Pellentesque aliquet nibh nec urna. What’s fascinating is not that which you would kind of expect. Michael has over 20 years as a portfolio manager, mainly in the global macro space. If you look at the payoff of our portfolio, it’s delivered this straddle. So if you don’t move X, there can be no explanation for Y. And if I actually show… I want to show two quick slides here. Michael joined Logica in January 2020 after serving as portfolio manager for Thiel Macro, LLC, an investment firm that manages the personal capital of Peter Thiel. You can also learn more about ReSolve’s approach to investing by going to our website and research blog at investresolve.com, where you will find over 200 articles that cover a wide array of important topics in the area of investing. Integer sagittis. What was so interesting was that the other feature that’s associated with low float is that you’ve relatively recently IPO’d, and so the correlation, the overlap in a Venn diagram sort of framework, of technology and insider ownership in the mid 1990s, morphed into a feature of the market that was exploited by the way the market itself was structured then in terms of mutual funds. It’s similar to the way you and I interact. Because one of the points that I would actually make is that if this idea is correct, that passive is actually driving a large component of it. 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. Ut scelerisque hendrerit tellus. And that’s not the time you want to try to figure out why your brakes aren’t working. Sed egestas, ante et vulputate volutpat, eros pede semper est, vitae luctus metus libero eu augue. If I take it to the extreme, and I say, “It’s a hundred percent volatility.” Then it becomes one times two times zero. This is the theory of what should be happening to alpha. The pool is very large. From a macro perspective, does it produce greater levels of disequilibrium? It’s in their political interest to perpetuate the current dynamic where the widely quoted indexes are perceived to continue to be moving higher and higher, because it presents a sense of false strength in the economy for which they get rewarded politically. It’s a form of market manipulation. They’ve typically been extremely sharp and recovered obscenely fast. 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. I have to deploy it. It’s intuitive to me the long thesis for the passive flows, but I’m not quite connecting to how this dynamic plays into the observation that the corrections in this market environment have had a very different character than corrections previously. Lorem ipsum dolor sit amet, consectetuer adipiscing elit. Prior to joining Thiel, he was Founder and Chief Investment Officer at Ice Farm Advisors, a discretionary macro fund seeded by Soros Fund Management. Prior to Thiel, Michael founded Ice Farm Capital, a discretionary global macro hedge fund seeded by Soros Family Management. So you were actually paying a premium for what you thought was a discounted product. There are a few players on the side, but they can spend money that nobody else can and they can have influence that nobody else can. Because the thesis relates to the fact that the stocks with the largest market caps will receive the largest flows. And we also in 2003, allowed stepped up participation in the aftermath of the 2000 crash, that facilitated people increasing their tax deferred savings in 401(k)s. And the QDIA was actually a really important limitation because many people, one of the big complaints about 401(k)s was that investors would often receive this benefit and have no idea what to do and so do nothing.

, that had been fixed by the Fed action, so they piled into cyclicals. I’m long the S&P, and I’ve either shorted a call option or more accurately, I’m long the fully funded future value of the S&P and treasury forum. The Fed began cutting interest rates in every situation in which asset prices fell. The Recovery: Shape Matters - Live with Raoul Pal & Logica's Mike Green. I think there’s extraordinary evidence that supports my thesis. Adam Butler:01:19:21Agreed, okay, well, listen, we’re up against 90 minutes here. He chose to do something very important, he modularized the up capture and the down capture components of that. And then everybody had to meet their margin requirements at the same time. Michael Green:00:21:00… of insider ownership at that point. Additionally, he manages the day-to-day analysis and management of the individual strategies and the portfolio as a whole. “How old are you, and when do you plan to retire?” And then chooses an asset allocation on that basis. Adam Butler:01:00:23Interesting. Yes. You get your alpha times zero, it’s just the intercept, or Y equals X in the equation. Is the marginal dollar going to have the same marginal impact on price? This work has applications in both cryptography and computer vision; development of clustering algorithms with variable metric functions. Adam Butler:01:20:04I’m sure that no one’s going to complain. So there’s all sorts of narratives. I’m assuming the market price is the correct price. Michael’s recent paper: Policy in a World of Pandemics, Social Media, and Passive Investing. So the reason that discount existed, the reason it was being priced that way is because the demand for insurance from insurance companies who themselves were attempting to reinsure their net worth and exposure, which is adversely effected by falling interest rates and adversely affected by the S&P. Phasellus hendrerit. Michael Green:01:03:39I don’t think that’s the case, but I do think that we need to be cognizant that the potential impact is far greater than anything we could have imagined. Michael Green:00:35:26Vangard’s expectations by 2023, 80% is going to be in some form of a target date fund in terms of the total market. Do you continue to see the same dynamic playing out in the current environment? And I jokingly referred to it as, Tesla’s not the only company that’s offering autopilot. Mauris nibh felis, adipiscing varius, adipiscing in, lacinia vel, tellus. And I want to thank Michael for sharing some new and novel charts and analysis.

So is the contention that there’s no plausible catalyst for this dynamic to stop and reverse and therefore, the tree grows to the sky? And so I guess one of the tests is insider ownership because that implies that the float as a proportion of the total number of shares outstanding is probably lower than average. Suspendisse ac urna. It has come down obviously very substantially over the last three or four weeks, but it’s got to be sensitive to the prevailing vega. The 401(k) was created to help corporations offer a benefit to their employees that didn’t establish the type of obligation, that a defined benefit plan did. Because 75 year olds don’t have target date funds. We talk about the penetration of passive as if it’s this uniform phenomenon. Dr. David Wihr Taylor, Ph.D. - Partner, Head of Research. Effectively what we’re doing is we’re driving a car that has no brakes, uphill.

Well, 2017 had the highest fraction of history, which the market didn’t move. I have to say that I was, and am, much more persuaded of his thesis than I was going in, than I expected to be coming out. Michael has been a student of markets and market structure, for nearly 30 years. They could be better businesses. The second thing that I would actually say about that though, is that when you’re sorting on that basis, you don’t actually have to do that because it’s just a mathematical construct. Logica Capital Advisers, LLC (“LCA”) is a registered investment adviser founded in 2011 by Wayne Himelsein and his team. Likewise, if the market rises a small amount, they find themselves more long the market, they need to sell futures, which pushes it back down. Once logged in, you will see the download link(s) and will be able to download the PDF document(s).

Passive is 43% of the market cap. It’s also one of the things… I should show this here. Adam Butler:01:17:17Is there any way to anticipate, or is this just, you are better off just implementing strategic positions that are prepared for this type of market environment, or are you able to use things like the GEX, for example, to analyze contemporaneous dealer gamma to determine whether or not you’re near these limits? Michael Green:01:02:43It’s going to accelerate. We introduced that this year and it’s working very well. The fact that it exists in a market cap or listed index means that it is eligible for inclusion.

And one of the most important things that that did was it forced you to disclose, if you planned on using any form of leverage. Again, it becomes one of these features, just like the correlation.

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