Flirting with Models Roxton McNeal and Siddharth Sethi – Building Multi-Strategy QIS Portfolios (S7E16)
31 snips
Apr 21, 2025 AI Snips
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Sid's QIS Career Journey
- Siddharth Sethi's quantitative career began trading rates straight out of college and evolved through Wall Street roles focusing on QIS strategies.
- His journey included significant work on nonlinear QIS and managing a QIS portfolio for a Soros spinoff before joining Simplify.
Structural vs Academic Premia
- Differentiating QIS premia as structural or academic helps focus on persistent market inefficiencies versus static economic theories.
- Structural premia require dynamic allocation adapting to market conditions, unlike academic premia which are static and prone to erosion.
Rigorous QIS Strategy Evaluation
- Evaluate QIS strategies by validating economic rationale and testing across diverse periods and stress scenarios.
- Internally model bank strategies to stress test parameters and avoid overfitting to historical backtests.