What Are the Risks of a Quantitative Ticker?

This week we had the pleasure of speaking with Andy Constan (CEO / CIO at Damped Spring Advisors) and prolific member of the FinTwit community under the @dampedspring penname. Our conversation spanned topics including:

• His long and interesting career in the investment world
• Starting with equity derivatives and eventually earning his ‘global macro education’ at Bridgewater Associates
• The constantly evolving challenge of generating alpha
• Trading and managing portfolios at scale and the importance of liquidity
• Separating alpha from beta
• Basis risk vs liquidity risk
• The broad macro picture vs what is priced in
• The unique challenges posed by the current environment
• The front-running of quantitative tightening
• The daily marking to market of risk premia
• The weak link between consumer inflation and the Fed’s balance sheet
• The interplay between the Fed, the Treasury and the bond market
• Interpreting the messages coming from policymakers
• The importance of positioning data and rebalancing flows
• And much more

This is “ReSolve’s Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global* and Richard Laterman of ReSolve Asset Management.

*ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.