Announcing The Leading Practitioners In Volatility And Systematic Investing 2023

EQDerivatives is proud to announce its list of Leading Practitioners In Volatility And Systematic Investing 2023. The list recognizes those that made a significant contribution in terms of research, product design or strategy innovation in quantitative and volatility investing last year.

The list was compiled by EQDerivatives’ edit staff. We started with the nominations made through our online form and selected the final list based on interviews with participants and their peers. We looked for details about individuals’ contributions to the industry at large in 2023 as well as for their work on specific products or strategies last year.

 

Gillis Björk Danielsen, APG

Gillis is an expert in commodity alpha strategies. The innovations from Gillis and his team at APG across machine learning and ESG have advanced commodity trading. Gillis and his team have built systematic trading capabilities, leveraging traditional risk premia as well as machine learning and artificial intelligence to boost returns. Gillis is also a thought leader on integrating sustainability into commodities. In 2023 he developed the Accelerated Commodity Transition Index. 

Gillis Björk Danielsen is an expert portfolio manager and research lead of commodities at APG Asset Management, where he leads the development of quantitative models for commodities.

 

Mike Chen, Robeco

Mike has made a significant contribution to how natural language processing tools can be used within systematic investments. Mike and his colleagues at Robeco have designed and developed audio data signals using artificial intelligence which they added into strategies in 2023. This advancement goes far beyond signal and text analysis and can convert audio files into embedded vectors which can be used to predict on the margin what a company stock is likely to do. He has also published a number of journal articles across quantitative sustainability, machine learning and alternative data.

Mike Chen is the head of alternative alpha research at Robeco. He is responsible for leading the research and development of innovative alpha insights and solutions.

 

Joe Elmlinger, Lake Hill Group

Joe’s 30 years of experience trading equity derivatives has been a healthy boost to Lake Hill Group’s talent in developing unique hedging strategies. Joe has been a pioneer in derivatives sales and is recognized as a leader in structured products and customized financial engineering for clients. Joe and his peers have started expanding the manager’s depth of products to account for ballooning institutional interest in some of the firm’s more popular strategies – such as its dynamic equity replacement hedge strategy.

Joe Elmlinger is head of client solutions at Lake Hill Capital Management. He contributed to the structuring of the firm’s two most recent strategies: The Dynamic Hedge strategy that aims to deliver an asymmetric return profile with a positive expected carry and the Income Builder overlay strategy that looks to enhance portfolio yield annually by exploiting dislocations across the volatility curve.

 

Zed Francis, Convexitas

Zed and his team completed almost 16,000 trades across five custodians over many client mandates in just over two years since inception. Zed and his colleagues author ongoing content and research, the most popular of which have covered credit market stress points and the difficulty of achieving meaningful diversification in the presence of basis risk. Zed is concerned with giving investors the ability to diversify with long volatility, liquidity enhancing and sector replacement strategies – allowing them to diversify without disrupting existing allocations and tax basis at all major U.S. retail custodians. 

Zed Francis is the chief investment officer of Convexitas, where he oversees a range of long volatility and sector replacement strategies.

 

Laura de Frutos, BBVA Asset Management

Laura is globally recognized for managing multi-asset funds and defensive risk premia strategies. Her knowledge across assets has helped her skillfully combine premia to improve portfolio construction throughout various market conditions. Most recently, she has focused on systematic strategies that can provide value in inflationary periods. Laura and her colleagues added these strategies to the firm’s alternative risk premia offering in 2023.

Laura de Frutos is head of alternative risk premia at BBVA Asset Management and has more than 25 years’ experience in the industry, managing different asset classes.

 

Harindra de Silva, Allspring Global Investments

Harindra has been working on cutting-edge quantitative strategies for almost three decades at Allspring Global Investments and its predecessor companies. For almost as long, he has been committed to spreading awareness of optimized investments and improving investor access to educational materials, as with this piece in Institutional Investor in 2012 and, more recently, an interview with Meb Farber on factor weighting and portfolio selection. 

Harindra de Silva is a portfolio manager at Allspring. In 2023, he evaluated defensive equity portfolios for the firm. He was nominated for his recent machine learning work, in particular, for incorporating machine learning into systematic portfolio construction.

 

Florian Ielpo, Lombard Odier 

Florian’s insights into the macro environment have been paramount in helping investors navigate last year’s turbulent markets. In the quarterly publication Simply Put, he offers clear insights into multi-asset investing, macro and research. Florian is an opinion leader and is regularly cited by institutional investors for his actionable research insights that can be transformed into real performance with a rigorous and academically driven approach. 

Florian Ielpo is head of macro in LOIM’s multi asset group, where he drives the use of macroeconomic inputs in the group’s investment solutions. Florian regularly publishes articles and books and teaches empirical finance and quantitative portfolio management techniques at HEC Lausanne, Paris Dauphine University and Emlyon Business School. 

 

Roni Israelov, NDVR

Last year was an exceptionally busy one for Roni Israelov, who published research on put-spread collars as well as two different papers on the tax implications of systematic equity investing. One piece compared direct indexing with exchange-traded funds and the other looked at personalized investing and stock restrictions. The research reflected his effort to “be bold and audacious” in bringing the latest in quantitative investing techniques to high-net-worth investors.

As Chief Investment Officer at NDVR, Roni last year worked to use technology to overhaul the wealth industry and create the kind of digital-first experience that has transformed so many other consumer experiences.

 

Simon Judes, Winton Group

Simon and his team at Winton led a sharp recovery in the performance of the firm’s flagship USD2.6 billion diversified macro commodity trade advisor program since 2020 and the program was the top-performing constituent in the SG CTA Index during 2023. Through their efforts, Winton’s trading universe was expanded into more alternative markets, specifically energy and Chinese commodities, while also navigating research into innovative diversifying signals that complement trend following strategies and the implementation of Winton’s risk management framework.

Simon Judes is co-chief investment officer at Winton Group. 

 

Yana Keresteliev, Citi 

Yana is recognized as a passionate, innovative and driven cross-asset derivatives solutions salesperson. She is acknowledged for delivering bespoke solutions to clients with a strong vision for forging strategic partnerships for innovative products to exploit untapped opportunities. Yana has led and developed the QIS business at both Citigroup and UBS in the Americas. Clients say she has a deep understanding of the market, strong product knowledge and a keen ability to position the platform. Yana is considered an influencer in the QIS space. She regularly speaks at quantitative conferences across the world.

Yana Keresteliev is head of systematic strategies institutional sales and origination at Citigroup in New York, where she is responsible for the marketing of systematic multi-asset derivatives solutions to institutional clients in the Americas. 

 

Mikhail Krayzler, Allianz Global Investors

Mikhail is a portfolio manager at Allianz Global Investors, responsible for its main vol-focused liquid alternative strategy which returned 7.3% last year, with a volatility of 1.8%. He also helps to oversee product design for the firm’s wider liquid alternative developments, as well as working on research topics including nonlinear instruments and tail-risk management. In 2023, Mikhail and his colleagues worked on developing a systematic defensive strategy that aimed to provide negative convexity during turbulent markets and with limited bleeding in normal conditions. He also worked on integrating very short-dated options into AGI’s systematic strategies and on creating an overwriting framework for single names and indices. In nominating Mikhail, a peer wrote that his academic background helps him to push for more innovation from bank counterparties and others in the industry. 

Mikhail Krayzler is lead portfolio manager and director at Allianz. Mikhail often takes part in EQDerivatives and other events to share his perspective on volatility funds and portfolio management. In 2012, Mikhail was awarded the first Gauss-prize of the German Society of Actuaries and the German Association for Insurance and Financial Mathematics for his work on variable annuities.

 

Roxton McNeal, UPS Investment Trust

Roxton is valued by others in the investment industry for his expertise, leadership, and wealth of knowledge when it comes to tactical asset allocation and multi-asset frameworks. He is recognized for his dynamic thinking and commitment to exploring new and efficient ways to tackle problems.

Roxton McNeal is director and the head of multi-asset investment strategy and allocation at the UPS Pension Group. He maintains investment oversight for the strategic and tactical allocation of the approximately USD55 billion in assets held for the UPS defined benefit plans. Roxton is also responsible for the implementation of tactical asset allocation, plan level derivative overlay strategies, asset/liability management as well as risk and performance monitoring.

 

Faheem Osman, Macquarie

Faheem’s perspective and product development in the commodity volatility space, coupled with his innovative risk management techniques, are highly regarded by institutional investors across different market conditions. He speaks regularly at conferences and contributes to articles on using systematic cross-asset strategies to construct robust and diverse portfolios.

Faheem Osman is managing director and global head of QIS structuring in Macquarie Group’s commodities and global markets business. He is responsible for the development of systematic cross-asset solutions and portfolio construction.

 

Tatjana Puhan, Copernicus 

Tatjana is recognized by peers for her contribution to education in asset allocation. Over the last year she has continued to offer deep insights into areas including macro volatility, quantitative investment strategies and digital assets, among other areas. 

Tatjana Puhan is chief investment officer at Copernicus Wealth Management. In the position she is executing a full overhaul of the firm’s asset management department focusing on improving efficiency and scalability, refocusing the core competencies and building new avenues for value creation, including QIS. She is also a lecturer in finance at the University of Mannheim, a lecturer in crypto at Paris Dauphine University and an associated researcher of the Hamburg Financial Research Center, as well as being an editorial board member of the Financial Analysts Journal.

 

Alexandre Ryo, Ellipsis AM

Alexandre is recognized by institutional investors in Europe for his innovative and bespoke solutions to boost income in equity portfolios. He is applauded for his strong expertise in derivatives and unique solutions in equities. Alexandre has been developing equity portfolio hedging and risk allocation solutions at Ellipsis since 2013 and continues to innovate to meet client demand. Most recently, he focused on offering long equity exposure through quality and investment grade credit and short hedges such as tail risk and long volatility in a liquid alternative open fund.

Alexandre Ryo is head of development for Ellipsis Asset Management’s overlay and customized portfolio solutions division. 

 

Gustavo Soares, BWGI

Gustavo Soares’ asset-allocation work at BWGI is private but he makes important contributions to research in systematic investing from behind the scenes, keeping in close contact with practitioner and academic colleagues. Every counterparty he works with speaks highly of him, noting his contributions to research and trading ideas as well as his efforts to optimize BWGI’s portfolio.

“Gustavo is incredibly thoughtful with respect to systematic investing and leads his team in identifying persistent systematic strategies, trading cost minimization, and sophisticated portfolio construction,” wrote the official who nominated him.

 

Silvia Stanescu, Aspect Capital

Silvia uses her academic background in quantitative finance to take a hands-on approach to portfolio management across trend, systematic macro and volatility funds. Silvia has published research papers on systematic quantitative strategies, looking at statistical arbitrage (mark-to-model arbitrage) and relative value volatility, trading VIX and VSTOXX. 

Silvia Stanescu is a portfolio manager for systematic volatility capabilities at Aspect Capital. Before that she was responsible for the GAM systematic macro fund. 

 

Peter van Dooijeweert, Man Group

Peter has been highlighted by investors across the globe for his innovative work with clients in systematic and derivative based strategies. Most recently, this has included presentations at multiple conferences on his upcoming paper Systematic Answers to the Tactical Allocation Problem. 

Recently promoted to head of defensive and tactical alpha at Man Group, Peter van Dooijeweert has begun working with Man’s largest clients to find innovative ways to deploy their balance sheets through investing in dislocations at the asset class, strategy and security level. Peter applies a unique approach to identify opportunities across the entirety of the Man Platform in strategies ranging from traditional arbitrage strategies in convertible bonds and risk arbitrage to equity capital markets. He continues to work with clients on risk mitigation strategies to improve portfolio outcomes during market crises.

 

Ramon Verastegui, Kairos Investment Advisors

Kairos Investment Advisors’ new volatility-focused fund, founded quietly during the pandemic, has been successful in difficult markets. Peers attribute this performance to Ramon’s intelligence and idea-generation, which he became known for while working as a sellside strategist. Beyond his trading ideas and subject-matter expertise, Ramon is also known in his network for being generous with his time and advice to peers. He has a strong academic background and research is an important component to his work at Kairos. Ramon was invited to lecture last year at Rutgers, Cornell and Columbia Universities, discussing quantitative investing developments and alternative risk transfer, among other topics. Ramon has also been a member of the Advisory Committee on Socially Responsible Investing (ACSRI) at Columbia University, which advises university trustees on ethical and social issues that arise in the management of its endowment.

Ramon Verastegui is managing partner, founder and chief investment officer at Kairos Investment Advisors.

 

Boaz Weinstein, Saba Capital

Boaz’s Saba Capital became a leading activist investor last year with an impressive 64 individual campaigns, which, as he said on X, stands for each square on a chessboard. But while growing the firm’s activist closed-end fund strategy earned him a lot of media attention and awards, Saba’s flagship credit relative value fund and his tail hedge fund have long earned him the respect of his peers and investors. 

Boaz Weinstein founded Saba Capital in 2009. And while the popularity of credit as an asset class and investment strategy has ebbed and flowed since then, Saba’s reputation has grown consistently. By using proprietary tools and active portfolio management, Boaz has shown Saba can generate alpha relative to tail hedges that rely more heavily on passive index strategies. Boaz frequently shares his insights and commentary on social media, during interviews with financial media and at industry events.