1/Let's talk about low expected returns on bonds a 🧵... 2/I keep on hearing how unattractive bonds are right now as a justification for removing them from portfolios and going up the risk curve. But it seems to me that investors are purposefully or perhaps unwittingly ignoring the realities facing all other asset classes.

1/9 Randomly looking at the trend factor I stumbled upon this: since inception the 1.5x SocGen Trend Index scaled to the same volatility (absurdly easy and cheap to scale in futures space) has matched the performance of S&P with a -0.3 correlation to it! 2/9 For years we've been using the analogy of the Skis & Bikes to illustrate how magical it would be to find such things in real life. Let's see if life can imitate art...(original paper here investresolve.com/inc/uploads/pd…)

1/6 Our children will remember this #coronsvirus lockdown very differently that the adults will. When I was 8 living in Lima, Peru during the time when the terrorist group called the Shinning Path decended onto the city 2/6 they began detonating bombs strategically (causing water and power outages) and cruelly (blowing up unwanted “capitalist” buildings) there was a full out lockdown and curfews set. We went about our houses with candlelight and tubs full of drinking water for weeks at a time.

1/The year before I migrated to Canada from Peru in 1988 I saw inflation go from 20% to 7,200% wiping out my grandfathers life savings with it. He had the Peruvian currency equivalent of ~$1 million USD in 1987. By the end of ‘88 it was ~$0 USD equivalent.

https://twitter.com/business/status/1063809467073085441

2/on the flip side. My neighbour earlier that year got an eviction notice for failing to keep up with his mortgage payments having an outstanding mortgage in the hundreds of thousands equivalent USD. He also has a small amount of USD savings under his pillow.