SI372: QIS Unboxed: Rules, Wrappers, and Reality ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 1 November 2025
⏱️ 59 minutes
🧾️ Download transcript
Summary
As equity markets grind higher and trend strategies navigate sharp reversals, Moritz Siebert welcomes Nick Baltas of Goldman Sachs for a conversation that moves beyond performance to examine structure. Together they unpack the machinery of the $1.3 trillion QIS industry - from index design and client behavior to the subtle forces shaping capacity and crowding. They discuss how trading speed has become a key axis of dispersion, why volatility remains the hidden cost in systematic portfolios, and what resilience in markets might really be masking. This is not just about strategy. It’s about how products scale, and how ideas hold.
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Episode TimeStamps:
00:23 - Moritz opens the show and introduces Nick
01:16 - Nick’s quick life update and setting the tone
02:45 - Market resilience vs. fragility in 2025
04:18 - Performance rundown: CTAs, trend, equities, bonds
06:10 - October reversals: metals and livestock giveback
07:32 - What’s working: equities, gold, copper; sugar shorts
08:58 - Trend speed, April V-shape, and dispersion
10:40 - Position exits, re-entries, and neutral zones
11:55 - How QIS differs and why it’s opaque from the outside
14:40 - How big is QIS? Asset class split and caveats
18:05 - Who uses QIS: from asset owners to hedge funds
21:30 - What QIS really provides: rules, access, and efficiency
28:05 - The four pillars of product design (research, clients, tech, markets)
30:20 - Why thousands of indices exist (customization, wrappers)
33:22 - Delta-1 vs. options on indices: when each makes sense
36:58 - Vol targeting trade-offs for optionality and recovery
38:55 - Built for scale, but with capacity discipline
42:00 - Innovating without data-mining traps
47:12 - Crowding: congestion, vol carry, and trend mechanics
56:35 - Wrap-up and what to expect next week
Copyright © 2025 – CMC AG – All Rights Reserved
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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 investing |
| 0:07.0 | and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:28.1 | Hello everyone and welcome or welcome back to the Systematic Investor series on Top Traders and Plucked, where each week we have a look at the global markets through the lens of a rules based investor. |
| 0:32.9 | My name is Moritz Seabird and today I'm standing in for my friend Nielsiels Castor Blarson, who would normally run this show, but at this very moment, he's on route to Canada and therefore unable to get in front of a mic. |
| 0:46.2 | Joining me for this episode is Nick Baltos from Goldman Sachs, a regular guest on this show, as many of you will surely know. |
| 0:53.6 | Today, Nick and I will focus on the QAS space |
| 0:56.6 | at large, discussing questions such as, how large is the global QAS business? Is it growing? Who are the |
| 1:03.1 | main clients? How many indices are out there? What's the outlook for the space and so on? So with that |
| 1:10.0 | as an intro, let me say hello to Nick and welcome |
| 1:12.1 | him to the show. Hi, Nick. Hi, Moritz. It's very good to be here. Good to have you here. How have |
| 1:17.8 | you been doing recently? I've been doing well. It's been a busy period, I should say, and I spend a |
| 1:25.2 | good amount of time with family over the last couple of days. I had my son's christening. |
| 1:29.3 | So I had like family and friends flying over from Greece. |
| 1:31.3 | It was a nice occasion. |
| 1:33.3 | So that was like a small kind of break, but not back in action. |
| 1:36.3 | But I'm doing very well. |
| 1:38.3 | Congratulations on that questioning. |
| 1:40.3 | Thank you so much. |
| 1:41.3 | Anything else that's been top of your mind on your radar? It's the question |
| 1:44.8 | that Niels likes to bring up market-wise. Yesterday we've had a Fed decision. Maybe that has |
| 1:50.7 | created some turbulence, I don't know. Yeah, I think what is on my mind, and of my mind, |
... |
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