In partnership with:
CME Group

18 Estimating and Predicting Black Swan Events with Peter Kambolin of Systematic Alpha Management – 2of2

“For us, mean reversion is the key to the game.” – Peter Kambolin  (Tweet)

Imagine if your assets under management went from $721 million to $50 million….

Would you have the courage to stick with your system?

Our next guest was able to weather that storm and come out even stronger. In fact, he gives credit to the fall in assets because it was an important component to improving their processes and efficiency today.

We’re excite to share with you, the second part of my interview with CEO of Systematic Alpha Management, Peter Kambolin.

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In This Episode, You’ll Learn:

  • How many markets Peter trades and the number of different spreads
  • The three points during a day in which volatility is elevated
  • What triggers an exit from a trade when profit levels haven’t been reached

“If we hold positions for hours, it’s extremely important to take into account intraday seasonality.”  (Tweet)

  • How Systematic Alpha Management makes decisions relating to sizing market positions
  • The number of daily trades Systematic Alpha implements
  • How much of the P/L comes from the hedge component of spread decisions

“The best time to invest is not at the new high water mark. The best time to invest is during a drawdown if that manager has a long enough track record and has shown an ability to improve and recover.”  (Tweet)

  • What kind of Risk Budgets that Systematic Alpha Management runs
  • How to drawdown profile has changed over the last few years
  • Estimating and predicting Black Swan events

“We strongly believe in our ability to recover and that is exactly what happened.”  (Tweet)

  • How Peter personally balances the challenging feelings of managing a portfolio in drawdown
  • Exploring mean reversion and how the hedge ratios change daily
  • On the value of being located in the heart of New York
  • The biggest challenge for Peter in running Systematic Alpha Management

“On one hand we try to be dynamic in how we hedge as we trade, on the other hand, if the changes are too strong we will ultimately cut the risk and stop trading.”  (Tweet)

  • Peter’s opinion on why success in the CTA industry has shifted from the United States of America to Europe
  • Why individuality is critical in success in the CTA industry
  • Peter Kambilin’s biggest failure and what he learned from it
  • Some fun facts about Peter that you probably would never have guessed

“To me investors are too focused and concerned with headline risk.”  (Tweet)

Sponsored by Swiss Financial Services and Saxo Bank:

Saxo Bank Sponsor of Top Traders Unplugged

Connect with Systematic Alpha Management:

Visit the Website:

Call Systematic Alpha Management: +1 646 825 8075

E-Mail Systematic Alpha:

Follow Peter Kambolin and Alexei Chekholov on LinkedIn

“I would say it’s more art than science. We would look at which countries are behaving normally, which ones are generating positive returns and we would re-leverage those first.” (Tweet)

Peter’s questions for the next guest on Top Traders Unplugged:

“What percentage of your gains come from cash returns?” (Tweet)