The Algorithmic Advantage 045 - Rob Hanna - Trading the VIX in a Diversified Portfolio
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Dec 3, 2025 Rob Hanna, a seasoned quantitative trader and founder of Quantifiable Edges, dives into his evolution from discretionary trading to systematic strategies. He discusses the vital role of VIX trading in hedging against market crises, emphasizing the importance of the futures curve in his models. Rob shares insights on mean-reversion strategies, managing tail risks, and the intricacies of backtesting VIX options. From employing diverse models to navigating sector exposure, his extensive experience offers valuable lessons for traders looking to optimize their portfolios.
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Research First, Hunches Last
- Rob Hanna emphasizes building strategies only when you have a measurable edge from research.
- He uses research to remove anxiety and stick to edges rather than trading hunches.
Adjust Size Around Known Events
- Use discretion on model sizing around events and adjust position sizes based on upcoming announcements.
- Scale exposure rather than blindly following indicators when known risks loom.
Diversify By Idea, Not Just Market
- Rob runs ~15 distinct models and combines them into composites to diversify ideas and reduce correlation.
- He intentionally sources new strategies from separate ideas to keep returns uncorrelated.