OI02: Are QI Strategies Sustainable? ft. Maia Mathieson & Faheem Osman
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 15 November 2023
⏱️ 56 minutes
🧾️ Download transcript
Summary
Maia Mathieson and Faheem Osman, both Managing Directors at Macquarie Bank in London speak with Moritz Seibert about the bank’s growing Quantitative Investment Strategies (QIS) business and how their rules-based indices can help investors to efficiently access various risk premium strategies across asset classes. Maia and Faheem explain the key return drivers behind their commodity-focused strategies, for example curve carry and congestion, and explain why they believe these to be structurally sustainable. We also discuss their client base and how the Macquarie QIS team focuses on designing robust indices that are not curve-fit to historical data.
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Episode TimeStamps:
02:22 - Introduction to Maia & Faheem
08:48 - What are the most popular return drivers?
11:35 - What is driving carry trading?
15:10 - When does carry trading stop working?
17:23 - Combing strategies for more diversification
20:26 - Why does the volatility carry factor exist in the commodity space?
22:52 - How do they have an advantage over their competitors?
24:40 - What is their core client...
Transcript
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| 0:00.0 | I'd say what's different about commodities versus, say, doing it in equities, is that you have quite a large basket of commodities to do that over. |
| 0:15.4 | So that creates a really nice diversification because something that causes a shock or a spike in volatility |
| 0:22.4 | of one of those commodities may not affect the rest of the basket. So we do see that you can get |
| 0:28.5 | a really stable and steady return profile from capturing Volcarry on a basket. It's not to say |
| 0:36.1 | that you don't see drawdowns in commodity |
| 0:38.3 | Volcarry, obviously you do, particularly in some of the commodities like Brent, gold, where they're very macro-driven, but there are ways of diversifying around that. |
| 0:49.3 | Imagine spending an hour with the world's greatest traders. Imagine learning from their |
| 0:56.1 | experiences, their successes, and their failures. Imagine no more. Welcome to Top Traders Unplugged, |
| 1:03.8 | the place where you can learn from the best hedge fund managers in the world so you can take your |
| 1:08.3 | manager due diligence or investment career to the next level. |
| 1:12.1 | Before we begin today's conversation, remember to keep two things in mind. All the discussion |
| 1:16.8 | we'll have about investment performance is about the past, and past performance does not |
| 1:21.3 | guarantee or even infer anything about future performance. Also understand that there's a significant |
| 1:26.5 | risk of financial loss with |
| 1:27.9 | all investment strategies, and you need to request and understand the specific risks from the |
| 1:32.9 | investment manager about their product before you make investment decisions. Here's your host, |
| 1:38.0 | veteran hedge fund manager, Nealz Kostrup Larson. |
| 1:46.1 | Welcome to another episode in the Open Interest series on Top Traders Unplocked, hosted by Moritz |
| 1:51.2 | Siebert. In life, as well as in trading, maintaining a spirit of curiosity and open-mindedness |
| 1:57.8 | is key, and this is precisely what the Open Interest Series is all about. |
| 2:03.0 | Join Moritz as he engages in candid conversations with seasoned professionals from around the globe |
| 2:08.8 | to uncover their insights, successes and failures, offering you a unique perspective on the investment landscape. |
... |
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