Rob Carver on Smart Portfolios and the Evolution of Systematic Trading

#ReSolveRiffs
Although most of us like to think that we will rise to the occasion when the moment comes, various studies show that the vast majority of people will sink to the level of their training in the heat of battle. A systematic response to dynamic scenarios, removing one’s emotions from the equation, has been the standard approach in the military for millennia. In the world of investing, rules-based methodologies remain a contentious topic, even though a majority of the most successful asset managers are quants. Rob Carver (Independent Systematic Researcher and Author) knew early on that his investment career could only take the ‘systematic path’. He joined us for a great conversation that covered:
- His early days on a trading floor, which felt like trying to solve Sudoku puzzles with a dozen angry men screaming at him
- Drawing inspiration from Thomas Bass, author of The Predictors
- Nuances across different rules-based methodologies
- Allowing intuition to seep in - when and how to sin
- The chasm between managing 3rd party capital versus your own money
- The evolution of his systematic thinking - the humility and beauty of ensembles
- Model fitting, automation and optimization - going down a quant rabbit hole
Rob also detailed some of his experiences during major market selloffs, particularly in the Great Financial Crisis and more recently in the Covid Crash. We also established that systematic investing just isn’t sexy enough for Hollywood, and we’ll likely never see Keanu Reeves starring in “The Covariance Matrix” (h/t Breaking the Market).
This is “ReSolve’s Riffs” - live on KZbin every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global*.
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*ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association (“NFA”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

[@BlergleslinkVettermoo]

Excellent discussion.

[@rpsulli]

Fantastic! I’ve started to follow Rob’s work and currently reading Smart Portfolios. Somehow in reading the book (only half way through atm), I missed the aspect of volatility being the most predictable variable and that’s why so much of the weighting is volatility-focused. I’m sure it’s in the book, but picking that up in the interview was huge for me.

[@bateaubaybubble3730]

Rob, you'll have to grow a beard before appearing on this show again

[@andrewlovesbry]

All great Quants require beards. It's the Thorpe-Simons theorem.