inflation / stagflationary envirmoment = high vol but not real vol jumps. Because risk is transfered to commodities and FX? Is this also why Equity Vol has been Spiky in the last 20 years while FX vol and commodity vol has been low? vol percistance vs vol jump Rate over 2% - 2.5% the correlation of stocks and bonds flips and they both go down.
What is your combined IQ? 500 + most likely... Its rare to see such intelligent minds communicating about the many aspects of volatility. My only question is what happens when something truly breaks? Be it a high yield credit market, a currency market, foreign bond market or a commodity market? Could an extreme volatility event in say Japanese bonds or the corn market cause extreme volatility in all asset classes? It seems like markets are so interconnected that a huge vol spike in a smaller market could effectively ripple into a larger market like USD or US Stocks or US housing? Vol obviously could go either way up or down forcing a wave of selling or piling into a trade. If something truly breaks what is the best asset class to hold? Cash, Gold, Equities, Bonds or Commodities? It seems like asset classes with no counterparty risk will do best in an extreme Vol event?
GOOD ONE
Really enjoyed this one, especially Mike Green’s comparisons with the 1970’s.
Busey in the house!
great episode, wish the sound was louder
inflation / stagflationary envirmoment = high vol but not real vol jumps. Because risk is transfered to commodities and FX? Is this also why Equity Vol has been Spiky in the last 20 years while FX vol and commodity vol has been low?
vol percistance vs vol jump
Rate over 2% - 2.5% the correlation of stocks and bonds flips and they both go down.
What is your combined IQ? 500 + most likely... Its rare to see such intelligent minds communicating about the many aspects of volatility. My only question is what happens when something truly breaks? Be it a high yield credit market, a currency market, foreign bond market or a commodity market? Could an extreme volatility event in say Japanese bonds or the corn market cause extreme volatility in all asset classes? It seems like markets are so interconnected that a huge vol spike in a smaller market could effectively ripple into a larger market like USD or US Stocks or US housing? Vol obviously could go either way up or down forcing a wave of selling or piling into a trade. If something truly breaks what is the best asset class to hold? Cash, Gold, Equities, Bonds or Commodities? It seems like asset classes with no counterparty risk will do best in an extreme Vol event?
14:50
Can you please let me know where to find the academic paper you spoke to? Great show!
Finally
Chris Cole, brilliant ideas, great to listen to, but it doesn't translate into performance for his investors.
Source? Do you have his P&L? Dragon Portfolio historical performance is excellent.
Audio to low