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174 episodes
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The Derivative RCM Alternatives
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5.0 • 2 Ratings
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Welcome to The Derivative by RCM Alternatives, where we dive into what makes alternative investments go, analyze the strategies of unique hedge fund managers, and chat with interesting guests from across the investment world. Hosted by RCM Managing Partner, Jeff Malec, join us to take a ride through the world of alternative investments.
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Hedge Fund Quants Unlock the Power of Dispersion: Versor's Unique Cross-Sectional Relative Value Approach
In this episode of The Derivative, host Jeff Malec sits down with DeWayne Louis and Nishant Gurnani
from Versor Investments, a quantitative investment firm celebrating its 10th anniversary. The discussion delves into the personal backgrounds and journeys that led to Versor’s founding, from their work providing efficient exposure to traditional hedge fund strategies through risk premia type approaches to new methods such as their unique GETT program which goes long/short more thana
dozen global stock index futures markets.
The conversation explores the evolving skill sets required in the hedge fund industry, including the importance of math, quantitative finance, and AI/machine learning expertise.
Versor's investment strategies are examined, focusing on their use of alternative data sets and innovative approaches to alpha generation, such as their
cross-sectional relative value strategy which looks to capture dispersion in global equity markets through more than 30 alpha forecast models across short, medium, and long term time frames.
Join us for this comprehensive look into the quantitative investment strategies and innovative thinking that have helped Versor navigate the competitive hedge fund landscape over the past decade.
Chapters:
00:00-01:38=Intro
01:39-12:22= Summer in the City and starting a Quant firm
12:23-25:10= 3 broad strategies, cross-sectional portfolios & positive convexity
25:11-42:57= GETTing into the strategy, dispersion across markets & capturing market dislocations
42:58-54:26= Alternative data sets & natural language
processing
54:27-01:01:38= Using A.I., generative models & compliance constraints
01:01:39-01:10:51= Long short equity, use of data & the next 10 years
From the episode:
Has Trend Gone Flat? Return Convexity in Trend Following (whitepaper)
Versor10: A Decade of quantitative research in 10 whitepapers
Bastian Bolesta on The Derivative episode
Salemn Abraham on The Derivative episode
Follow along with Versor on Twitter @VersorInvest, look them up on LinkedIn - DeWayne | Nishant and check out their website versorinvest.com for more information
Don't forget to subscribe to The Derivative, 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, -
Volatility Vultures: Hunting for Options Talent with Gary Selz of Zero Delta
In this episode of the Derivative we chat with Gary Selz, co-founder of Zero Delta Funds. Gary shares his background growing up in Chicago and studying electrical engineering at Northwestern University. He discovered options trading through a financial engineering course and was introduced to a Chicago prop trading firm. Gary discusses his experience training as a new trader at the prop firm. He explains how traders are given time and support to learn before getting their own book to trade. Gary reflects on the diverse career paths that can lead traders to prop shops, from poker players to accountants. The conversation covers Gary's transition from trading to investing his own money in volatility
strategies. This led him to co-found Zero Delta Funds and launch a fund seeking talented volatility traders from across the globe and not always where you’d
expect. Gary highlights their process of finding under-the-radar traders internationally and evaluating their sophistication. Gary and Jeff discuss various aspects of options trading, including the evolution of the market
landscape. They analyze single stock versus index volatility trading. Gary shares insights on the current opportunity set and speculates on potential future market catalysts. Come join us as we dig deeper into option and vol trading and into the mindset of successful volatility traders.
Chapters:
00:00-01:34=Intro
01:35-15:45=Electrical engineering to prop trading, nature vs nurture & trading floor antics
15:46-25:08= Balancing talent with technology in prop firms – traders finding their edge
25:09-31:42= Launching Zero Delta, investing in volatility with no strategy drift
31:43-45:19= Option vs Vol traders, Getting an edge, seeking out specialty traders
45:20-57:01= Single name vol, what’s Zero delta? And positioning your portfolio for the unknown
Follow along with Gary on Twitter @SelzGary, check him out on LinkedIn and make sure to visit zerodeltafunds.com for more information.
Don't forget to subscribe to The Derivative, 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 -
Carry On: Demystifying the Carry Trade with Rodrigo Gordillo & Adam Butler of ReSolve
We’re back! Today’s podcast features The Derivative show stoppers Rodrigo Gordillo and Adam Butler of Resolve Asset Management discussing the carry trade and its
applications in investment strategies. They begin by explaining what the carry trade is and discussing common misconceptions around it. They then dive into different types of carry that can be found in various asset classes like bonds, commodities, currencies, and equities. The guests discuss how carry strategies can be implemented, either on their own or as part of a larger multi-strategy
portfolio. They also compare carry to trend following strategies and debate the pros and cons of each approach. The podcast explores how a diversified carry
factor can provide returns with reduced risk when combined with other strategies. Rodrigo and Adam explain how carry fits into their risk parity framework and can be used to tilt allocations. They also discuss integrating carry and trend signals to lower trading costs. Gear up to receive that spoonful of sugar that indeed will make the medicine go down with tons of insight and access to some great content as an investment factor and
perspectives on its role in multi-asset portfolios.
Chapters:
00:00-01:31= Intro
01:32-10:31= What’s a carry trade?
10:32-20:34= Types of carry in different asset classes & Implementing strategies
20:35-33:11= Carry vs Trend & portfolio applications of carry
33:12-49:05= Combining carry & trend: How does it fit together?
49:06-01:04:54= Why Carry? The future of carry strategies
From the episode:
The Rise of Carry(Book)
The Carry Trade post
Get Stacked Podcast
ReSolve Riffs Podcast
Setting the Risk Parity Record Straight - The Derivative episode
Researching the Risks of return stacking with Corey Hoffstein & Rodrigo Gordillo - The Derivative episode
Asset Allocation, AI, and the Alpha process with Resolve - The Derivative episode
Follow along with ReSolve Asset Management on Twitter/X @InvestReSolve Adam Butler @GestaltU & Rodrigo Gordillo @RodGordilloP, LinkedIn and check out their research page for more information
Don't forget to subscribe to The Derivative, 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 suc -
Surviving Adversity, Building Resilience, and Evolving a Quantitative Investment Firm with Joe Kelly of Campbell
Joe Kelly, partner at Campbell & Co., joins us this week for a new episode of The Derivative. Jeff starts talking skiing, as he’s apt to do, but this time is a bit different, with Joe sharing an update on his recent recovery from a nasty ski accident that nearly left him paralyzed (or worse). We
then move right into Joe discussing his career journey from trader to founding a FinTech startup during the tech bubble, to joining the long-time managed futures standout Campbell & Company.
Joe touches on the firm's focus on collaboration and shared research culture differing from the classic ‘pod shop’ model. Kelly and Malec discuss Campbell's investment strategies, including trend following, quantitative macro, long/short equity, and short-term trading.
They also debate systematic macro strategies versus global macro versus trend following; while touching on risk management, portfolio construction, and the challenges of managing non-correlated investments. Kelly provides insights into Campbell's future plans, including enhancing short-term capabilities with AI and considering new asset classes. This episode has it all! A little alternative investment history tour, a peek inside one of the most successful Alts firms of all time, and bringing it back full circle, overcoming adversity through resilience. SEND IT!
Chapters:
00:00-01:50=Intro
01:51-13:04= Skiing gone wrong and finding resilience to
defy the odds
13:05-22:10= Early trading days: FinTech, Hedging stock
options, Rotella Capital, and industry revolution
22:11-35:57= A Campbell opportunity, firm culture &
collaboration in investment management
35:58-48:03= A 4 Bucket approach, stable vol, convexity
locked in, & transparency for portfolios
48:04-58:29= Quant Macro vs Trend – Momentum signals and relative value strategies / Replication: Impossible?
58:30-01:06:19= What’s next? Date density and Short-term opportunities - Wait, what about A.I.?
From the episode:
MMI Index Article (Blast from the past: How futures saved stocks)
Panel Event Podcast with Joe Kelly (Why Systematic, Why CTA? Why Now?)
Andrew Beer on The Derivative episode (Fund replication)
Check out our Trend Following Guide!
Follow along with Joe on LinkedIn and for more information visit Campbell's website at
https://www.campbell.com/
Don't forget to subscribe to The Derivative, 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 pas -
50 Charts showing the Current State of Volatility, with Jeremie Holdom and Colin Suvak of LongTail Alpha
This episode of The Derivative discusses the current state of Volatility – and how to use those measurements in diversifying investment strategies with Jeremie Holdom and Colin Suvak of LongTail Alpha, an investment firm focused on tail risk hedging. The guests share insights into their work, analyzing volatility across asset classes and constructing customized hedging solutions for institutional investors.
Jeff, Jeremie, and Colin do something a little bit different in this pod – walking through several graphics and charts to discuss notable stats and trends in implied and realized
volatility pricing in not just equities, but across various asset classes including energies, Gold, interest rates, and more. Check the episode out on YouTube if you're wanting to see their beautiful charts. They also explore topics like the influx of options selling and its implications. They dive into topics like interest rate movements, inflation effects, fixed income-equity correlation shifts, and how these influence positioning across strategies like tail hedging and trend following.
Learn about Longtail's customized approach to constructing hedging solutions around tail hedging costs and frameworks like generalized optionality and how the firm evaluates basis risk. This discussion also covers challenges measuring counterparty risk and the interplay between explicit and implicit hedging strategies. Sit back and look at how professionals interpret shifting market dynamics and construct diversified portfolios using alternative risk mitigation approaches. SEND IT!
Chapters:
00:00-02:24=Intro
02:25-08:40= Cal vs Can
cost of living & backgrounds among the tails
08:41-18:11= Generalized optionality & Risk mitigation – Long vol, the core of basis risk
18:12-24:25= Diversifying strategies, hedging Nasdaq, customized approach, & tail risk hedging
24:26-37:24= Keeping tabs on all type of Vol – why does it matter? Basis risk across all asset classes
37:25-51:32= Implied vs realized Volatility, Volatility skew & short-term vol
51:33-01:00:44= The Vol selling influx / 0DTE
01:00:45-01:15:27= The shake out & blending all pieces together
From the episode:
Taming the tails with LongTail Alpha’s Vineer Bhansali on The Derivative
LongTail Alpha Whitepaper: Option Total Return and Active Option Portfolio Management
Follow along with LongTail Alpha on Twitter with Vineer Bhansali @longtailalpha , on LinkedIn with Jeremie Holdom & Colin Suvak & also check out there website for more information: LongTailAlpha.com
Don't forget to subscribe to The Derivative, 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 -
Finding Alpha in Unexpected Places: Doug Greenig on Trend Following Beyond Developed Markets
In this in-depth conversation, Jeff Malec picks the brain of veteran quant Doug Greenig about pursuing trends on a truly global scale. Greenig takes listeners on his fascinating career journey, from cutting-edge fixed income modeling at Goldman Sachs to managing risk at MAN AHL's pioneering CTA firm. He explains how this
experience led him to establish Florin Court Capital and develop novel ways of accessing over 500 international markets. Greenig and Malec engage in a lively debate about capturing narrative shifts, the effects of high-speed trading, and how allocators can balance exposure to alternative trends. Listen in on unique insights into operational challenges like structuring swaps to trade illiquid assets. Greenig also discusses how Florin Court scales risk across a massive portfolio while still delivering the crisis protection allocators seek. This revealing episode pulls back the curtain on one firm's quest to follow profits wherever macro winds may blow. SEND IT!
Chapters:
00:00-01:48=Intro
01:49-04:21= Diverse economies
04:22-22:25= Economist turned PH.D, fixed income derivatives & trend potential in emerging markets
22:26-37:00= Alternative markets/Alternative trend: Exposure to CTAs, global orientation & unique opportunities
37:01-51:20= Refining models, when narratives change, signal strength & volatility targeting
51:21-01:01:34= What drives trend, removing the narrative & moving into a complex world
01:01:35-01:06:59= Florin Court...the apartment building?
From the episode:
History of Managed Futures whitepaper
Guide to Trend Following
Follow along with Doug on LinkedIn and for more information on Florin Court and their team visit florincourt.com
Don't forget to subscribe to The Derivative, 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