Flirting with Models Gerald Rushton - Commodity Strategies (Trend; Carry; Congestion; and Volatility Carry) (S6E15)
54 snips
Sep 4, 2023 Gerald Rushton, senior member of the QIS Structuring team at Macquarie Bank, shares insights on commodity strategies, including trend following, commodity carry, congestion, and volatility carry. He discusses the advantages of QIS desks, customization of mandates for clients, and the importance of understanding different types of trend following strategies. He also delves into commodity congestion strategies, the potential returns they offer, and the decision to use the death card as a symbol for quant investing.
AI Snips
Chapters
Transcript
Episode notes
Career Shift
- Gerald Rushton began his career at Lehman Brothers, working in subprime mortgages.
- After the 2008 financial crisis, he transitioned to systematic investing at Macquarie Bank.
QIS Desk Evolution
- Bank QIS desks faced criticism for the "hockey stick" profile, where backtested indices faltered after going live.
- This was attributed to over-optimistic backtesting and a rush to fill risk premium matrices, particularly a decade ago.
New Idea Sources
- Previous QIS indices over-relied on academic work and tried to apply equity quant strategies to macro markets.
- Now, ideas are drawn from trading desks, client interactions, and hedge fund strategies.