SI372: QIS Unboxed: Rules, Wrappers, and Reality ft. Nick Baltas
Top Traders Unplugged
Common QIS Wrappers: Delta One vs Optionality
Nick describes how most QIS trades use Delta One swaps, while some clients seek optionality and capped-loss wrappers, and the tradeoffs involved.
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.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Nick on Twitter.
Follow Moritz on LinkedIn.
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
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
The AI-powered Podcast Player
