Top Traders Unplugged20 Nov 2024

OI11: Avoiding the Herd: A Different Path to Alpha ft. Jerome Callut

In today’s episode Moritz Seibert is joined by Jerome Callut, one of the founders of DCM Systematic, a quantitative hedge fund based in Geneva, Switzerland. DCM Systematic aims to produce returns that are uncorrelated to trend following CTAs by pursuing a different path to alpha. In fact, the team around Jerome is very much focused on avoiding getting into trend following trades. Instead, they emphasize strategies which anticipate the flows of other traders and use several behavior-based models to distinguish themselves from the SG CTA index and other industry benchmarks. Jerome and Moritz speak discuss generic trade examples and Jerome explains why pro-active and re-active risk management is very important for them.

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Episode TimeStamps:

02:21 - Introduction to Jerome Callut

03:52 - Why they use non-trend following models

08:42 - What would happen if they added a trend following component to their model?

09:57 - The 3 categories of their trading system

11:11 - Category 1, Behavioural: Anticipating the flows and trades of other traders

15:35 - An example of how they handle flow

18:35 - Did Callut anticipate the unwind of the Japanese Yen carry trade?

21:51 - Exploiting the skid marks in the markets

23:53 - Category 2: Relative value and spread trading

29:37 - Collecting the roll down yield

31:12 - Is Callut also engaging in a short VIX positioning?

36:59 - Proactive and reactive management

38:33 - What could happen after Volmageddon?

40:42 - How they implement reactive management

41:37 - Category 3: Macro trades

46:37 - What role does automation play at DCM Systematic?

48:36 - How they implement AI and machine learning

53:38 - A work in progress

54:46 - Working with a moving target

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