Eric Crittenden on Combining Global Trend & Risk Parity for All Weather Performance

May 4, 2021

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global.

As is often the case with sharp and curious minds, our guest this week traveled a meandering route through his career. While studying meteorology and public health in university, Eric Crittenden (CIO of Standpoint Asset Management) stumbled into an economics class and fell in love with complex dynamic systems. He then joined a family office that was uniquely focused on levering into technology companies in the run up to the Dotcom Crash, a debacle that strengthened his views on the importance of diversification and risk management. We discussed:

• From a purely cartesian market view, to recognizing the crucial role played by psychology and behavior
• Early appreciation for the “elevator down, escalator up” type of risk
• How to give investors both what they want and need
• His whitepapers, especially “Does Trend Following Work on Stocks?”
• Why it’s harder to raise capital for diversified strategies, but also harder to get fired
• Liquidity weighting versus risk weighting
• Why collecting a risk premium means you are on the “wrong side” of skew
• Disaggregating term structure from price appreciation in returns – why carry pays

Our conversation also covered the benefits of signal generation that combines different phenomena, why in theory, investors want diversification and risk management (but not so much in practice), and much more. A widely entertaining episode, with no words minced and even a moment of collective catharsis.

Thank you for watching and listening. See you next week.