Sam Ferreira

A methodical conversation about the gap between a factor that replicates and a factor you can actually run money in. The guest separates three failure modes — data-snooping, capacity, and the trading cost that only appears at size — and argues the third is where most of the decay happens. The last section is practical: what to demand from a research note before allocating to it.

An argument about backstops: every liquidity backstop is a written option, somebody is short it, and the premium is almost never collected. The episode works through Treasury market interventions, central clearing proposals and what the basis trade looks like if the backstop is priced honestly. It is more about incentives than any single policy.

A critical tour of the liquidity indicators that circulate on financial social media — net liquidity, reserve balances, the TGA and RRP — and what each actually measures. The guest is not dismissive: the argument is that each is informative about a specific mechanism and useless as a general market predictor. The last twenty minutes build a more honest framework.