Trend Following, Signal Deterioration, & Crypto Modelling With Quant Artur Sepp

This week, we're adding another stamp to our Derivative passport and traveling to Zurich, Switzerland, as we talk to the Head of Systematic Solutions and Portfolio Construction at Sygnum Bank's Asset Management, Artur Sepp @ArturSepp — who specializes in crypto-assets and decentralized finance. Artur has led quantitative research at systematic trend-following hedge fund Quantica Capital, focusing on data-driven investment strategies and asset allocation in global managed futures.

In this episode, we dig into his background to discover what it's like being a quant (not as much like TNG character Data as Jeff would like…) and discuss; coding, mathematical modeling, and why statistics matter (testing simple, yet complicated models), the framework of trend following (be sure to download our trend-following guide here), pros and cons of risk premia strategies, quants trying to figure out the short data sets in Crypto and more! Plus, find out where Artur would invest 1K, 1 MM, and 100MM in Crypto.

Chapters:

00:00-01:44 = Intro

01:45-10:47 = Coding, Math, Data, Stats - Testing simple, yet complicated models

10:38-38:12 = Framework of Trend following: The Carry, When factors are identified & Why Trend following could fall flat

38:13-42:37 = Pros & Cons of Risk Premia strategies

42:38-53:38 = Dynamic Trends in Option volumes & Is the VIX dangerous?

53:39-01:13:25 = Quants on Crypto

01:13:26-01:23:44 = What would you invest in?

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From the Episode:

Check out our podcast with Roy Niederhoffer - Making Market Music

Follow Artur on Twitter at @ArturSepp and check out his Blog on Quantitative Investment Strategies

Don't forget to subscribe to The Derivative, and follow us on Twitter at @rcmAlts and our host Jeff at @AttainCap2, or LinkedIn , and Facebook, and sign-up for our blog digest.

Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer