OI02: Are QI Strategies Sustainable? ft. Maia Mathieson & Faheem Osman
Top Traders Unplugged
Exploring the Potential of Non-Standard Commodity Markets
The chapter explores the rising interest in non-standard commodity markets and their incorporation into trend strategies to enhance returns and create ESG-linked portfolios, despite their current liquidity challenges.
Maia Mathieson and Faheem Osman, both Managing Directors at Macquarie Bank in London speak with Moritz Seibert about the bank’s growing Quantitative Investment Strategies (QIS) business and how their rules-based indices can help investors to efficiently access various risk premium strategies across asset classes. Maia and Faheem explain the key return drivers behind their commodity-focused strategies, for example curve carry and congestion, and explain why they believe these to be structurally sustainable. We also discuss their client base and how the Macquarie QIS team focuses on designing robust indices that are not curve-fit to historical data.
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Episode TimeStamps:
02:22 - Introduction to Maia & Faheem
08:48 - What are the most popular return drivers?
11:35 - What is driving carry trading?
15:10 - When does carry trading stop working?
17:23 - Combing strategies for more diversification
20:26 - Why does the volatility carry factor exist in the commodity space?
22:52 - How do they have an advantage over their competitors?
24:40 - What is their core client base?
28:38 - How are they giving their clients an edge?
30:25 - Concerns about the commodity space
32:30 - How they analyze and validate their work
36:23 - A long term strategy
40:01 - How have they evolved over time?
43:20 - A changing landscape?
46:54 - A move towards machine learning and AI
48:59 - Learning from other asset classes
51:36 - An increased interest in non-standard commodity markets
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