Ep 7. Quant Driven Asset Allocation

Trader Chats

In this episode Imran Lakha, founder of Options Insight, talks to Darius Dale, founder of 42 Macro.

Darius started his career at Hedgeye Risk Management, conducting macro research by building quantitative models based around identifying the growth and inflation regimes of global markets.

Using this approach and backtesting cross-asset returns against the 4 regimes (the GRIDs), he helps investors navigate the market with robust portfolio construction and risk management. Being data driven and multi-factor, allows him make investment decisions without bias and be honest about what the market is telling him. They use the analogy of needing both the “weather forecast” (market price signals) and a “map” (macro regime forecasting) to get to your destination safely.

They discuss the volatility signals that 42 Macro uses to help identify when markets may be stretched in one direction or another, the VIX/VVIX ratio which is a key metric that Darius uses and how incorporating SKEW moves could enhance the model even further in the future.

Finally, they talk about the current macro environment and how equity markets and bond markets seem to be signalling quite different market regimes with equities focussed on the short term, whereas bonds are looking further into the future where growth headwinds are highly likely to materialise.

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NONE OF THE MATERIAL IN THIS PODCAST SHOULD BE CONSIDERED AS INVESTMENT ADVISE, IT IS FOR INFORMATIONAL AND ENTERTAINMENT PURPOSES ONLY. ALWAYS CONSULT A REGISTERED INVESTMENT PROFESSIONAL BEFORE MAKING INVESTMENT DECISIONS. THE VIEWS AND OPINIONS EXPRESSED ON TRADER CHATS ARE THOSE OF THE PARTICIPANTS AND DO NOT NECESSARILY REFLECT THOSE OF THE HOST. OPTIONS INSIGHT OR IMRAN LAKHA SHALL NOT BE LIABLE FROM LOSSES RESULTING FROM INVESTMENT DECISIONS BASED ON INFORMATION OR VIEWPOINTS PRESENTED ON TRADER CHATS.