OI11: Avoiding the Herd: A Different Path to Alpha ft. Jerome Callut
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 20 November 2024
⏱️ 58 minutes
🧾️ Download transcript
Summary
In today’s episode Moritz Seibert is joined by Jerome Callut, one of the founders of DCM Systematic, a quantitative hedge fund based in Geneva, Switzerland. DCM Systematic aims to produce returns that are uncorrelated to trend following CTAs by pursuing a different path to alpha. In fact, the team around Jerome is very much focused on avoiding getting into trend following trades. Instead, they emphasize strategies which anticipate the flows of other traders and use several behavior-based models to distinguish themselves from the SG CTA index and other industry benchmarks. Jerome and Moritz speak discuss generic trade examples and Jerome explains why pro-active and re-active risk management is very important for them.
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Episode TimeStamps:
02:21 - Introduction to Jerome Callut
03:52 - Why they use non-trend following models
08:42 - What would happen if they added a trend following component to their model?
09:57 - The 3 categories of their trading system
11:11 - Category 1, Behavioural: Anticipating the flows and trades of other traders
15:35 - An example of how they handle flow
18:35 - Did Callut anticipate the unwind of the Japanese Yen carry trade?
21:51 - Exploiting the skid marks in the...
Transcript
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| 0:00.0 | At any point in time, you cannot be in a position that would put you out of business, right? |
| 0:13.2 | You can control that. |
| 0:14.7 | I mean, to the best of our modeling capacities, of course. |
| 0:19.6 | It's not a perfect model. |
| 0:21.5 | But that's something we like, |
| 0:22.8 | thinking ahead what can go wrong. |
| 0:25.0 | It can be, as you mentioned, |
| 0:27.3 | carry reversal, |
| 0:28.8 | it can be tapered tantrum, |
| 0:31.6 | a strong shock on crude oil |
| 0:35.5 | after anopic meeting or something like that. |
| 0:37.6 | And each time we can find something that would not let you sleep well at night, |
| 0:43.2 | we would add it to the risk system and be protected to some degree. |
| 0:50.5 | Imagine spending an hour with the world's greatest traders. |
| 0:58.0 | Imagine learning from their experiences, their successes, and their failures. Imagine no more. |
| 1:00.0 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund managers in the world, |
| 1:06.0 | so you can take your manager, due diligence, or investment career to the next level. |
| 1:11.6 | Before we begin today's conversation, remember to keep two things in mind. |
| 1:15.6 | All the discussion we'll have about investment performance is about the past, |
| 1:19.3 | and past performance does not guarantee or even infer anything about future performance. |
| 1:24.3 | Also understand that there's a significant risk of financial loss with all investment strategies, and you need to request and understand the specific performance. Also understand that there's a significant risk of financial loss with all investment |
| 1:28.0 | strategies, and you need to request and understand the specific risks from the investment |
... |
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