Today, we are joined by Nigol Koulajian and Mike Harris from Quest Partners, for a conversation on how they use a research driven, quantitative and systematic trading approach to generate alpha. We discuss how they generate convexity and why they have chosen to focus on short-term time frames, why they believe some investors have become too focused on Sharpe and how they use trend following and crowding in their process. We also discuss how they use an adaptive learning technique to understand markets whilst being aware of the dangers of machine learning, the power and importance of data and the potential risks of replicating managers, why liquidity is dynamic and very unpredictable and much more.
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Episode Timestamps:
02:08 - Introduction to Quest Partners
03:34 - Their investment philosophy
07:35 - A structural change in markets
15:04 - Too focused on Sharpe?
20:55 - Creating momentum
24:18 - A move toward multi-strat?
37:35 - Managing the crowd
39:13 - The persistency of market environments
41:45 - A type of machine learning?
44:12 - The source of opportunities
48:34 - The "D" word
53:30 - Thoughts on CTA replication
01:00:12 - Being a short term manager
01:02:30 - Liquidity issues and changes in markets
01:09:15 - Trend following disagreements
01:12:46 - Expectations for 2023
01:14:15 - Thanks for listening
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