High Frequency Trading and Systematic Macro Funds with Matthew Hanna of Teza Technology

Feb 10, 2022

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There are not a lot of Florida Gator fans in Utah, just like there are few firms that move from high-frequency trading (HFT) into the mutual fund space. That's why Matthew Hanna from Teza Capital Management is here to talk us through what it is like running a systematic macro mutual fund. He reviews Teza's HFT and prop trading roots, how Teza’s algorithms approach the market, all while mixing his love for UF sports into the conversation.

We also flip the script and ask the lead PM of the Catalyst/ Teza Algorithmic Allocation Fund (TEZAX) to dig deeper by covering some off-colored topics that viewers want to know more about, like the decision to pivot away from HFTs, why the Catalyst TEZA Algorithmic Allocation Fund essentially went flat for the first seven months of 2021, and how is Teza’s strategy doing now? Plus, we put Matt in the hot seat to provide his perspective on topics that nobody is talking about, or everyone is wrongly talking about.

Highlights and topics from this episode include:

How to determine what volatility is on a forward-looking basis and where risk models come into play
The algorithmic allocation and breaking down the equity bucket
Why absolute return in the alternative mutual fund space means low volatility and low return
Why you need to adapt if stocks and bonds are down together over the next 16 months
A closer look into the reality of why your model will work better sometimes than other times and the importance of allowing your volatility to float. Plus, more!

Chapters:

00:00-01:42 = Intro

01:43-10:19 = Tim Tebow, Gator Sports, & Lawyer turned Quant PM

10:20-18:26 = High-Frequency Trading

18:27-34:36= The Algorithmic Allocation & Breaking down the Equity bucket

34:37-58:28= Multi-Model Methodology Approach / It's All About the Data

58:29-01:04:26= Hottest Take - NFL Hiring practices

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