YouSaid · the spoken record

Eric Crittenden

lines on the record: 92
first: 2023-06-12
most recent: 2023-06-12
sittings or episodes: 1
sources: podcast

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“Just can't do it because, as we will talk about in a minute, those short energy positions are what saved us. That's what made all the difference because I don't know if you remember, but crude oil went from 75 a barrel to negative $35 a barrel. And it happened fast. And we were heavily short though. So that went a long way towards offsetting the losses we had in our dedicated long equity exposure and allowed us to have a small drawdown when the panic set in. So there was that. And again, those were uncomfortable psychologically uncomfortable trades. Not uncomfortable for me. I've been doing this for 25 years, so I know when I see it that it's just, I know what I'm going to do. I'm going to follow the model, uncomfortable for other people that are asking me, why are you shorting crude oil at $75 a barrel? I mean, how much lower can it possibly go? Well, the ultimate answer ended up being negative $35.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So we follow the system religiously. It's important to stay disciplined. And like I mentioned a couple times, and I hope people remember this, the uncomfortable trades are the ones you have, you can never skip them.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, so I remember that time vividly we were so excited to start this new company and then finally get our fund launched and we synced up with the model and the model was in a full risk on posture. Bull market, everything's great. And then you know what happened next. So we launched beginning of 2020. And then in the middle of February, everything in the world started to change. We started getting short signals in every energy market on the planet. And these are big trades, you know, natural gas, Brent crude, crude oil, gas oil, heating oil. I mean, these are big markets. They're important markets. And we started getting short signals in all of them. And we started getting buy signals in flight to quality currencies like the Swiss franc. We started getting buy signals in certain bonds that were already trading at negative yields. And I'm like, wow, that is something bad is happening.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Okay, so you had maybe two months of a bull market, January and February 2020. And then March was an absolute catastrophe for most investors and the stock market, just looking at your performance. It seems like your drawdown was significantly less than the SP 500. How did you weather that storm? And then honestly, what impresses me more just looking at this chart is not that you did all right during March 2020, but that you went back long. So many people, oh my God, I didn't lose any money during March 2020. And then they sat out the entire bull market. So, yeah, I mean, what to what do you attribute this success? I mean, what rules or habits do you think, oh, you know, I'm glad that we implemented this because if we didn't implement this, you know, things might have ended up a little different.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“That's important because it allows you to offer the same strategy in year six, eight, ten that you did in years one, two, and three. So I'm sure you've run into this where you see some track record or strategy that looks compelling and you go and take a look at it and you realize that they did all this great, they delivered all these great returns with 20 million bucks and they get to a billion dollars and nothing seems to work anymore. And they say, well, we've got capacity constraints. I don't want to deal with that problem. So we have to do the things we do by limiting ourselves to liquid markets and rewarding the more liquid markets with more size and capacity. That's the only way to make sure that what you're doing in the future, if you're fortunate enough to be successful, that the strategy can stay the same over the time.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So, there's two ways liquidity determines whether we will consider a market. So, for example, we don't have palladium in the portfolio because it's not liquid enough. It didn't make the cut. Platinum did by a small margin. So that's one way. You're either in our university or not in our universe. Everyone has to have a line somewhere. That's one way. The other way liquidity affects us is through position sizing. It doesn't affect the direction of the trade. It affects the size of the trade. And the size of the trade is crucially important. You know, we started off very small as a firm four years ago. Now we're not so small. But the strategy is the same. And that's because we've always run the strategy like it had more than $10 billion in it. You know, the model believes it has this money in it. And then we just ratio it down to whatever our actual asset base, which is not $10 billion.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“All the commodities are mostly symmetrical. The stock indexes are a different beast. They're actually a construction underneath. And then they're available in the futures contract because it's very efficient, capital efficient. You only have to post margin. And then they're essentially fungible through arbitrage into the cash market. But like you mentioned earlier, there's just not a lot of hedging pressure on the buy side. So they're almost like just a synthetic way of getting the same thing that you can get in the stock market. So my hedger speculator thesis, I believe holds for pure and symmetrical markets, but in the stock index world, I think you're just going to match whatever the underlying equity as long as you invest the non-margin money into T-bills, you're just going to get the market's return.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Empirically, yes, but I don't think that it's for the reason that we're talking about it's just that the market's gone up historically speaking. S&P 500 futures are pretty fairly priced. I don't think they have this risk premium talking about that you see in symmetrical markets.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Got it. So if an oil company, let's say ExxonMobil, buying into a declining market, and it's not that that trade is a mistake, it's good for them, for their business, lower cost of capital, higher equity prices, more stable, decrease your bankruptcy risk, but it may be true that if you flip that coin a million times, it's a negatively returning trade for whatever reason. Is that true? You know, when people short S&P, if a hedge fund manager who owns a lot of stocks and then they short the S&P 500 against it, are they shorting into a rising market and do those, you know, are most in the same way that, you know, most people who, you know, Try trading the stock market, like are going to lose our most SB 500 future wagers or hedges, negative returning trades”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“No, I wouldn't say that. I haven't actually made that SP 500 e-mini contract is the largest futures market in the world in terms of notional value. I haven't looked at that, but I'm sure that collectively all of the S&P ETFs, you know, the Vanguard and the State Street and the BlackRock, and that's going to be very big too. It's probably bigger than the futures market.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Got it. Okay, so yeah, so that's the SP 500. And then how big is S&P 500 futures relative to the ETFs like SPY, which is just the S&P 500 divided by 10? 427 instead of 4270. Those have gotten pretty big”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Correct. Yeah, it's all going to get priced in, so it should. And those markets used to be inefficient. And you could, you know, create some sort of an arbitrage, but I don't think it's the case anymore.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Let me explain if you're short, a single stock that pays a 10% dividend, you're going to have to pay that 10% in one year. What is that June 2024? So if you're buying put or call options against that one year, the one year forward price would be would take that into account. So it would be, so it might appear that. Expensive than calls in terms of implied volatility. If you look it up on like Yahoo Finance, but that's not actually the case, it's because the forward price is lower.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So that's just mix it, you know, because with the futures, you're not getting the dividend component. So they're taking the T-bills in the futures and doing some calculations and trying to tell you what fair value is based upon where the spot cash is trading and whatnot. So my point here, though, is that futures will match the cash equity world if you take the non-margin deposit and invest it in treasury bills. And then you factor in the amount of the discount of the premium that will, the algebra gives you the dividend yield that way. There's not a lot of term structure value unless you're doing some synthetic stuff with having dividends offshore. People do that for tax purposes or they used to. I think it's illegal now. But another”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Miss out on something because they're on the hook for it or whatever. So they'll use futures until they get the actual cash and then they can deploy it into the cash securities they want. But you know what? Some markets just aren't perfectly symmetrical and stock indexes, I think, meet that description. And most of the hedging pressures on the short side, that doesn't mean that they trade at a permanent discount though or premium because they're essentially fungible, right? Like if you look at CNBC, and I haven't watched CNBC since the late 90s, but I just, I don't watch TV. But I remember they'd show the premium and the discounts, you know, in the morning before the market opened.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, and I've looked at this, you know, because this bedeviled me for a while thinking that, well, this needs to be symmetrical. And it just, it isn't. Certain markets are symmetrical, other ones aren't. But I did find that a lot of pension funds will use futures as a means of trying to match their asset liability because they know they've got money coming in at some point and they don't want”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, okay. So you did ask that question and I didn't dodge it on purpose. So not all markets are perfectly symmetrical when it comes to hedging pressure, hedger speculator relationship. So in the context of stock index futures, how many people buy stock indexes to hedge nobody really comes to mind, right? Everyone sells them to hedge, you know, but nobody buys them to hedge.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So it would have to go up a bit more. I don't want to put numbers out there. Can't do that. But at some point, the model would say, all right, you've lost what you budgeted on this. Would probably still be a highly profitable trade given where we shorted it. But at some point, statistically speaking, it's just no longer trending lower. Something's changed in the supply demand dynamic. And the odds are we should close this position out and not risk any more losses in that position. Beyond that, I would have to go higher or sideways for some period of time and then start to make a new six month or a nine month high, something like that. And the models would say, hey, this thing might be entering an uptrend. It might be going on a run here. So calibrate your risk budget, calculate the number of contracts that you should buy and get after that and get those positions on. And then it's the same thing over and over. It's really quite pouring. I like it that way.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Got it. So, you've been short oil for a little bit as it's been declining. That seems like a good trade. What would you have to see? What would your models have to see? Your rules have to see for you to close out, cover your oil short, or even go long.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Oil goes up, you'll see that position crossover and go the other way. Can I prove that that's what's happening? No, but I think that the circumstantial evidence suggests that yes, that's exactly what's happening.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yes, I think that's a fair characterization. I mean, somebody was buying on the way down. I mean, I watched those markets every day and you can see the volumes just flooding in. And while markets are going down, open interest is oftentimes staying the same or going up. And there's lots of volumes. There's definitely people buying. So the thesis is that, yes, net, net, large commercial players are accumulating positions. And you can kind of see that on the COT report. The COT report is still relatively descriptive for certain markets. And I would say crude oil is one of those markets where it's not really terribly difficult to distinguish between speculators and hedgers in that particular market. And if you look at it, you'll see that in declining markets, the green line, which is the commercials generally go up in terms of going long and speculators, which is typically the red line, will be net short. And then when it flips and crude.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Actually, could prove this stuff scientifically. This space would be a lot more crowded and my profit margins would go down. So I'm willing to rely on the circumstantial evidence at this point.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“On it, but I think the same if that hedging pressure is there, it's going to show up in the trends. It'll show up in the term structure. And I have to make the assumption that hedgers want to buy declining markets and sell rising markets because that's the way it's been for 2000 years, even going back to feudal Japan with rice futures. So I just, that's my belief. And so I'm going to short declining markets, buy rising markets, set a stop loss, budget the trade, put it on, and then follow it with discipline and assume that some hedger on the other side is paying me a risk premium over time. Am I right every time? No, we lose on half or a little bit more than half of our trades, but we keep those losses small when we win, those wins are much bigger historically speaking. And just wash rins repeat. So it is nothing but circumstantial evidence in a circular conversation. But I like that because if you actually”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“The cot report essentially looks at who is reporting the position and tries to classify that entity. So if it's Goldman Sachs reporting a position, they'll say, oh, it's a commercial. But if it's a hedge fund reporting a position, they'll say it's a speculator. But through the use of swaps and complicated hedging programs through insurance companies and intermediaries and whatnot, you can't really tell who's who anymore. That's my personal opinion.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, I would say that the COT report, COT report, commitment of traders, and for people that aren't familiar with it, I think that was a very valuable report back in the 80s and 90s. I think it's gotten really. Opaque since then because of all the consolidation in financial services. So farmers, you know, in Kansas, you know, hedge differently today. The mechanism by which they get their hedge can be quite a bit different today than it was in the 90s and 80s and 70s.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Markets to lock in input costs because that's what creates an effective hedge for them. Trend following is basically the opposite of doing that. It's buying rising markets from them and selling falling markets to them. Now, if they were to make money on their hedge, it would mean that that would be an economic world that's kind of crazy, right? They make money in their core business and they get this beneficial hedge and someone pays them to put the hedge on. That doesn't make any economic sense. So anyways, that's the really condensed version of a complex topic. But that's important to me because I need both a fundamental economic rationale for why this should work combined with the empirical data 50 years of historical simulations to say that it appears to have worked in the past and I can identify things that don't work and I can reconcile the hypothesis against what I know about the actual commercial industry.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Not a great way to make money. So it's similar. So if you think of it as an ecosystem where it's a zero sum game, the derivatives markets, the futures markets, for a participant like me to go in there and say, hey, I'm going to compound at 8, 10, 12 percent a year, somebody has to lose that money on the other side of the transaction consistently. And they have to do it at scale, at size. So who is that? Well, it's not other firms like me, like Standpoint, because if they start to lose money, they're just going to get smaller and go out of business, right? And it's not small speculators. They don't have the capital. They make up about 5% of the market. So what that means is it's the commercial participants. And so what we have to do is trade in a way that is opposite to them and provide liquidity to them in their time of need. And it just so happens that on a dollar weighted basis, they like to sell rising markets, to lock in profit margins, and they like to buy falling.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“In the futures markets that's negatively correlated with a profitable position in your business, you should lose money on your hedge. The same way I hope Jack, you lose money on your car insurance. That's a hedge, right? And if you were making money on your car insurance, that's.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yes, yeah, and bankruptcy is like a hurricane where it's, you know, if you live four miles inland, you know, your insurance costs are one tenth they are if you live on a barrier island on the coast of Florida, right? So, and that's because of that catastrophic bankruptcy risk or hurricane risk. When the eye wall hits you, everything's gone. So if you lose 2% a year hedging, you can save yourself four and a half percent a year on your cost of capital. So it makes sense to do that. So that's one counterintuitive way that you can kind of justify hedgers losing money in the future's markets in the forward markets. The other one is, you know, it's related is that internally, you know, their equity is worth a lot more if their cash flows are more predictable. And everyone wants to hedge their bankruptcy risks. Well, not everyone, but everyone who stays in business for a long time tends to do something to hedge their bankruptcy risk. Now, if you establish a position.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“They're trying to do is to create negative correlation to something inside of their core business for lots of reasons. One, it really lowers their financing cost if they can hedge their cash flow risk and hedge away their bankruptcy risk. And so they could lose a lot of money hedging, but save an order of magnitude more than that on their own financing costs.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So that's valuable. But we also attack it from the other perspective. And this is kind of a me thing, an Eric thing where. I grew up on a farm in Kansas. I lived in Kansas for a long time. I've had a lot of exposure to professional hedgers in the agricultural and energy sector. I went to Wichita State University in one of the biggest contributors was coke industries, KOCH, and I think they trade like 20% of the commodities in the world. So I had a lot of friends that worked in hedging departments at various Commodity trading firms and energy trading firms back then. And I got to view the world through their eyes, what they see. And that's very illuminating because hedgers aren't trying to make money in the markets.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So, and I have a deeper respect for the biases that plague. Financial research. You got to go back and recreate histories that actually looked not how it looks now, which means you have to have all the errors in there because they would have been seeing them in real time and taking action off of them, you know, errors in pricing and whatnot. So I could write a set of encyclopedias about that, and we're not going to do that today, but I'll tell you that. So we've done the research on the quantitative side, and we can see historically what appears to have worked well and what appears to not have worked well. So you can zero in on rules and strategies that appear to have been highly profitable historically and others that just weren't.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Well, so at standpoint, we attack this topic from two different angles. One is just purely computer science based, where we collect data from every futures market that's ever existed going back to 1970, foreign markets, US markets. And that's a painstaking process. You go back in time and get that data that doesn't exist today. There's no pork belly futures today. There's no onion or potato futures today, but they were around in the 60s and 70s and 80s. So, in order to avoid all the biases and errors that plague back testing, you need to go back and recreate history as it actually looked, as it actually unfolded through time. And that's not easy to do. But that happens to be my specialty. My degree was in computational finance with a minor in computer science with a healthy dose of ag economics in there.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“So there are times where there are certain instruments that you don't want to allow into the portfolio. Like, I can't put Bitcoin into the portfolio. It just causes too many compliance and social problems, you know, that's another topic. And then there's certain markets that bring leverage levels that you just don't want to put in a mutual fund because we've got people with retirement money and people like my mom don't want to be buying something that's using a tremendous amount of leverage. So we got to keep those leverage levels that are really reasonable level. But that's a very small, just a couple of things over the years where I've had to think it through and say, well, we don't want that in the portfolio. And every portfolio manager has to deal with that on some level. And I don't know a way to make that systematic. So that part's going to be discretionary, but it's a very minor component of the overall operations.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, I would say more than 99% systematic, and that's by design. If I had to go back in time and give you an estimate of what my returns would have been from being a discretionary manager, I wouldn't be very proud of those numbers. But I'm very proud of the systematic results. It's just enforces discipline and it keeps losses small and forces you into those uncomfortable trades that oftentimes go on to be the big winners. So I will say this though, that when you run it in a mutual fund like we do, there needs to be an element of discretion that's possible because we're subject to risk, rules, you know, value at risk rules, leverage rules. I mean, the investment act of 1940 is pretty comprehensive.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah. So we take term structure, liquidity, and price movements and roll them all into one analysis. And then, you know, the rules that we've written, which are strictly enforced, essentially just tell us we should be long the Nikkei or the Topics or both in this case over in Japan, why that signal occurred would require me to go into the system and kind of parse it out. You know, how much of it was due to price appreciation, how much of it was due to term structure, and how much of our position sizes as a function of the open interest or the liquidity in the underlying market. So that's a complex topic that we could talk for three hours about so I won't bore you with it. But needless to say, we got all three for Japan, for Europe, and then more recently the US markets.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, it's true. We've been long Japan for quite a while now. Along the US as well, and been long Europe, which has been a very interesting trade. I mean, everyone's bearish on European profitability of European corporations. So when that trade came in a while back, I think it was six, nine months ago. I like trades like that because they're psychologically difficult to put on. And in my experience, I think I'm on my 26th year in the industry now. The trades that are the toughest psychologically to put on generally turn out to be the big winners that you needed all along. That's just the way it works. If it's hard to do, it's probably worth it. The trades that make perfect sense and are very comfortable psychologically, generally speaking, don't work out. And it's that wall of worry, discounting mechanism, nature of the market where, you know, it's already priced in. If it's comfortable, it's probably already priced in. But anyways, that's a little off topic. Oh, it's good.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Yeah, I would say that that's true. Prices and returns are one component, term structures another, and then liquidity is the third. If I had to assign a weighting to those, I'd say, you know, 40 to 45 percent is raw price movements with another 25 to 30 percent in term structure. And then the balance in liquidity changes.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“I would take issue with the word tight a lot of people think that tight means very close, closed stop losses can result in you having a high losing percentage, meaning a lot of your trades aren't working out. So our stop losses are derived statistically to have a relatively stable winning percentage of about 45-50%. But we don't want to, it's tight stop losses result in high turnover and a lot of trading that isn't necessarily more profitable than moderate or loose stop losses. So we use various levels of stop losses. We try to diversify that model risk away. But I wouldn't describe them as tight. They're disciplined and they're always honored, but they're not tight in the context of being close to the price.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Markets, long positions and rising markets and short positions and falling markets, and size those positions according to our risk appetite and try to maintain a balanced support that's got exposure all around the globe and in different asset classes. And then we stick with winning positions for as long as they remain winning positions and then in a very disciplined manner close out losing positions and keep losses small before they snowball into something that we're not looking to experience.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Great question. Everything we look at is supply and demand base, but it's based upon the liquidity that we observe in the market, the term structure in the market, and the price or the recent returns in the market. So we feel that the markets are pretty good discounting mechanisms and they're very good at bringing buyers and sellers together in an effort to clear the market in order to create balance. So we track the 75 most liquid futures markets in the world. And we capture the whole futures curve, all the settlement prices, the volume, the open interest, collect all that information in a database, clean it up, and then essentially run some relatively simple old school trend rules on it to find supply demand imbalances where liquidity might be rising, a market might be breaking down. Maybe it's going into Contango or backwardation. And then we take positions in.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT
“Sure. So macro to us means top down and global. Those are the two words I like to use to describe it. So it means that our opportunity said is very wide. We're looking for trends and opportunities all around the globe in different asset classes. So things like grains, corn and wheat, precious metals, industrial metals, foreign bonds, domestic bonds, currencies, you name it, we're looking for both the opportunity to diversify our risk, but the opportunity for profit as well.”
2023-06-12 · Forward Guidance · The Holy Grail of Macro Investing | Eric Crittenden · IDENTIFIED FROM THE TRANSCRIPT