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Flirting with Models - Artur Sepp - Conditional Beta (S2E5)

Artur Sepp - Conditional Beta (S2E5)

06/08/19 • 74 min

Flirting with Models

My guest is Artur Sepp, Director of Research at Quantica Capital AG in Zurich.

In 2008, Artur was working on structured credit products for Merrill Lynch, giving him a front-row seat to the ensuing credit crisis. We use this experience as a jumping off point for our conversation, with Artur providing both pragmatic and philosophical lessons learned.

One of those key lessons was the role of liquidity, which Artur argues is the key factor behind many premia we see in the market.

Artur’s focus on liquidity grew as he transitioned to London in as an equity derivatives quant, where he was responsible for building models to hedge options on illiquid underlying assets. Here we get into the nitty gritty, discussing a paper Artur wrote about the practical realities of delta-hedging options under a framework of discrete hedging and transaction costs.

In 2015 Artur moved to Julius Baer’s advisory solutions group in Switzerland where he served as a client-facing advocate for alternative risk premia strategies. Here Artur had to learn how to translate his deep quantitative knowledge into client understanding. He shares with us some techniques and tricks he learned for effectively communicating what can be rather complex ideas.

Today Artur works at Quantica Capital, whose flagship product is a Managed Futures strategy. I ask Artur for his opinion on recent struggles in the managed futures space and what he thinks the future for trend following managers will look like. You definitely won’t want to miss his answer.

Artur is a fountain of quant knowledge and offers the unique perspective of someone who has both spent time deep in the weeds and time trying to explain the esoteric. There are lots of gems in this one, so stay tuned.

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My guest is Artur Sepp, Director of Research at Quantica Capital AG in Zurich.

In 2008, Artur was working on structured credit products for Merrill Lynch, giving him a front-row seat to the ensuing credit crisis. We use this experience as a jumping off point for our conversation, with Artur providing both pragmatic and philosophical lessons learned.

One of those key lessons was the role of liquidity, which Artur argues is the key factor behind many premia we see in the market.

Artur’s focus on liquidity grew as he transitioned to London in as an equity derivatives quant, where he was responsible for building models to hedge options on illiquid underlying assets. Here we get into the nitty gritty, discussing a paper Artur wrote about the practical realities of delta-hedging options under a framework of discrete hedging and transaction costs.

In 2015 Artur moved to Julius Baer’s advisory solutions group in Switzerland where he served as a client-facing advocate for alternative risk premia strategies. Here Artur had to learn how to translate his deep quantitative knowledge into client understanding. He shares with us some techniques and tricks he learned for effectively communicating what can be rather complex ideas.

Today Artur works at Quantica Capital, whose flagship product is a Managed Futures strategy. I ask Artur for his opinion on recent struggles in the managed futures space and what he thinks the future for trend following managers will look like. You definitely won’t want to miss his answer.

Artur is a fountain of quant knowledge and offers the unique perspective of someone who has both spent time deep in the weeds and time trying to explain the esoteric. There are lots of gems in this one, so stay tuned.

Previous Episode

undefined - Tammira Philippe and Elena Khoziaeva - It's all Greek to Me (S2E4)

Tammira Philippe and Elena Khoziaeva - It's all Greek to Me (S2E4)

In this episode, I am joined by Tammira Philipe and Elena Khoziaeva, both of Bridgeway Capital Management, a quantitative asset manager founded in 1993 offering systematically managed equity strategies.

But that’s not how Tammira or Elena would describe it. And that’s what this episode is all about: communication in the realm of quant.

As President and CEO of Bridgeway Tammira provides us with a perspective of why effective communication is so important for building an enduring asset management firm and why quants, in particular, face an up-hill battle.

Elena, who serves as head of US equities, offers us insight from the PM seat and provides some practical advice on how to best communicate difficult quantitative ideas.

We discuss both the importance and difficulty of on-going investor education, smart beta’s impact on industry comprehension, and ideas for how quants can better communicate in the future.

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undefined - Jason Thomson - The Growth Factor (S2E6)

Jason Thomson - The Growth Factor (S2E6)

My guest in this episode is Jason Thomson, a portfolio manager at the William O’Neil family office.

On paper, Jason doesn’t seem like a particularly good fit for this podcast. He runs a highly concentrated discretionary portfolio of growth equity names. He can be levered long, net short, or completely out of the market all at his discretion.

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As a quant, it is tough to hear “growth” and not think “expensive.” Jason dismisses the idea that growth investing is all about headline-making, high-flying stocks, though, and emphasizes the importance of valuations. In fact, about a quarter of his holdings are turn-around plays.

We talk about the role of investment themes, the importance of position sizing, and how Jason thinks about managing risk in a portfolio with less than ten names.

The idea of managing a portfolio the way Jason does definitely put me out of my comfort zone, but our conversation made me reconsider what I think I know about growth investing

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