I've been around a long time

Diverse Family Office background.

$1B+ allocated on the buy-side of hedge funds over the course of decades seeding some of the world’s greatest managers.

We're talking old-school stuff here...and my-my have things changed.

Occasionally (but rarely) speak at conferences

I have attended myriad World Economic Forum events as an invited speaker back when I used to run around with them. Been involved with the Governing Boards of Symphony Orchestras; President Circle of the Council on Global Affairs; the Institute for Private Investors; and the Third Decade Council of the American Film Institute, et al.

I got a degree from the Cox School of Business at Southern Methodist University along with those certificates from INSEAD and Harvard University.

An early employer of full-time ‘hard-science’ PhDs

In the early 90s, I used to find them from Cal-Tech and MIT. And then heavily recruited from the Financial Math PhD program at University of Chicago (the folks there know me well).

I recall the days of them explaining their newfangled financial careers to their completely baffled parents. 

Generally speaking, quants are only as good as what they’re told to do and don’t have so much as a creative bone in their body.

Their rigid training clouds their brains. Take for example the dogmatic physicist who only ses through a lens of “proportional relationships” – where an increase in one variable necessitated a decrease of the other: wrong brain for the market. 

When your typical quant sees something interesting, he’s trained to temper his own enthusiasm. If “natural excitement” is likened to a positive feedback loop (the amplifier), then his PhD training is the negative feedback loop (the dampener) keeping enthusiasm at equilibrium. They don’t get excited about much because any conclusion drawn may be killed-off by the very next observation. This leaves almost nothing being “true” for a quant.

I traded $30M of equity at 2x leverage

During a period where there was a discretionary mandate, I deployed an end-of-day, SP500 strategy that was up 9% during a period when the index had a drawdown of 40%+.

I had modeled raw data from the CFTC around patterns of buying and selling from the likes of Goldman Sachs and Morgan Stanley. The strategy traded once per week. It worked fantastically well.

Separately — employing a totally different process — I delivered 35%+ returns over 18 months at 2x leverage during a time when the SPX was almost completely flat. Numbers audited by Rothstein Kass (remember them!)

Fully Automated Algos

The Fold Line Report is backed by fully automated algos running live since 2011 at 50%+ annualized returns hitting 1.3+ Share Ratios.

No backtests. Never optimized. (reread)

Equity curves were audited by Blackrock and various other forms of PhDs who successfully duplicated my equity curves and Sharpe.

It should be noted that just after this audit — this algo hit a 5+ sharpe throughout Covid.

Such research algos are “Raw Alpha Output”: complex analysis distilled into binary 1 or 0 signal output.

These univariate, low-frequency models are still ticking at 50%+ annualized returns at 1.5+ Sharpe ratios across NDX 100 names since 2011 without interruption.

The equity curve recovers faster than your stomach no matter what the news—and this is why this model never shuts off.

As long as such algos continue to go well, The Fold Line Report retains its very strong empirical foundation.

Nature Of The Markets

Many things have changed but one thing persists: the complex, non-linear, dynamic, and non-ergodic nature of the markets.

The Fold Line Report chronicles an undeniable hidden-order in market prices — revealing a consistent, time-tested ,and scientifically-backed framework for macro market-timing that, once seen, cannot be ‘unseen’.