Building the Ultimate Anti-Fragile Portfolio

Published on
June 2nd, 2020
Duration
59 minutes

The Electrodollar: Venture Capitalism, Technology, and Silicon Valley


Building the Ultimate Anti-Fragile Portfolio

The Interview ·
Featuring Wayne Himelsein and Michael Green

Published on: June 2nd, 2020 • Duration: 59 minutes

Wayne Himelsein, CIO of Logica Advisors, joins his partner and Real Vision favorite, Mike Green, to discuss investing through market paradigm shifts and how they design their investment strategy to take advantage of their unique combination of quantitative and qualitative expertise. Himelsein and Green break down the power of non-recourse leverage, how Logica takes advantage of opportunities in the options markets, and their use of anti-momentum strategies after market shocks. They also share their perspective on collaborative investing, the dynamic between catalysts and mean reversion, and the post-COVID-19 market structure. Filmed on May 27, 2020.

Comments

Transcript

  • JL
    John L.
    5 June 2020 @ 05:44
    Technology is the new value and it was always been. Ask what was ATT, Railroads few decades ago. These Tech companies have the best balance sheet with lesser operating leverage.
    • MK
      Martin K.
      16 August 2020 @ 15:29
      Always is a big word
  • MG
    Matthew G.
    9 July 2020 @ 04:15
    What’s the minimum amount required to invest in Mike’s fund?!?!?
  • RP
    Ryan P.
    12 June 2020 @ 15:51
    Did mike photo shop himself in front of books? Looks so odd haha
  • DM
    Don M.
    9 June 2020 @ 16:08
    I now know how great these two are. They let me know.
  • PE
    Paul E.
    8 June 2020 @ 18:42
    Excellent, worth every minute! Thanks!
  • RR
    Robert R.
    8 June 2020 @ 18:16
    Ever get stuck as a third wheel with two people who only talk via inside jokes, and act like nobody else is there...what in the hell are these two guys talking about? I thought this was finance...is this a dungeons and dragons fantasy league team they are running?
  • DW
    Derek W.
    8 June 2020 @ 00:19
    This guy kills me. Instead of interviewing, he just wants to talk about himself. Ugh
    • MC
      Mike C.
      8 June 2020 @ 17:42
      One of the best blowhards on Twitter!
  • PH
    Pompeu H.
    7 June 2020 @ 12:20
    Great conversation. Thanks!
  • CR
    Carl R.
    7 June 2020 @ 08:50
    One of the main reasons I joined RV was to access Mike Green's interviews. Thoroughly enjoyed this one.
  • jg
    john g.
    6 June 2020 @ 04:52
    Looks like I'm a minority opinion. If a podcast does not feed me one tangible new thought, it's a bust. Here we have a self-described value investor and a momentum trader. They discuss their strategies going in and out of vogue, and their tools either working or failing. I found no takeaway here. Sorry.
    • DH
      Dale H.
      7 June 2020 @ 06:00
      Since these guys are so successful, can they spend a little money on improving their audio systems? I feel like I'm listening to Edward R Murrow radio broadcasts out of 1940 London.
  • CR
    Colin R.
    4 June 2020 @ 17:34
    Sorry to be so basic - But what defines Mike as a "Value Investor"? In my thoughts is.... Isn't every investor or speculator seeking value?
    • MT
      Mike T.
      6 June 2020 @ 08:40
      Value? No not always, I prefer to look for price movement.
  • FN
    Frans N.
    5 June 2020 @ 11:57
    Brilliant. RV at its finest.
  • VG
    Viktor G.
    5 June 2020 @ 08:00
    A very interesting conversation! Please get a new headset for better sound :)
  • JN
    Jeffrey N.
    5 June 2020 @ 06:09
    I often use index and single stock options to hedge my advisory client portfolios. The concept of using at the money versus way out of the money is interesting. How can the higher cost be digested though? I can only by the selected application of a hedge and reduced sizing.
  • KD
    Kenny D.
    5 June 2020 @ 00:15
    What is Mike's Twitter. ? I have been searching to follow this genius for a while and can't find it anywhere
    • KD
      Kieran D.
      5 June 2020 @ 05:34
      https://twitter.com/profplum99
  • KD
    Kenny D.
    5 June 2020 @ 00:15
    What is Mike's Twitter. ? I have been searching to follow this genius for a while and can't find it anywhere
    • JA
      Jose A.
      5 June 2020 @ 02:07
      profplum99
  • RR
    Ramon R.
    5 June 2020 @ 01:52
    I really enjoyed it. Thank you Mike and Wayne. Liked the options mental models discussed like the hurdle and smile.
  • DH
    Daniel H.
    4 June 2020 @ 16:27
    extremely interesting and thought provoking - I look forward to the next update interview!
  • RM
    Russell M.
    4 June 2020 @ 14:22
    Very, very interesting. Their stories about experiences in trading struck a sympathetic cord with things I experienced. Like their approach, just don't look for patters, look for why they occur. Causation, not correlation.
  • SS
    Shanthi S.
    4 June 2020 @ 11:55
    More please. :) This was excellent. Can you guys make it a regular thing?
  • mr
    martyn r.
    2 June 2020 @ 10:08
    fuck I get excited when I see Mike Green's thumbnail
    • SS
      Shanthi S.
      4 June 2020 @ 11:52
      Me too. He’s the best!
  • JG
    Jesse G.
    4 June 2020 @ 04:25
    Excellent interview. Love the juxtaposition between a quantitative framework and a qualitative one. Please do again.
  • CH
    Connor H.
    4 June 2020 @ 02:50
    I found this interesting and enjoyable. Some of Mike's interviews can be quite esoteric and hard to access until actually for someone who is not in finance as a profession. This was relatively comprehensible and relevant.
  • WA
    Wissam A.
    2 June 2020 @ 08:05
    Mike Green when are you going to interview Nassim Nicholas Taleb?
    • SP
      Saxon P.
      2 June 2020 @ 08:45
      Would love to see that!
    • TR
      Tobias R.
      2 June 2020 @ 10:13
      That would be amazing (and interesting dynamics, Mike being so clear spoken, Taleb needing a bit of reeling in to make his thoughts clear for his audience)
    • MC
      Mike C.
      2 June 2020 @ 11:15
      I suspect Taleb will agree if Mike reveals what's in his portfolio, otherwise lot's of this chatter doesn't hold much merit.
    • NG
      Nikita G.
      2 June 2020 @ 12:59
      Based on what I saw on Twitter, Mike reached out to Nassim some time ago, and for whatever reason Nassim blocked him (which seems to be his thing overall).
    • MG
      Michael G. | Contributor
      2 June 2020 @ 18:12
      Nikita G nailed it. Reached out and apparently the enthusiasm of the FinTwit response was enough for Taleb to block me. He's a weird guy.
    • SS
      S S.
      2 June 2020 @ 19:28
      I don't understand why he blocked you on Twitter. Plan B blocked me and I've never interacted with him in my life. Never sent him a tweet or responded to a tweet of his or anything. Some very weird people out there.
    • BK
      Brian K.
      3 June 2020 @ 14:16
      whats mike greens twitter handle
    • AP
      Ash P.
      4 June 2020 @ 01:45
      I'd watch it knowing that I was guaranteed disappointment. As eloquent on paper as he is unlistenable; best consumed on paper. I would however love to hear Mike talk to Dan Rasmussen - and right bloody quickly.
  • OM
    Owen M.
    3 June 2020 @ 22:40
    One of the best interviews of this series. Mikey G always kills it! Thank you all.
  • GA
    Gustavo A.
    3 June 2020 @ 19:12
    Disappointing that Mr Green is lately using Real Vision to self promote his new employer.
    • DS
      David S.
      3 June 2020 @ 20:04
      Get a grip! Mr. Green is trying to explain why the markets can rise when fundamentals do not drive the money flows. The market does not care why the money flowing in or out. It just takes the money. Mr. Green is much happier now that he has found out a way to exploit inefficiencies in the market that were not seen before. Not only has Mr. Green paid his dues, he is showing you what is happening. I hope his new partnership makes a fortune. That is what investing is all about. Would you prefer Mr. Green keep his new-found understand away from RVTV? I, for one, am happy that he is sharing his new understandings with us. DLS
    • MG
      Michael G. | Contributor
      3 June 2020 @ 20:10
      We actually debated exactly this point. Partner, not employer FWIW. I am not employed in any capacity by RealVision and we had to decide whether we would use a third participant as an interviewer. That approach has historically not worked well, so we chose to have me conduct the discussion. Sorry you didn't enjoy it.
    • MO
      Marcin O.
      3 June 2020 @ 22:11
      Haters gonna hate. Thank you Michael! Appreciate your time!
  • MC
    Mario C.
    3 June 2020 @ 15:35
    Really enjoyed listening to Wayne's talk. I would be very interested by how Wayne H. does his portfolio construction. If there is any public information available about the concepts he uses?
  • MH
    Michael H.
    3 June 2020 @ 02:11
    I wonder why the downvotes on this one... plenty of interesting stuff here, both trading and macro content. I liked it.
    • MC
      Mario C.
      3 June 2020 @ 15:30
      agreed
  • RG
    Rob G.
    3 June 2020 @ 12:27
    Fascinating, thanks guys. I'm an experienced options trader but would like to brush up on quant skills....any course suggestions would be appreciated.
  • FD
    Frank D.
    2 June 2020 @ 15:58
    ATM IV in equity indices and most stocks is not the lowest point of the skew usually.
    • VN
      Vivek N.
      3 June 2020 @ 02:36
      Calls are a bit cheaper OTM but for puts it is usually ATM.
    • FD
      Frank D.
      3 June 2020 @ 07:35
      @Vivek, then your forward price is not correct. Check your lending fee, dividend all-in level, dividend estimate, financing rates.
  • MC
    Mario C.
    3 June 2020 @ 05:55
    Two traders and speakers with great experience and substance, great to listen to. Few points: - not emphasized enough. vol trading is not just short or long. Actually professionals often have less risk exposure to 1st order vol (vega), and more risk exposure to 2nd, 3rd order vol factors (skew, smile). So book positions in vol asset class often are a combination of underlyings, maturities (gamma/vega), and strikes (skew/vega) - at time of filming, front month ImpliedVol is 28, WH noting was 2x historical levels hadnt normalized. Sure, but short realized vol is 18 ish (even higher taking larger rolling window), which is about 1.5x as well histo levels. And taking into account o/n and intraday SPX moves (recent late intraday strong rallies or selloffs), Implied Vol is not that expensive. - I liked the rational for the relentless strong eqty SPX bid in Asia/Eur time. Actually this relentless bid has often started quite early Asia time from open (so US from 19h ish). Large structure products used to trade and strike (spot fixing) later in the day Asia time. So it makes me wonder if that's the main impact there.
    • mr
      martyn r.
      3 June 2020 @ 06:10
      any suggested reading for options?
    • MC
      Mario C.
      3 June 2020 @ 06:19
      @martyn Tbh, dont know any real good one. Some people often mention: "option-volatility-and-pricing_advanced-trading-strategies-and-techniques, Natenberg". I am not a fan. My todoread list has "dynamic hedging, managing vanilla and exotic options, Nassim Taleb".
  • NI
    Nate I.
    3 June 2020 @ 05:35
    Outstanding interview.
  • JF
    Janet F.
    3 June 2020 @ 05:28
    Absolutely outstanding! Thank you!
  • AP
    Ash P.
    3 June 2020 @ 04:12
    Great interview. Possibly my new favourite - I'll be parsing this one for a while. I'm off to scout for those papers.
  • MF
    Max F.
    3 June 2020 @ 02:49
    Excellent conversation. MG always delivers. "Everything needs a catalyst" -- very true given current situation in US cities and $ES up. I wonder if the slow increase in market fragility described by the deterioration in passive flows constitutes a sort of autocatalytic process, where eventually the bid gets so thin that stochastically you are basically guaranteed to get a phase shift. Right now feels like a repeat of February to me, but I am not sure if the threshold for a liquidity event is higher or lower -- on the one hand the marginal bid is drying up, but on the other hand bearish current events (China, riots, econ data) so far have not even caused the market to blink. Perhaps I am looking in the wrong place -- the active managers are not gonna sink this thing, maybe it will be money coming out of passive vehicles... One potential catalyst: Currently there is a lot of excess saving as individuals are still employed but aren't spending to support the businesses which ultimately are still paying their wages (partially through PPP). This saving is going into equities, often through passive vehicles (or price-insensitive retail speculation) -- employers have taken on debt as households have saved. A potential catalyst i'm looking at is if the economy reopens, a good chunk of these people who have no job to go back might begin to liquidate savings. Moreover, those who are still employed will be able to spend money on things like restaurants again and will not save as much to invest in equities. If correct, this means as the economy opens, passive flows could deteriorate further -- a totally counterintuitive result.
    • mB
      marc B.
      3 June 2020 @ 03:19
      I agree. Also the sports gamblers will go back to live sports. The portney guy has a huge following.
  • gw
    greg w.
    3 June 2020 @ 02:00
    This one was kinda boring.
  • IW
    Ian W.
    3 June 2020 @ 01:45
    Fantastic. I’ve independently come to some very similar conclusions myself. Fantastic interview. I could listen to these guys talking options theory all day and they nailed it!
  • CS
    Christopher S.
    2 June 2020 @ 07:49
    Awesome! Interesting thoughts regarding ATM options presenting better value because of increased hit rate. I am new to options but I and scored big with OTM puts in March, so I will have to chew on this idea about whether it is wise to go back to the same well as I bought more OTM puts when the VIX dipped back under 30. But with those corporate buybacks and 401k automatic buys drying up I cannot see how this meltup continues without major devaluation so my primary position, and it has been a beauty, are OTM GDXJ calls. Watching delta increase as I get more right is exciting. Look forward to the next one!
    • JP
      John P.
      2 June 2020 @ 16:16
      What is this? Some kind of fund manager confessional? Mildly interesting but ultimately not one of RV’s best.
    • mB
      marc B.
      2 June 2020 @ 21:51
      The data mike follows is fantastic. Rv speak on some of these fund flows during rvdb. I’m excited that I understand what thesebintellects are talking about. Growth!
  • sm
    stefan m.
    2 June 2020 @ 11:00
    Good interview... I love to listen to a trader / fund manager who his specialised in selling option... or is it just a retail scam ?
    • mB
      marc B.
      2 June 2020 @ 21:47
      More on options trading is good.
  • TZ
    Tibor Z.
    2 June 2020 @ 21:41
    Other than that, without watching this video I just have one question! Will gold and the gold miners crash one more time? Please RV figure it out for me :) ! Much appreciated! Love u all! :)
    • mB
      marc B.
      2 June 2020 @ 21:43
      Raul mentioned de leveraging is behind us but miners are volatile. Mr market has his own rules. Bullish trend. Buy dips.
  • mB
    marc B.
    2 June 2020 @ 21:40
    What a great conversation and at perfect timing. Really appreciate the breakdown of options. I have a success going long individual holdings in sectors I like. Interesting at buying at existing price instead of 10% out. I usually do 10% out. How long forward do you typically go. I usually trade 6 months to 12 months out. And only trade 5% of existing port broken out in 10 holdings.
    • mB
      marc B.
      2 June 2020 @ 21:41
      Technical & fundamental is the best strategy. Would like this team back. Extremely helpful!
  • TZ
    Tibor Z.
    2 June 2020 @ 21:40
    I would really like to see my comments on the top. Like on FB. Otherwise, sometimes it takes so long to find it!
  • TB
    Tobin B.
    2 June 2020 @ 20:55
    I could listen to options talk by these guys all day. I was lucky enough to have been holding TLT calls beginning of march, and it was nice to hear another's explanation of what happened there. Also curious why no one mentions the correlation between the repo market and the overnight ramps under low volume.. maybe they don't want to give up the secret, but why do I care? Mindset of abundance.. RV has already paid for itself, and the community here is great keep it up!
    • mr
      martyn r.
      2 June 2020 @ 21:16
      tell us more oh wise one
    • TB
      Tobin B.
      2 June 2020 @ 21:31
      Yeah I've been following the NY Fed daily repo operations. https://apps.newyorkfed.org/markets/autorates/tomo-results-display?SHOWMORE=TRUE&startDate=01/01/2000&enddate=01/01/2000 As repos increased in Q42019 the market levitated so the administration could give the people happy holidays whilst the fed was amenable. Taper in January, buy cheap puts, and boom profit. Of course Im a newbie and didn't hold onto all of my profits, but it made sense in October when by all rights the market should have been dropping, yet it didn't. I got curious and found that correlation. That said, I dont know for sure that its the government doing the buying, but it's believable given how close *he* watches and tweets about the stock market.
  • GM
    Gary M.
    2 June 2020 @ 18:22
    Mike - are the growth/value papers for clients only or can they be accessed by yours truly?
    • MK
      Michael K.
      2 June 2020 @ 21:25
      Try looking at their website to start?
  • AB
    AJ B.
    2 June 2020 @ 18:45
    I can't fathom why anyone would give this video a dislike. Great discussion and the fake bookshelf was hysterical. Had me laughing the whole video.
  • DD
    Dmitry D.
    2 June 2020 @ 13:10
    Some pretty strange effects on Mike's side of the screen. Is he sitting in front of a blue screen and simply adding bookshelf background? Very good discussion, thanks to both!
    • TM
      The-First-James M.
      2 June 2020 @ 16:01
      Zoom background change. Probably a photo of Mike's bookshelf shown behind him. Could see white lines around his head at times. ;)
    • TS
      Tom S.
      2 June 2020 @ 17:15
      Agreed on both points. The keying (blue screen / green screen - whatever) on Mike's screen is awful, extremely distracting, and shouts "fake" at the bookcase image. The dynamics between Mike and Wayne is great. Lot's of detailed insights.
  • JH
    Jesse H.
    2 June 2020 @ 16:12
    Excellent - 2 of the smartest guys in the industry, hands down. Thank you, Mike & Wayne!
    • JH
      Jesse H.
      2 June 2020 @ 16:19
      Two things I love, listening to Wayne, are his humility and pragmatism. Both really come through in this interview. Just fantastic, and we need more people like him in Investing.
  • JC
    Jin C.
    2 June 2020 @ 16:15
    Good listen per usual. These overnight ramps driven by Asia-based structured product demand is a theory I would love to see fleshed out in more detail.
  • PS
    Patrick S.
    2 June 2020 @ 12:48
    Probably one of the most important conversations out there regarding the dichotomy between main street and equities
  • SS
    S S.
    2 June 2020 @ 12:27
    Mike the 🐐 strikes again. Great interview.