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Resolve Riffs – April 2021

Eric, CIO of Standpoint, joins Adam, Rodrigo, and Mike of Resolve Asset Management for a Friday happy hour conversation. Eric shares stories as he walks through his career from college in the 90s through to his role at Standpoint today. They also dig into the different sources of profits from futures markets and some of the papers Eric has written.

Key Takeways

  • The paper ‘Does Trendfollowing Work on Stocks’ is renowned, but Eric believes ‘The Non-Random Behavior of Declining Stock Prices’ contains far more revealing research.
  • Decade over decade a multi-asset portfolio is more consistent than a stock and bond portfolio that may have performed great during the 2010s but had a lost decade during the 2000s.
  • If you jump to 43:00 and listen until 49:50 the conversation covers the large topic of how a portfolio manager can collect persistent profits in the futures markets.

Decade over decade, the portfolio that has plenty of trend in it, basically has the same Sharpe ratio and same descriptive statistics regardless of what kind of market environment you’re going into.

- Eric Crittenden, Standpoint

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