SI07: What is; alpha, smart beta, implied vol, crisis alpha and convexity?
Episode description
Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of.
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Episode TimeStamps:
00:00 – Intro
01:15 – Weekly recap of performance
08:30 – Discussion of recent articles
21:30 – Top tweets
36:10 – Question 1: Mohit; Discuss moving averages as a TF device; position sizing; correlations
43:20 – Question 2; Paul; How many investors are out there who use TF but their AUM doesn’t show up in the official industry AUM #s
47:10 – Question 3: John; Asked about industry jargon and definitions: alpha; smart beta, implied vol, crisis alpha, convexity
51:30 – Question 4: Mohit; Is looking at correlations in the rearview mirror fallible?
52:50 – Question 5: Dave; What is the average time in trade of winners in a medium-term system?
57:10 – Question 6: What software do you use for backtesting/system management?
01:01:40 – Benchmark performance update
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