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...

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

Top Traders Unplugged