In short: Named alongside TLT/IVOL as the way to own the supernova outcome — the maximum-convexity expression if hot inflation triggers a fast recession and long yields collapse.
ZROZ owns "zero coupon" Treasury bonds — bonds that pay no interest along the way and instead are bought at a deep discount and repay full face value in 25+ years. With no interest payments to cushion you, all the value sits at the far end, which makes the price extraordinarily sensitive to interest rates.
That sensitivity is the whole point. It is the most geared way to own his "supernova" outcome: if hot inflation forces a fast recession and long rates then collapse, ZROZ moves far more than an ordinary bond fund. The flip side is symmetrical — if yields keep rising, it falls hardest. He names it as one instrument in a set (with TLT and IVOL), not as a stand-alone position.
34:05And that actually creates the trigger for the recession. If that's the case, something like the ZROZ, something like the TLT or IVOL. IVOL would do really. I mean, IVOL ETFs are a very very interesting ETF right now because it's been hammered. But if the curve steepens, so if the Fed cuts, if the curve, so here's the two years, the 10 year.
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