Is There a Negative Cary Hedge?

Andrew Lapthorne is the Head of Quantitative Equity Research at SocGen, a role he’s held for nearly 14 years.

Given the breadth of topics covered by bank research, it should be no surprise that this conversation takes some wide swings as well. We discuss everything from thematic baskets to style premia and machine learning to ESG.

One of my favorite parts of the conversation is when Andrew discusses his research into strong balance sheet names in U.S. small-cap equities. For all the depth in discussion of how index composition rules affect small caps, why Merton’s distance-to-default correlates to credit cycles, and how this trade can potentially be a positive carry hedge, I love that the inception for the idea came from just updating spread sheets.

While this podcast goes wider than it goes deep, Andrew’s experience allows him to sprinkle a bit of wisdom in every topic we hit.

I hope you enjoy this episode with Andrew Lapthorne.