In this episode, we’re joined by a powerhouse group of volatility experts consisting of Kevin Davitt, Wayne Himelsein, Jason Buck, and Bastian Bolesta – moderated by our very own Jeff Malec discussing Navigating Market Volatility. Providing more than just witty banter, you’ll be listening to us talk about how crazy volatility was during March/April, why the VIX is more than just for tail risk, is it too late for long volatility protection, why straddles & strangles, what everyone gets wrong about options, and the volatility landscape looking ahead. Follow along with our guests: • Kevin Davitt • Bastian Bolesta • Jason Buck • Wayne Himelsein
FEATURED: Logica's Wayne Himelsein - Preparing for the Return of Market Volatility
Wayne Himelsein explains why he believes that markets are not prepared for a likely “phase shift” from a low volatility world to one where volatility is dramatically more pronounced for an extended period of time.
Smarter Markets with Logica's Mike Green on Market Deficiencies
Logica's Mike Green explains why he and most of the smartest people in finance are in the business of exploiting and profiting from deficiencies of current markets, rather than fixing them. Mike explains why incentives don’t favor fixing what’s broken, and what we need to do to change the system and enable migration to a new generation of Smarter Markets.
What to listen for:
A smart contracts and ledger-based systems can improve transparency within the financial system, but the systems that are in place currently do not benefit from this transparency, creating a headwind for innovation in the technological infrastructure of financial markets.
The lower cost of capital combined with a "social contract" or acceptance of risk taking is rewarded by the system and becomes the "bug" in adopting new technologies that keep market participants accountable.
There is a cost associated with transparency, and until we accept this and are willing to pay for this collectively, we will find it difficult to build smarter financial markets to benefit society as a whole.
ReSolve Riffs with Logica's Wayne Himelsein on "Skew Baby"
The year that saw the fastest decline, followed by the steepest recovery in market history has left one topic top of mind for most investors – volatility. Though down from its eye-watering spike in the first quarter, the VIX (CBOE Volatility Index) has remained significantly higher than in previous years, and not without good reason. The ongoing pandemic, a bifurcated and fragile economic recovery, the most polarized US presidential election in living memory, continued geopolitical saber-rattling between China and the US, and the list goes on…
We had the pleasure of hosting one of the foremost volatility experts in the industry – Wayne Himelsein (President and CIO of Logica Advisors) – for a deeply insightful conversation that covered:
His background in the industry, and how he met and partnered with Mike Green
Why “absolute” doesn’t mean steady returns – the lumpy nature of positive convexity
Why Logica loves gamma and how to “scalp” it
Unknown unknowns, unrealized vol and protecting against events that are by definition, outside of your sample distribution
The difficulty in sizing a long-volatility strategy within a broader portfolio
Wayne also delved into his investment process in some detail, including how Logica measures and adapts to market phase-shifts. You should probably just stop what you’re doing and press play.
Betting Against Stability with Wayne Himelsein
Wayne Himelsein begun his career on a proprietary trading desk at Carlin Financial Group in the mid-90’s, doing statistical arbitrage—complimentary to his mathematical nature.
Come 1999, Wayne launched his first fund to begin managing money for clients and institutions. Then in 2011, Wayne founded Logica Capital Advisers, where he currently takes the role of Chief Investment Officer.
Logica, as a quantitative investment firm, relies on rigorous research to develop its various model-driven strategies. For the most part, these are mean expansion strategies that generate alpha from being long volatility.
Straddles, SVXY, and (Gamma) Scalping with Logica’s Mike Green
With a Top Gun-like bio of working with billionaires and big hedge funds, Michael Green is one of the top prospects in the alternative investment game. BUT, all we hear him talking about these days is his passive thesis, to the point where he jokes – that may end up on his tombstone one day. We’ve heard all that elsewhere, so wanted to get into more – like what he has going on at Logica, if he loves straddles as much as Wayne Himelsein, how he views the current volatility landscape, his killer SVXY trade, The Princess Bride, adding fragility into the market, the tail wagging the dog, Coit Tower, Twitter business partners, opportunity cost vs covering the bleed, Zoom due diligence, and Gamma scalping.
Logica's Michael Green Investing in the Upside Down from ReSolve Asset Management
In this wide-ranging discussion, Logica's Mike Green describes a mosaic of ways to "seek out a straddle", and reveals new data and analysis to help flesh-out his thesis on the growing importance of systematic passive flows to U.S. stocks.
Mike makes a persuasive and disturbing case for how a series of regulatory changes driven by economic and political objectives have corrupted the equilibrium and signaling mechanisms of modern markets, and offers a framework, with specific examples, on how to position for a market environment that few currently expect.
Adam challenges Mike on a number of conjectures but Mike rises to the occasion with novel analysis and counter-intuitive interpretations bolstered by a variety of charts, tables and illustrations.
Trust us – this episode will challenge almost everyone's beliefs and is not to be missed.
The Recovery: Shape Matters - Live with Raoul Pal & Logica's Mike Green
These are unprecedented times – entire countries have shut down, large portions of the global population are quarantined, business has come to a grinding halt, and markets are in disarray as they rally on hope and collapse on fear. With China showing the first signs of a return to relative normalcy and Europe seemingly making its way to the other side of the deadly curve, we are faced with one question: what will the shape of the recovery look like? Do we slide into oblivion from here (L)? Make a quick recovery (V)? Or go down a protracted road of pain and misery before seeing light (U)? To gain some clarity on what is possibly the single most important question of today, Raoul Pal, CEO & co-founder of Real Vision, joins chief strategist and portfolio manager at Logica Capital, Mike Green, to debate what the endgame looks like. Having expressed opposing views of life on the other side of COVID-19, this week’s Real Vision Live promises to shed light on the most important conversations taking place in capital markets right now.
Logica's Michael Green on Jim O'Shaughnessy's Infinite Loops Podcast
In this episode of Infinite Loops we spoke with Michael Green, Partner & Chief Strategist at Logica Capital Advisers. In a wide-ranging discussion that could have lasted the rest of the day, we covered:
The passive narrative, and its impact on market structure.
Vanguard and Blackrock’s lobbying efforts.
Target Date Funds and their increasing dominance.
COVID-19 and the government’s response.
The power of language.
Michael’s recent paper: Policy in a World of Pandemics, Social Media, and Passive Investing
Logica's Michael Green on Bloomberg's Odd Lots Podcast:
Why The Rise of Passive Investing Might Be Distorting The Market
Over the last decade or so, we've seen an incredible rise in so-called passive investing. While definitions differ over what this means, we've seen more and more money poured into index funds (which own every stock in a given basket). Meanwhile, money has been yanked away from money managers who attempt to select individual stocks. One school of thought argues that this is a positive, in part due to lower fees. But is there a dark side?
Wayne Himelsein: The Human Behind the Hedge Fund
On this episode we're covering the oddity of a volatility trader living somewhere where there is no volatility (in the weather), reading the world’s longest book, hoping this is the big one when your car is in midair, J-Curve the rapper, and overpaying by 1000% for out of the money options.
Michael Green: The Acquirer's Podcast - Passive Agro,
Shorting XIV, What's a Value Guy To Do?
Michael is a regular guest on Real Vision and his proprietary research into the shift from actively managed portfolios and investment funds to systematic passive investment strategies has been presented to the Federal Reserve, the BIS, the IMF and numerous other industry groups and associations. During the interview Michael provided some great insights into:
Passive Risks To The Market
Shorting The XIV
When Will Value Investing Recover
What Makes Chuck Royce Such A Phenomenal Investor
This Bull Market Is Different From Any Other
Warren Buffett Buying Index Funds
Baby Boomers And The Impact Of Mutual Fund Redemptions
What Caused The Recent Surge In Tesla