Nicolas Mirjolet - Multivariate Trend Following (S7E8)

Corey Hoffstein chats with Nicolas Mirjolet about scaling statistical arbitrage strategies and the advantages of larger players. They explore Quantica's managed futures program, comparing multivariate and univariate trend-following methods, and the role of correlation in signal generation. The episode covers market applicability, historical outperformance, and innovations in trend following. Nicolas discusses adding markets, estimating correlation matrices, and achieving risk diversification. They also analyze recent trend-following environments and offer insights on investment diversification and the trade-offs between diversification and convexity in trend programs.