mike green logica capital passive investing

November 5, 2020 No comments exist

Thanks again and see you next time. Logica's Michael Green on Jim O'Shaughnessy's, Why The Rise of Passive Investing Might Be Distorting The Market. Michael Green:00:24:47So we actually have absolutely seen the correlations rise significantly. In today’s episode, we are joined by Michael Green, of Logica Capital advisors. This work has applications in both cryptography and computer vision; development of clustering algorithms with variable metric functions. 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. So maybe I’ll go back toward the direction of your primary thesis around this idea of passive flows and of passive oriented market, or how that changes the structure of how we should think about capital market expectations, what the potential upside is on a market, given that things have become completely disconnected, or to a great extent disconnected, from fundamentals, but I’m probably getting ahead of myself. Michael Green:00:52:35I would rephrase it slightly differently. 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. He began his career in New York City in 1995,  as a proprietary trader at the Carlin Financial Group (acquired by RBC Capital Markets). And that’s not the time you want to try to figure out why your brakes aren’t working. I’m not sure where he is now. Vivamus a mauris eget arcu gravida tristique. Adam Butler:00:42:00To what extent does, or how should we think about global capital market expectations? High vol leads to an increase in what’s called vol drag, and that in turn creates a drag on momentum components. Michael Green:01:19:00It becomes a tool in a toolbox, but we all know the dynamics of market timing are really hard. In this Special Episode of Hidden Forces, Demetri Kofinas speaks with Chief Strategist & Portfolio Manager at Logica Capital Advisers, Mike Green, who returns to Hidden Forces for a timely conversation about the recent market melt-down, the fundamental economic and political impacts of coronavirus, and prospects for a stimulus-driven melt-up that may bring about the greatest bout of inflation in more than a generation. This is completely crazy, because what you’re telling me is I know exactly what you’re going to own and exactly what you’re going to buy and sell based on the rules of construction. In the current market environment, investors are getting paid to own optionality. And so there are a couple of different vectors that are quite unfortunate that have been built in since the 1950s and they’ve now become basically the orthodox description of how markets work, which any participant knows are actually untrue. Examples of his work include: Applications of simulated annealing to tomographic image reconstruction of the Earth’s magnetosphere from multi-satellite measurements; explicit computation of invariant polynomials for the action of symmetry groups in both geometric and arithmetic settings. . All with the goal of helping you reach excellence. Demetri Kofinas speaks with investor Mike Green about the substance of his conversations with regulators and industry stakeholders concerning the growth of passive investing and the clear and present danger that he feels these strategies pose to the stability and viability of global capital markets. One, is in terms of the overlooked goldmine, and the other is in terms of how to structure a tail hedge strategy. I left Canyon in 2014 to launch a hedge fund called Ice Farm Capital which was backed by Soros. And I think for me, that’s one of the most interesting dynamics. How should stock pickers think about this in terms of the characteristics of stocks that are likely to outperform? And this is looking at exactly that question saying how the markets work. 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. “How old are you, and when do you plan to retire?” And then chooses an asset allocation on that basis. Nullam quis massa sit amet nibh viverra malesuada. It’s just, seniors have to eat that food, eat that money, or use it to pay their mortgages or anything else. This document is intended exclusively for Canadian resident accredited investors as defined in National Instrument 45-106 – Prospectus Exemptions. And again, going back into the memory banks, what I remember was in the mid 1990s, there was this phenomenon where companies that had high levels of insider ownership outperformed. He is a member of both the investment and the risk committees. What you were actually capturing was exactly this phenomenon. Michael has over 20 years as a portfolio manager, mainly in the global macro space. Which stocks are going to underperform? Or am I missing a mechanism there? Following his success there, Wayne launched his first hedge fund in 1999, and went on to manage money for private clients and major institutions such as Hyundai Securities and Millennium. Throughout his career, Erik has capitalized on his ability to understand complex systems and anticipate paradigm shifts far in advance of the mainstream. Because if you’ve lived through that whole time period, you realized that in 2004, there was a change where the market shifted to market cap weighted and away from market cap weighted to float weighted. Make a quick recovery (V)? Remove that hidden liability from their balance sheets, and basically put it onto the backs of the employees. 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. Newfound/ReSolve Global Robust Equity Momentum Index vía StrategyShares (US), Adaptive Asset Allocation vía Rational Funds (US), Newfound/ReSolve Robust Equity Momentum Index (Ticker: NRROMOT). That type of quantitative analysis, go ahead and describe it as quant light, where you’re effectively looking at the alligator jaws separating, they inevitably have to recover. 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? If your head isn't spinning after this remarkable conversation, then that sure as hell isn't Mike's fault... 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. Previously, Patrick worked as a quantitative analyst for Himelsein Mandel Fund Management building models for the evaluation of inefficiencies for investment opportunities, valuation of the fund’s assets, creation of discounted cash flow analyses, and implementation of various risk related stress tests utilizing Monte Carlo methods and scenario analyses. the acquisition or disposition of business units from a strategic corporate planning standpoint. The depth of the order book does not scale exponentially with market cap. Trust us – this episode will challenge almost everyone’s beliefs and is not to be missed. Adam Butler:00:40:33Yeah, it just complicates the story a little bit. You get your alpha times zero, it’s just the intercept, or Y equals X in the equation. 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. Obviously. Likewise, a value portfolio can be thought of as saying, “Hey, if a company does really badly and it’s price falls a lot, and I’ll buy it from you.” What you’ve done is, you’ve sold somebody a put. 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. Passive is 95% of the market cap for those under the age of 40. And so for me, a lot of this, actually, it was predicated on some work that was done when I was running Ice Farm. For Product Specific Information Contact. Passive is 43% of the market cap. it presents a sense of false strength in the economy for which they get rewarded politically. That would be great. Wayne was one of those individuals who spent a lot of time talking about the theory and the philosophy behind trading and how to think about the dynamics of optionality, and it was clear to me that he knew what he was talking about. I was fortunate that I only had about six months left of the dotcom cycle, otherwise, I’m not sure I would have survived. If we could all time as perfectly as David Tepper or other players who have shown a capability to do this, then we wouldn’t be having this discussion. You must not pass on any information contained in the document to third parties unless such disclosure is permitted by applicable local law and regulation.

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