In this episode of The Algorithmic Advantage, we are joined by Dave Aspell from Mt Lucas Management LP. Dave brings a wealth of experience in trading and risk management, having started his career at Man Group before moving to Mt Lucas. He shares insights into the history of Mt Lucas, a firm which spun out of Commodities Corp in the mid-1980s. Dave delves into the origins and evolution of the firm’s trading strategies, emphasizing their focus on skew maximization and systematic approaches to portfolio management. He explains how Mt Lucas utilizes the MLM Index, a long and short trend-following model across various futures markets, to achieve robust performance and diversification.

The discussion also covers the firm’s macro hedge fund strategies, blending equities, bonds, and managed futures to create an all-weather portfolio. Dave highlights the importance of avoiding over-optimization and maintaining robustness in trading models, ensuring they remain effective across different market conditions. He shares valuable insights on risk management, rebalancing strategies, and the role of commodities in enhancing portfolio performance. This episode provides listeners with a deep understanding of systematic trading principles and the practical application of these strategies in real-world scenarios.

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