The Strategies & Risks In Quant Trading | Mike Harris
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Jack: Very pleased to welcome to forward guidance for the first time, Michael Harris, president at Quest Partners, a quantitative driven investment fund. Mike, great to see you. Tell us a little bit about yourself, your background, and Quest Partners. What type of quantitative investor are you? What type of quantitative is Quest Partners?
Mike: Thanks again for having me on. I'll start by just telling you a little bit about my background. I think it's unique because I've been in the quantitative hedge fund space, literally since, the beginning of my career over 25 years ago. I started at Morgan Stanley as an allocator, to quant funds, CTAs, and and macro funds. I caught I kind of, caught the trading bug, if you will, when I, was doing due diligence on a lot of portfolio managers sitting on desks.
Wanted to kinda get a taste for trading the markets myself, became a sell side, you know, futures options and currencies broker, covered a ton of CTAs and quant managers, as well as discretionary macro, and then realized that, you know, you could train a monkey to do what I did back in the old days kind of on 2 phones just herding order flow back and forth between buy side trading desks and the floor, in many cases. I was fascinated by the buy side and wanted to kind of understand, you know, how are they coming up with these trading decisions? Were they using data and models? Obviously, the qu
I spent 12 years on the execution side there, and then became president of the firm, and did that for about 8 years, kind of running, that, you know, large multibillion dollar CTA. Pseudo retired at the end of 2019. I had a bit of a sit out, you know, due to non compete, reasons. Ran a a multi family office, which was incredible to put my allocator hat back on and be able to help, you know, ultra high net worth families invest not only in traditional stocks and bonds, but, you know, really help them build a portfolio to kind of, you know, quote, unquote keep them rich for the long term, using
And then 2 years ago, Quest's president was, retiring, and I got the the phone call. I had met Nagal at a number of industry conferences over the years. I think even probably spoke with him, our our founder, and was excited, when they extended me the opportunity to come and and be the president of Quest. And so now I've been been there for about 2 years. Quest is a 2 and a half $1,000,000,000, short term quantitative hedge fund.
Within the CTA universe, we fall into the realm of what are called short term traders, which is typically people that trade, you know, faster than, let's say, 2 weeks. Our average holding period is about 6 to 9 days. But as you can imagine, we have some trades that happen intraday, which would be our fastest, and then probably our slowest are, you know, about 40 days or so. So we we we try to capture momentum in the markets, in a number of of different ways. And I think, really, one of the things that Quest is known for, is our focus on, you know, delivering positive skew or convexity, in our
You know, when when volatility, you know, picks up in the markets as a result of, who knows, a surprise economic release, a geopolitical conflict, something that the market wasn't expecting or pricing in, positively skewed strategies like ours, tend to do very well. Markets react. They break out of recent trading ranges. Our models pick up on that. We're able to kind of load into those trades very quickly, and the profits that we make during those times of turmoil, we kind of jokingly say we're putting the hedge back in hedge funds.
Jack: CTA's commodity tr
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