Aaron Wright, the co-founder of OpenLaw, narrates his journey into cryptocurrencies and speaks with Moritz Seibert, CEO/CIO of Munich RE Investment Partners, about the opportunities and limitations of decentralized autonomous organizations (DAOs). Wright jokingly describes DAOs as Reddit groups with a bank account attached. DAOs are community-led organizations represented by rules encoded as a computer [...]
Filmed on October 8, 2021 at Token 2049 in London. Following an 18-month absence from the UK (which has been far too long), we finally managed to get back to London. Sounds easier than it actually was as we needed to take a COVID test, a day-2 test, and all the rest of it, but [...]
It’s been a while since we published the last update on our 2Q Portfolio. While we update the live performance numbers each week on our website here, we don’t usually release details on the 2Q Portfolio’s positioning or its return drivers. But, with the third quarter now behind us, we reckon it’s about time [...]
Thus far 2021 has been a great year for systematic trend following traders. Although there's been some PL giveback in the past two months, the SG Trend Index (Bloomberg: NEIXCTAT Index) has managed to make a new all time high in June (see chart below). Many of the markets traded by CTAs have also [...]
Here's a question which comes up time and time again, and I've heard it again this week. Why invest in a trend following CTA when I can buy and hold the S&P 500 for "zero cost" and end up making money when holding it for multiple years? Note that I've put quotation marks around "zero [...]
Trading is the hardest game in the world. It’s just you against the market and there’s no referee. Your bankroll is an unerring real-time scorekeeper. It goes up when you win, and down when you lose. It’s that simple. Far from simple is the fact that you’re up against some of the sharpest minds [...]
Investors do not necessarily lower their risk by reducing the volatility expectation of their returns. That’s because volatility and risk are two very separate matters. When investors are too keen on obtaining a smooth “all weather” return stream, odds are that at some point they will end up with the opposite. That opposite is negative [...]
What signals do you use to get into a trend following trade - price breakouts, or moving averages? That's a question which has come up several times on the Systematic Investor podcast in recent years. Through this article I'd like to answer the question a bit more detail and give an overview of the [...]
Jerry Parker, chairman and CEO of Chesapeake Capital, joins Moritz Seibert, CEO/CIO of Munich Re Investment Partners and one of the two quants at twoquants.com, for a deep dive discussion on systematic trading strategies. Parker has had an exceptional career as a systematic trend following trader, and over the last 32 years, Chesapeake has compounded [...]
It's been my pleasure to give an introductory presentation/course on options and volatility to a select group of students at Queen's University.Download the slide deck here.Main discussion points:The basics: forward pricing theory, quanto vs. local forwardsAlternatives to the Black-Scholes modelSkew and term structurePut-Call ParitySensitivities ("Greeks")The GME gamma squeezeVIX, VSTOXXCorrelation & basket optionsThe key to learning [...]
