Episode 61

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Published on:

10th Feb 2021

Razvan Remsing: Inside the Black Box at Aspect Capital

Today’s conversation is with Razvan Remsing, Director of Investment Solutions at Aspect Capital. Aspect is a multi-billion dollar London based systematic investment manager founded by one of the original founders of AHL.

Razvan’s role is at the intersection of investment strategy research, product development, and client management, which positions him to comment on themes ranging from client engagement and communications through specific details about the underlying mechanics of Aspect’s strategies.

We start by discussing the unique challenge of communicating with clients about what to expect with systematic strategies. Razvan emphasizes the importance of helping clients gain  intuition about what’s happening inside the “black box” so that they know generally what to expect in different market environments. Ideally, clients will be sufficiently informed about the strategy they’ve invested in so that they may be disappointed with results from time to time, but never surprised.

The conversation then migrates to an exploration of what happened to Aspect’s strategies in 2020. Razvan observes that 2020 was especially interesting because we basically lived through a full market cycle in just one year (and arguably in the span of just a few weeks). He asserts that the defining factor for success or failure in 2020 was the speed of your strategy. Strategies with short forecast horizons and holding periods had the opportunity to successfully navigate the major reversals in the year, while slower moving strategies were at a major disadvantage.

We also discussed the poor performance of liquid alternatives and especially the major Style Premia products over the past few years. Razvan is unpersuaded by the view that poor performance was due to overcrowding. Rather, he attributes poor performance to an over-emphasis on classical “value” and credit type strategies, which are low Sharpe strategies to begin with. Low Sharpe strategies should be expected to endure long painful drawdowns.

The conversation also ranged into Machine Learning, the value of alternative data from capital flows, sentiment, options surface, and more esoteric sources, and how strategies informed by some of these series responded more quickly to the seismic shifts experienced in markets in 2020. Razvan shared some rare insights, for example into differences in trading and sizing exposures to commodities versus financials.

This was definitely one of our more technical conversations, with the rewards you’d expect from the ability to go deep into topics with a true craftsman.

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About the Podcast

Resolve Riffs Investment Podcast
Welcome to ReSolve Riffs Investment Podcast, hosted by the team at ReSolve Global*, where evidence inspires confidence.
These podcasts will dig deep to uncover investment truths and life hacks you won’t find in the mainstream media, covering topics that appeal to left-brained robots, right-brained poets and everyone in between. In this show we interview deep thinkers in the world of quantitative finance such as Larry Swedroe, Meb Faber and many more, all with the goal of helping you reach excellence. Welcome to the journey.

*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.