WEBVTT - Single Best Idea with Tom Keene: Amy Wu Silverman & Katy Kaminski

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<v Speaker 1>Single best idea, and today was an extraordinary day on

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<v Speaker 1>Bloomberg's surveillance. Our team just did a great job of

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<v Speaker 1>eclectic guess We finished strong with the elliot Ackerman in

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<v Speaker 1>celebration of his new book twenty fifty four with James Travetis.

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<v Speaker 1>I'll have a lot more to say about that. I'm

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<v Speaker 1>thinking in April or may I actually try to read

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<v Speaker 1>the books that I'm big on, and I'll have to

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<v Speaker 1>wait through twenty fifty four about the tensions that are

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<v Speaker 1>military faces. But today was wonderfully eclectic in equities. Tony

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<v Speaker 1>Dwyer was with us with a broad view of the

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<v Speaker 1>linkage of recession and those fears to tepid participation inequities.

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<v Speaker 1>Away from mag seven there were all sorts of others,

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<v Speaker 1>but what we really had was dueling quants. I can't

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<v Speaker 1>say enough. I'm not going to go into it here

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<v Speaker 1>because we're trying to keep this podcast tight, but I

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<v Speaker 1>can't say enough about the development of modern quantitative academics,

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<v Speaker 1>which came out of Imperial College and London with Paul Wilmot,

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<v Speaker 1>with all sorts of workout of other institutions, including foundational

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<v Speaker 1>work at Princeton and particularly Andrew Lowe l Andrew low

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<v Speaker 1>Up at Massachusetts Institute of Technology. We are thrilled to

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<v Speaker 1>bring you today Katherine Kaminski at Alpha Simplex out of

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<v Speaker 1>the MIT combine, but first Amy Wu Silverman of RBC,

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<v Speaker 1>out of the Princeton QUANDT combine. These people are wicked smart.

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<v Speaker 1>They're the ones that got the A in your math class.

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<v Speaker 1>And the answer is they really try to devolve the

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<v Speaker 1>complexities of the Greek letters and what are called cross

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<v Speaker 1>moments down to a mere mortal conversation like you can

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<v Speaker 1>digest on Bloomberg's surveillance. We digressed with Amy Wu Silverman,

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<v Speaker 1>and of course we looked at her cross moments and bitcoin.

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<v Speaker 2>The really interesting thing I would say about bitcoin, because

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<v Speaker 2>you know, you can't dabble in volatility without dabbling and

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<v Speaker 2>crypto a little is the This has historically been a

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<v Speaker 2>risk acid correlation that's actually been positive, even though it's

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<v Speaker 2>been made out not to be. However, we are actually

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<v Speaker 2>seeing that correlation decline. So if you look three years ago,

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<v Speaker 2>the correlation between just the simple equity market and bitcoin

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<v Speaker 2>was fairly positive and it is still positive, to be clear,

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<v Speaker 2>but it's actually come in a lot and so it

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<v Speaker 2>may actually begin to be behaving in the inflation hedge

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<v Speaker 2>slash equity hedge that it was purported to be in

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<v Speaker 2>the beginning.

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<v Speaker 1>Amy was Silverman there with RBC on bitcoin, and of

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<v Speaker 1>course we did talk to her about the broader equity

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<v Speaker 1>market and some of the oddities out there, particularly the

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<v Speaker 1>mass speculation and options in option day trading. I guess

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<v Speaker 1>it's speculation, or maybe it's almost like the roulette wheel

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<v Speaker 1>at a casino. Katie Kaminski is with Alpha Simplex, and

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<v Speaker 1>the heart and soul of what they do, which I'm

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<v Speaker 1>familiar with, is trend following. This is a cottage industry

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<v Speaker 1>which goes back a solid forty years, much of it

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<v Speaker 1>out of the greater New York City area. And the

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<v Speaker 1>idea here is not so much to catch the knife

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<v Speaker 1>in the dark. The idea here is not to get

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<v Speaker 1>right on the bottom of the trend going up or

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<v Speaker 1>the top of the trend going down, but rather just

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<v Speaker 1>to find the trend and monitor it as you invest,

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<v Speaker 1>and not day trading, but invest out weeks, quarters, in months.

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<v Speaker 1>Katie commencing, of course, looking at this extraordinary bull market

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<v Speaker 1>here she is on the quants, the cross moments of

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<v Speaker 1>our equity market.

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<v Speaker 3>When you look right now at where equities have moved,

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<v Speaker 3>the turning point was in October and it's been I mean,

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<v Speaker 3>look at S and P. It's up almost twenty five

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<v Speaker 3>percent since October, so pretty much over any window where

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<v Speaker 3>you measure the strength of the trend, you're seeing a

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<v Speaker 3>pretty strong signal that we're going straight to the moon.

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<v Speaker 3>And so I think that's where, you know, I'm surprised

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<v Speaker 3>at how incredibly resilient this market has been. If you

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<v Speaker 3>told me in January that February is going to be

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<v Speaker 3>as amazing as it was, I would have not believe you.

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<v Speaker 1>Katiekiminski there, and I really want to talk with Alpha Simplex,

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<v Speaker 1>and I really want to talk for a moment here

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<v Speaker 1>about the underlying here in the Bloomberg terminal. All of

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<v Speaker 1>this came out of really a bunch of really really

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<v Speaker 1>smart people working off Sun Microsystems Spark stations way in

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<v Speaker 1>the back. It wasn't PCs and decad Wang and you

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<v Speaker 1>know what Microsoft did with Intel and all that. It

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<v Speaker 1>was more sophisticated right from the get go. And it

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<v Speaker 1>involves Sun microsystem I can't remember the name midframe computers

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<v Speaker 1>I think is what they were called, but they did

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<v Speaker 1>it off Spark station. What Mike Bloomberg and Tom Sekunda

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<v Speaker 1>did to bring some of those mathematical dynamics over to

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<v Speaker 1>the Bloomberg terminal was at the time, and I remember

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<v Speaker 1>this clearly nothing short of an act of God. They

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<v Speaker 1>basically took high powered Sun Microsystem's work and brought over

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<v Speaker 1>those chart dynamics so you could establish a trend for

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<v Speaker 1>those of you that have a Bloomberg. For those of

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<v Speaker 1>you that want to get a Bloomberg, one of the

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<v Speaker 1>major major reasons is what's called stochastic analysis, but far

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<v Speaker 1>far more importantly, and you know I'm on this. I

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<v Speaker 1>think if Chris Verona's strateigue, it's the same way we

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<v Speaker 1>are into trend based following. And you do that with

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<v Speaker 1>moving averages. You do that with all sorts of other

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<v Speaker 1>technical studies, much of them founded by a guy named

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<v Speaker 1>Wells Wilder and brought forward in the quantitative finance space

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<v Speaker 1>of people at Princeton and people at MIT like Amy

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<v Speaker 1>wou Silverman and Katie Kaminski. You can do all that

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<v Speaker 1>on the Bloomberg. Check it out. This is single best idea,

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<v Speaker 1>And don't forget you can see us on Apple car Play.

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<v Speaker 1>and we were thrilled by the numbers. I actually got

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<v Speaker 1>brief done it this morning. I was like, really, sixty

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<v Speaker 1>nine nations are listening to us on Apple car Play

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<v Speaker 1>and on YouTube. We're thrilled by the international coverage and

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<v Speaker 1>Street Time again, Bloomberg Surveillance, an Apple CarPlay, and on

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