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Episode 370 18 | 10 | 2025

Sharpe Ratios, Tail Risks, and the Cost of Comfort ft. Nigol Koulajian & Alan Dunne

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Nigol Koulajian, founder of AlphaQuest rejoins Niels and Alan for a conversation about markets shaped less by fundamentals than by perception. As political influence deepens and volatility is managed rather than discovered, traditional risk signals lose meaning. Sharpe ratios climb not through edge, but through exposure to hidden fragilities. Diversification is narrowing. And while systematic strategies continue to hold their line, the forces around them are shifting - slowly, structurally, and with consequences. This episode is about recognizing imbalance in real time, resisting the comfort of consensus, and asking whether today’s apparent stability is masking tomorrow’s risk.

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Episode TimeStamps:

00:32 - Introduction to our special guest
01:57 - How did the economy end up the way it is today?
09:15 - Is it just a cycle?
19:46 - What is the end game?
23:47 - A short masterclass on skew and convexity
31:45 - How trend following has changed over time
39:18 - Should you optimize your portfolio from a short or long term perspective?
45:19 - How Nigol navigates the strong headwinds for CTAs
53:04 - Turning the risk of pod shops into opportunities
56:06 - When will we revert to a more "normal" environment?

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