Ep. 212: Nick Baltas on Mastering Systematic Strategies from Alpha to AI

Nick Baltas is a managing director and head of R&D, cross-asset delta-one and commodity systematic trading strategies at Goldman Sachs. Prior to joining Goldman Sachs in 2017, Nick was an executive director in the quantitative research unit of UBS. Previously, he was a lecturer in finance at Imperial College Business School, a visiting lecturer at Queen Mary University of London, as well as a risk manager in a London-based hedge fund. This podcast covers: 

• Difference between alpha, beta, smart beta and factors! 
• Difference between a good backtest vs true risk premia 
• Why does momentum make money? 
• Best ways to implement momentum strategies 
• Mean reversion and value strategies 
• Carry and avoiding drawdowns 
• How macro regimes affect systematic strategies 
• How asset allocators use systematic strategies 
• Will AI disrupt this space?  
• Books mentioned: Expected Returns (Illmanen), Efficiently Inefficient (Pedersen), Trend Following with Managed Futures (Greyserman, Kaminski), Stochastic Calculus for Finance (Shreve), Financial Calculus (Baxter, Rennie), The Alchemist (Coelho), Extreme Ownership (Willink, Babin), Why We Sleep (Walker) 

You can follow Nick here. Read a transcript of this podcast 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.)