Alpha Exchange

Roxton McNeal, QIS Lead Portfolio Manager, Simplify Asset Management

Mar 4, 2025

Roxton McNeal, Lead Portfolio Manager of QIS at Simplify Asset Management, shares his extensive background in quantitative investment strategies. He discusses the evolving ETF landscape, highlighting innovative products that incorporate derivatives and target unique assets like crypto. The conversation delves into the concept of carry, its implications for market dynamics, and the importance of stress testing strategies. Roxton emphasizes adaptive portfolio management in the face of market fluctuations and the integration of cryptocurrencies into investment products.

47:54

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Roxton McNeal

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Quick takeaways

The ETF market has undergone significant evolution, now offering diverse products including derivatives and alternative assets to meet investor demands.

Evaluating quantitative investment strategies requires stress testing and scenario analysis to accurately size exposures and manage risks effectively.

Deep dives

The Evolution of Exchange-Traded Funds

The exchange-traded fund (ETF) market has significantly evolved, now offering a diverse range of products that include derivatives, leverage, and exposure to alternative assets such as private credit and cryptocurrencies. ETFs have expanded beyond traditional investments to encapsulate complex strategies like quantitative investment strategies (QIS), providing investors with unique options for capital deployment. This transformation reflects the industry's response to investor demand for innovative financial instruments that manage risk and enhance returns. The integration of daily resetting leverage and exposures to various asset classes marks a shift that makes ETFs a more dynamic investment vehicle.

Intro

2min

Navigating Pension Fund Complexities

9min

Evolution of Quantitative Investment Strategies

6min

Understanding the Taxonomy of Quantitative Investment Strategies

2min

Understanding Carry in Financial Markets

8min

Navigating Market Risks with Quantitative Strategies

18min

Exploring Cryptocurrency Integration in QIS Products

3min

“This is not your father’s ETF market” would be one statement used to highlight the ever-expanding product mix available to investors via exchange traded funds. Today’s suite of ETFs embeds derivatives, targets non-traditional assets like private credit and crypto and can offer daily resetting leverage as well. Add to this, efforts to deliver exposures to quantitative investment strategies via the ETF wrapper.

With this in mind, it was a pleasure to welcome Roxton McNeal, lead portfolio manager of the QIS product at Simplify Asset Management to the Alpha Exchange. Our conversation begins with a review of Roxton’s background at the UPS Pension and as an active client of the Street’s in utilizing QIS in the plan’s efforts to deliver returns above a fixed income bogey for retirees. We explore a broad taxonomy of types of quantitative investment strategies, rules-based trades that Roxton puts into two categories, defensive and carry.

We spend a fair amount of time exploring the concept of carry, which he suggests results from market frictions, risk aversion and liquidity premia. He further breaks down the carry bucket into trend, absolute return and volatility carry. Here, and with the pitfalls of back-testing front and center, I ask him to share his thoughts on how he evaluates carry strategies. Stress testing and scenario analysis are critical, especially as they relate to properly sizing exposures. We finish the discussion on what might be coming next to the fast-moving ETF landscape. Here, Roxton volunteers the potential for the tokenization of assets in markets like commodities or real estate, bundled into an ETF via smart contracts.

I hope you enjoy this episode of the Alpha Exchange, my conversation with Roxton McNeal.