Nicolas Mirjolet - Multivariate Trend Following (S7E8)

In this episode, I speak with Nicolas Mirjolet, CEO and Co-Head of Research at Quantica Capital. We begin with Nicolas’s experience operating a statistical arbitrage fund, where he provides his thoughts as to what makes a strategy easier or harder to scale a business on. Nicolas also provides some context for his somewhat counter-intuitive view that the larger players had a bigger edge in this capital constrained space. We then transition to Quantica’s flagship managed futures program. Nicolas explains that while Quantica is a price-based trend follower, they apply a multivariate approach to their signal analysis. We discuss how the approach works and how it contrasts against a standard univariate approach. Specifically, Nicolas shares his thoughts on how the multivariate approach impacts the portfolio return profile and why you may want more or fewer variables in your signal universe than your tradable market universe. We end the conversation with Quantica’s most recent quarterly research paper, which provides quantitative insight into the convexity versus robustness tradeoff trend managers make when they add more markets to their portfolio. Please enjoy my conversation with Nicolas Mirjolet. ====== Corey Hoffstein is the CEO and CIO of Newfound Research and portfolio manager of the Return Stacked® ETF Suite. Corey is an active researcher and his work has been published in the Journal of Indexing and the Journal of Alternative Investments. He is also the host of the popular quantitative investing podcast Flirting with Models. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University. Follow Corey Hoffstein: ▶ Twitter: https://www.twitter.com/choffstein — Follow Flirting with Models: ▶ Apple: https://podcasts.apple.com/us/podcast/flirting-with-models/id1402620531 ▶ Spotify: https://open.spotify.com/show/1IXldCXztfTaZeHbtcDRQI Follow Return Stacked: ▶ Portfolio Solutions: https://www.returnstacked.com ▶ ETFs: https://www.returnstackedetfs.com

GPT-4正在为你翻译摘要中......

翻译全文