202: Betting Against Stability w/ Wayne Himelsein

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Wayne Himelsein begun his career on a proprietary trading desk at Carlin Financial Group in the mid-90’s, doing statistical arbitrage—complimentary to his mathematical nature.

Come 1999, Wayne launched his first fund to begin managing money for clients and institutions. Then in 2011, Wayne founded Logica Capital Advisers, where he currently takes the role of Chief Investment Officer.

Logica, as a quantitative investment firm, relies on rigorous research to develop its various model-driven strategies. For the most part, these are mean expansion strategies that generate alpha from being long volatility.

Timestamps & Topics:

Please note: Exact times will vary depending on current ads.

  • 01:45 – Early experiences on a proprietary trading desk, stat-arb strategies.
  • 10:40 – Betting on volatility, an example of expressing a long volatility trade idea.
  • 19:00 – Overcoming periods of low volatility, scalping noise around a core position.
  • 33:00 – Wisdom for aspiring quants, modelling mistakes, brainstorming, practises.
  • 55:45 – Observations from market crashes and recoveries, structural dynamics.

Wayne Himelsein: Chief Investment Officer at Logica Capital Advisers, President of Informed-by-Nature.

Links and resources mentioned: