Flirting with Models Gerald Rushton - Commodity Strategies (Trend; Carry; Congestion; and Volatility Carry) (S6E15)
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Sep 4, 2023 Gerald Rushton, senior member of the QIS Structuring team at Macquarie Bank, shares insights on commodity strategies, including trend following, commodity carry, congestion, and volatility carry. He discusses the advantages of QIS desks, customization of mandates for clients, and the importance of understanding different types of trend following strategies. He also delves into commodity congestion strategies, the potential returns they offer, and the decision to use the death card as a symbol for quant investing.
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New Idea Sources
- Previous QIS indices over-relied on academic work and tried to apply equity quant strategies to macro markets.
- Now, ideas are drawn from trading desks, client interactions, and hedge fund strategies.
Bank Advantage
- Banks have a technological and operational edge in systematic strategies, enabling complex approaches like commodities volatility carry.
- Their large scale allows refined position taking and access to extensive data and technology.
Trend Following Pitfalls
- Be cautious of trend following being pitched as a crisis hedge, as its performance can vary.
- Consider shorter-term trend following for potential convexity, and align trend strategies with specific client objectives.