Ep. 137: Igor Yelnik on How to Trade Macro Differently

Igor founded Alphidence Capital in 2020 and holds the positions of CEO and CIO. The fund is unusual in that it focuses on systematic macro investing. Previously Igor was the CIO for ADG Capital Management LLP from 2013 to 2019. Prior to that he spent 9 years at IPM Informed Portfolio Management AB where he was a Partner and Head of Portfolio Management and Research. Igor graduated from Leningrad Polytechnic Institute in 1986 where he obtained a Master’s degree in Computer Science. In this podcast we discuss:

1. Why systematic would work in macro when most macro funds are discretionary
2. How to model central bank reaction functions
3. Use of valuation models
4. How to manage risk
5. The problem with stop losses
6. Need for long history to assess low Sharpe ratio strategies
7. Why theory is important
8. Why to not use smart beta ETFs
9. Whether trend-following works
10. Importance of carry strategies
11. How to reduce large losses
12. Whether machine learning can help
13. Current view on inflation
14. Books mentioned: Evgeny Onegin (Pushkin), The Dame of Spades (Pushkin), The Belkin Tales (Pushkin), Karamazov Brothers (Dostoevsky), Crime and Punishment (Dostoevsky), Master and Margarita (Bulgakov), The Heart of a Dog (Bulgakov), The White Guard (Bulgakov). Sofia Petrovna (Chukovskaya), The Glass Bead Game (Hesse), Journey to the East (Hesse). The works of M.Zhvanetsky. The works of V.Vysotsky.

You can connect with Igor here.

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(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs.)