Episode description

Maia Mathieson and Faheem Osman, both Managing Directors at Macquarie Bank in London speak with Moritz Seibert about the bank’s growing Quantitative Investment Strategies (QIS) business and how their rules-based indices can help investors to efficiently access various risk premium strategies across asset classes. Maia and Faheem explain the key return drivers behind their commodity-focused strategies, for example curve carry and congestion, and explain why they believe these to be structurally sustainable. We also discuss their client base and how the Macquarie QIS team focuses on designing robust indices that are not curve-fit to historical data.

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Episode TimeStamps:

02:22 - Introduction to Maia & Faheem

08:48 - What are the most popular return drivers?

11:35 - What is driving carry trading?

15:10 - When does carry trading stop working?

17:23 - Combing strategies for more diversification

20:26 - Why does the volatility carry factor exist in the commodity space?

22:52 - How do they have an advantage over their competitors?

24:40 - What is their core client...