OI03: The inner workings of a High-Frequency Strategy ft. Anant Jatia
Top Traders Unplugged
Working at AQR during the Quant Crisis and its Influence on Investing Approach
The speaker reflects on their time at AQR during the early 2000s and the quant crisis of 2007. They discuss AQR's emphasis on risk management, portfolio construction, and the growth of the firm.
Anant Jatia, the founder and CEO of Greenland Investment Management, joins Moritz Seibert for a commodities-focused conversation. In this episode, Anant explains how Greenland developed from currency market making to what today is predominantly an HFT-driven commodities arbitrage fund. Anant has a detailed understanding of the workings of physical commodity markets and focuses Greenland’s trades on location and substitution arbitrage trades. Moritz and Anant discuss several exemplary trades in detail, including sizing and portfolio implementation, and focus on the tail exposures which could materialize while the trade is active. This is a detailed and somewhat technical episode and a must-listen for anyone interested in commodities arbitrage trading.
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Episode TimeStamps:
02:09 - Introduction to Anant Jatia
06:39 - Anant's experience from working at AQR
08:46 - How did Anant's firm evolve over time?
10:44 - How difficult is High-Frequency Trading?
14:33 - What is their current trading strategy?
17:07 - An example of one of their trades
21:17 - Staying away from the physical side
23:33 - Tracking the market and executing trades
27:18 - Managing the cost of trades
29:58 - How did they get through the Covid19 period?
34:37 - How many markets are they trading?
36:49 - The process of trading copper
38:43 - How do you obtain transportation costs?
40:47 - Achieving the optimal trading efficiency
43:37 - A multi-legged trading strategy
47:34 - Anant's perspective on the Natural Gas markets
50:50 - Putting it all together
54:39 - Building for negative tail events
57:26 - What kind of exposure do they have?
59:17 - Key takeaways
59:58 - Thanks for listening
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