SI370: Sharpe Ratios, Tail Risks, and the Cost of Comfort ft. Nigol Koulajian & Alan Dunne
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 18 October 2025
⏱️ 62 minutes
🧾️ Download transcript
Summary
Nigol Koulajian, founder of AlphaQuest rejoins Niels and Alan for a conversation about markets shaped less by fundamentals than by perception. As political influence deepens and volatility is managed rather than discovered, traditional risk signals lose meaning. Sharpe ratios climb not through edge, but through exposure to hidden fragilities. Diversification is narrowing. And while systematic strategies continue to hold their line, the forces around them are shifting - slowly, structurally, and with consequences. This episode is about recognizing imbalance in real time, resisting the comfort of consensus, and asking whether today’s apparent stability is masking tomorrow’s risk.
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Episode TimeStamps:
00:32 - Introduction to our special guest
01:57 - How did the economy end up the way it is today?
09:15 - Is it just a cycle?
19:46 - What is the end game?
23:47 - A short masterclass on skew and convexity
31:45 - How trend following has changed over time
39:18 - Should you optimize your portfolio from a short or long term perspective?
45:19 - How Nigol navigates the strong headwinds for CTAs
53:04 - Turning the risk of pod shops into opportunities
56:06 - When will we revert to a more "normal" environment?
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Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic |
| 0:06.6 | investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:26.1 | Welcome and welcome back to this week's edition of the Systematic Investor series with Alan Dunn and I, Niels Castro-Larsen, where we each week take the pulse of the global market |
| 0:30.5 | through the lens of a rules-based investor. Today is a very special episode as we are joined by |
| 0:36.2 | Nigel Collarge, who is not only the founder of AlphaQuest, |
| 0:39.9 | but actually also one of the very first guests we had on the podcast more than 10 years ago. |
| 0:46.2 | So Nigel and Alan, it's really great to be with you both here today. |
| 0:50.7 | I'm going to start with you, Nigel. How are things in New York this morning? |
| 0:55.1 | Excellent. A nice sunny sky. Moot is good. Yesterday we had the Robin Hood conference, |
| 1:03.0 | so all the big players were there getting their viewpoints. Yeah. Another great day in |
| 1:09.3 | Magaland, as I say. |
| 1:11.6 | Fair enough. What about you, Alan? How are things in Dublin? |
| 1:16.6 | All good here. No bright sunshine here. It's pretty grey and overcast. But that aside, it's probably not unusual to report that. That aside, all is good here. |
| 1:30.1 | Yeah, sounds a lot like Switzerland at the moment, I have to say. |
| 1:34.2 | Anyways, we've got a solid line of topics. |
| 1:38.0 | And since we have Nicole here, I think I'm going to change the format a bit to just focus on some of these bigger topics that are so important |
| 1:42.2 | instead of the sort of longer trend following update that |
| 1:46.5 | we normally do at this stage. But just to mention that, you know, all is well in trend following |
| 1:51.7 | land with all the SOCGEN, CTA indices posting gains so far in October. But there are, as I |
| 2:00.1 | mentioned, quite a lot of things we want to talk to you about |
| 2:02.6 | Nigel, but I think it's important maybe to build a little bit of our foundation and why some of |
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