So, I think there's going to continue to be a lot of opportunity there. I see continued opportunity there, as you get cross currents and different value propositions across asset classes within the commodity world. I mean, really kicking in in October, November of '20 commodities were kind of let loose. Commodities have been an absolute gift to the CTA world really, I'll say for the last 16 months. So, there could be opportunities if the Fed gets aggressive and we invert the curve, that could create a lot of opportunities in fixed income. So it's pretty hard to short fixed income, but if you end up with a flat curve shorting fixed income, it gets pretty easy actually. It's really interesting that fixed income has provided so little opportunity over really the last five years, as we've had a very stable interest rate environment.
NR:We're forced to answer questions like that because people want to know how are you going to make money, but it's obviously extremely difficult to have a crystal ball around where opportunity exists. So with that being said, where do you see the greatest opportunities in systematic global macro and why? So, it's an interesting time to invest and I think it's got maybe bad implications for the economy, maybe good implications for systematic trading.ĮMS:Yeah, Neil, clearly there's a lot going on in the world right now, both on the macro level and more particular level. And I think it's a little bit hard to imagine avoiding it without a very aggressive move from the Fed. And then when you think about what we're well aware of with the supply chain problems, coupled with the Fed and what they have to do to try to deal with inflation, stagflation, is certainly on everyone's lips. When you consider the Fed trying to dig out from under QE like we've never seen, interest rates rising. It's really hard to imagine a scenario that avoids a global slowdown right now. One thing that I think, very safe to say, is that nationalism is on the rise, and will continue to grow with what's taking place right now. It's hard for me to say in what ways systematic traders will benefit, but with movement, it's generally a positive. I think it's going to be a complicated environment to invest. I think it's got terrible implications for long-term buy and hold. It creates an extremely interesting backdrop for any type of macro trading or for that matter, any type of trading.
#Macro trading free#
And then you've got this massive over drop of sort of a massive alignment of the free world against the communist world. So you've got micro things like that going on. It brings into question the integrity of exchanges. And his quote was, "There are decades when nothing happens, and there are weeks when decades happen." And the last three weeks with the attack of Ukraine and what we're in the midst of, we really don't know from the micro complexities of LME that's under siege because they had members that couldn't meet margin calls. There's a famous quote from Lenin, which seems pretty appropriate for the times that we're living in today. NR:I don't know if we've seen more uncertain times since I've been in business, to be honest. So, clearly you have very robust experience in this space, so I wanted you to share your outlook for what's ahead. And from there began building trading models in 86 and 87, and then just evolved from there into much more complex strategies like statistical arbitrage and a whole host of other trading styles.ĮMS:Oh, very interesting background. I had been working with the Boston Consulting Group in Chicago and took a, I'll call it a part-time job with my father and ended up looking at a small portfolio of CTAs and with little experience, I'll say, just sort of thrust me into the business of allocating to CTAs, despite not having any experience. So Neil, to kick off this podcast, I wanted you to tell all of us a little about Ramsey Quantitative Systems and how you got to where you are today.
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