SI372: QIS Unboxed: Rules, Wrappers, and Reality ft. Nick Baltas
Top Traders Unplugged
Intro
Moritz introduces the Systematic Investor Series and welcomes guest Nick Baltas, setting the episode's focus on quantitative investment strategies.
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
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