TTU18: Estimating & Predicting Black Swans ft. Peter Kambolin of Systematic Alpha Management – 2of2

Imagine if your assets under management went from $721 million to $50 million….

Would you have the courage to stick with your system?

Our next guest was able to weather that storm and come out even stronger. In fact, he gives credit to the fall in assets because it was an important component to improving their processes and efficiency today.

We’re excite to share with you, the second part of my interview with CEO of Systematic Alpha Management, Peter Kambolin.

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In This Episode, You’ll Learn:

• How many markets Peter trades and the number of different spreads
• The three points during a day in which volatility is elevated
• What triggers an exit from a trade when profit levels haven’t been reached
• How Systematic Alpha Management makes decisions relating to sizing market positions
• The number of daily trades Systematic Alpha implements
• How much of the P/L comes from the hedge component of spread decisions
• What kind of Risk Budgets that Systematic Alpha Management runs
• How to drawdown profile has changed over the last few years
• Estimating and predicting Black Swan events
• How Peter personally balances the challenging feelings of managing a portfolio in drawdown
• Exploring mean reversion and how the hedge ratios change daily
• On the value of being located in the heart of New York
• The biggest challenge for Peter in running Systematic Alpha Management
• Peter’s opinion on why success in the CTA industry has shifted from the United States of America to Europe
• Why individuality is critical in success in the CTA industry
• Peter Kambilin’s biggest failure and what he learned from it
• Some fun facts about Peter that you probably would never have guessed

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