About me


Brief Bio



 I am Rob Carver; an ex Hedge fund manager and derivatives trader, economist and statistics/finance geek.

 This blog is about:

   - Systematic and quantitative trading and investing
- Giving more people the tools and understanding to do their own investing better
  - Making the investment industry function better and serve the interests of society as a whole
  - Trying to promote a more correct and complete use and understanding of quantitative economic research in coming to better decisions, eg in policy making.


Lengthy Informal Bio


Rob Carver is an independent systematic futures trader. He also blogs, and writes books. Well he's written one book: “Systematic Trading” (http://www.systematicmoney.org/systematic-trading/). His second book, "Smart Portfolios" (https://www.systematicmoney.org/smart) will be published in September 2017.

According to his linkedin profile Robert is an expert in quantitative finance, fixed income, hedge funds, trading, portfolio management, derivatives, trading systems and risk management.

He has very few linkedin endorsements for, but is also really interested in: python, bayesian statistics, econometrics, housing policy, and financial economics. He likes the idea of macroeconomics, although it's clearly not an accurate description of how the world works.

Rob recently found out that he is a Data Scientist, and has been doing Data Science for years without even realising it (since hardly anyone used the term Data Science until about 2010). This doesn't stop him thinking that Data Science is a load of over hyped baloney.

He also has an irrational bias against the use of big data and artificial intelligence in financial markets (and deep learning, and machine learning ... whatever they are). And against Bitcoin.

He isn't sure if genuine skill exists in the investment world, but he knows for sure he doesn't have any. He thinks that the finance sector is too big, costs too much, and sometimes doesn't behave in the best interests of society as a whole.



Robert was lucky enough to be brought up in the warm climes of Dubai, where he also spent his early career, with only a brief sojourn back in the UK where he briefly attended the University of Cambridge.

He then made the mistake of going to the wettest part of the UK to attend the University of Manchester where he got a degree in Economics; and met the love of his life, and the mother of his three children (note: these are the same woman).

Robert then went to the dark side: a job as a trader for an investment bank, Barclays Capital. Once it became abundantly clear that he wasn't cut out to be an evil master of the universe Robert left and spent a couple of years working for the Centre of Economic Policy Research where he was lucky enough to work with some of the most brilliant economists in the world. He also found time to do a part time Masters in Economics at Birkbeck College, University of London.

He spent seven years working for systematic hedge fund AHL, where he was lucky enough – again – to work with some of the most talented and genuinely nice people working in the financial industry. He was less lucky in his timing: his employment spanned the financial crisis of 2007-2009, and the European sovereign debt crisis of 2010. Despite this Robert managed to build a systematic fundamental global macro trading system. He was then put in charge of the entire fixed income portfolio, after which there was the US government debt downgrade of 2011, and the “taper tantrum” of 2013. Correlation or Causation? You be the judge.

Robert left AHL in 2013 to spend more time: with his family, investing his own money, cycling, writing, and independently pursuing his research interests.

For a sufficiently handsome reward Robert is available for consulting projects. But as an unmitigated narcissist he will happily show up at your conference or event and talk nonsense for free.


Formal Bio of intermediate length



Robert Carver is an independent systematic futures trader, writer and research consultant. He is the author of “Systematic Trading: A unique new method for designing trading and investing systems" (Harriman House, 2015), and "Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios".

Until 2013 Robert worked for AHL, a large systematic hedge fund, and part of the Man Group. He was responsible for the creation of AHL's fundamental global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. Prior to that Robert worked as a research manager for CEPR, an economics think tank, and traded exotic derivatives for Barclays investment bank. He spent his early career in the Middle East.

Robert has a Bachelors degree in Economics from the University of Manchester, and a Masters degree, also in Economics, from Birkbeck College, University of London.


Attribution (journalists please use if you quote me)


Standard:
Robert Carver is an expert on systematic trading, a former head of fixed income at multi billion dollar quantitative hedge fund AHL, a former investment bank trader, and the author of two books: "Systematic Trading", and the forthcoming "Smart Portfolios"

Short form (if desperately short of space):
Robert Carver is a former head of fixed income at quantitative hedge fund AHL, and the author of 'Systematic Trading' and 'Smart Portfolios'.


My books: "Systematic Trading" and "Smart Portfolios"



This blog is free. There is no premium content for subscribers only. It has no ads. I don't sell software, trading courses, newsletters, or do coaching. Hopefully that means the material in it should be free of bias of all kinds (Except for my own stubborn opinions). To be crystal clear: I make no money whatsoever from it!

So if you appreciate this blog and want to say 'thanks'; then you might consider buying one or both of these books (which will have the added advantage of hopefully significantly improving your trading or investing).






A note about comments


Because of a sea of spam I now moderate comments on this board. If you submit a comment it won't go up until I've moderated it.  So please don't submit the comment again, assuming something is broken, or I will delete the duplicate.

 

Talks and media


Warning: External links may break without warning.


Systematic trading


  • Interviewed by Czech trading blogger Petr Podhajsky: http://www.financnik.cz/komodity/osobnosti/rob-carver-rozhovor.html (in Czech)
  • I presented at Quantcon in New York, April 2017 "Trading Strategies that are Designed not Fitted". Slides are here. Video will be available here http://quantcon.com/ (click playback) from May 12th (free to attendees, live stream purchasers, or you can buy access now). A public version of the video should be available later this year.
  • Interviewed by Alex Hilton of next money https://nextmoney.org/ai/exclusive-ais-cant-play-golf/
  • Interviewed by Andrew Swanscott of bettersystemtrader.com: Risk Management, January 2017. See here
  • I did a panel discussion on "Alternative sources of data for better trading insights" for London Systematic Traders, November 2016.
  • I was quoted in an article on ETF vs futures trading in CTA intelligence, July 2016.
  • "The Myth of the perfect indicator. Why simple is better than complex". Presentation to the MTA's London chapter, April 2016. The presentation is here. The video is here.
  • "Systematic Trading" MTA webcast, March 2016. A video recording is available here.
  • Podcast interview with Michael Covel, January 2016 - listen here
  • "Systematic Trading" Round-the-Clock Trader webcast, December 2015. See http://bit.ly/1lHVVA0 for details. 
  • "Mistakes to avoid when trading with systems" London Traders Expo, December 2015. A copy of my presentation is here
  • Interview with Niels Kaastrup-Larsen for Top Traders Unplugged, December 2015. Part one is here. Part two can be found here.
  • Interviewed by Chuck Jaffe of moneylifeshow.com, October 2015. Listen here.
  • "Lessons from Systematic Trading". Presentation to the Thalesians in London, October 2015. More info here. 
  • "Do Quant strategies need to be complex or is simple better?" Panel discussion at Quant Invest, September 2015
  • Interviewed by Andrew Swanscott in episode 26 of the Better system trader podcast, September 2015. Click here.
  • Interviewed by Adrian Reid of www.tradingsystemlife.com: Trading Rules and Back testing, August 2015. Click here for more.



LOBO-Gate 




Contact me

My home page is here systematicmoney.org

There are multiple boring details of my life on my public linkedin page: uk.linkedin.com/pub/robert-carver/27/75a/132

 You might want to follow me on here: https://twitter.com/investingidiocy

 You can like me, or poke me, or whatever else you want to do (within reason) on my facebook page.

 My good reads authors page is here. Ditto for Amazon and Harriman House (my publisher).

27 comments:

  1. Impressive bio. I lived in Manchester until about age 11, then Dublin and now New York. I'm intrigued by your hedge fund to solo trader transition as I did something similar. I now trade options through IB with portfolio margin account.
    Here is my info https://www.linkedin.com/in/frankkeane
    Twitter: @fkeane10
    fkeane at gmail

    Would love to grab coffee or a beer if you pass through Manhattan (I have your book on my to buy list)

    Frank

    ReplyDelete
    Replies

    1. Frank

      Thanks for the invite. Will tell you if I'm ever in NY.

      Delete

    2. Hi, very interesting blog (love the title!). Great concepts, irony and (worryingly similar to mine) list of books and films. Will buy your book.
      I do not use Facebook, Twitter, or other similar stuff and haven't used Linkedin for ages (tried yesterday and I liked it even less!). Not even sure how I am posting this....Is there any chance I can send you a good old style email or PM? Best, GG

      Delete

    3. This comment has been removed by the author.

      Delete

  2. Rob I would like to implement your system on TradeStation. Do you think this is feasible? Can you recommend a service provider that can assist with such an implementation?

    ReplyDelete
    Replies

    1. Sorry I've never used TradeStation and I don't know anything about it.

      Delete

  3. Hey Rob,
    Good book and just a selfless font of the best information.
    Have you had a look at this ANANTA(http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2419243) paper.
    Simple idea, single expression many assets and all the good things you look for. Spot fx expressed carry might be an interesting diversifier. If it interests you i'd love to see how it turns out.

    ReplyDelete
    Replies

    1. Yes momentum on carry should work. I wouldn't touch spot FX but it could be interesting to look at this in futures. I'll publish a blog post if / when I get round to looking at it.

      Delete

    2. sensational i'll be on the lookout. may i ask why the aversion to spot FX ?

      Delete

    3. It trades OTC and the margin spreads on interest payments make it very expensive to hold positions for any length of time.

      Delete

    4. Sorry Rob, you lost me at the "margin spreads on interest payments"... Would you mind explaining?
      Cheers-

      Delete

    5. When you buy USD you are effectively borrowing GBP (and being charged interest) and lending USD (and being paid interest). But on the GBP interest you are paying say LIBOR + 1%, and on the USD deposit you are earning LIBOR -1% or in practice nothing.

      Delete

    6. Gotcha. And this 2% (annual) margin in the example is too great to be profitable, am I getting this right? How much can one reasonably expect in your view?
      Great book, btw, I've just came from the fitting part over here, on your blog.

      Delete

    7. Way too high. AUDUSD vol runs at about 9% a year. That's 0.22 units (2% / 9%) of Sharpe Ratio gone just in this form of costs (I recommended an absolute maximum of 0.13 SR for all costs in chapter twelve). That's before thinking about the cost of trading or rolling. This is one reason why most retail FX traders lose money.

      If I trade futures I'm effectively borrowing at LIBOR* flat.

      * not exactly LIBOR but the point still stands that there is effectively no interest margin on futures

      Delete

    8. Thanks lot for the explanation.
      I don't want to abuse your time any more but I'm really curious what the other reason(s) might be... ;)

      Delete

    9. For FX retail traders losing money?

      Specific to retail FX: Wide spreads. Brokers internally hedge orders so they're trading against you. They can set prices wherever they like; just enough to trigger your stop for example.

      Even if things really go well for you, your tiny bucket shop broker will go out of business and your money will vanish offshore.

      More generally: Over trading, Using too much leverage

      Delete

    10. hey rob,
      getting help to deploy pysystemtrade and the modular framework on quantconnect in C# with a view towards going live. going to put a binary system in the framework as well as some stop loss logic. if you can help me avoid pitfalls or gross errors with the binary signals that would be great. i'll open source it when done regardless.

      Delete

    11. William. Depends what you mean by a "binary system"?

      Delete

    12. This comment has been removed by the author.

      Delete

    13. As opposed to continuous signals. It be long for the next x period of time/short.

      Delete

    14. I discuss binary signals here http://qoppac.blogspot.co.uk/2016/03/diversification-and-small-account-size.html

      Delete

  4. Hello Rob,
    Sorry for a petty programming question, but there's an item in some of your pysystemtrade scripts that are throwing errors and I haven't seen before. For example, in ewmac.py, line 12 imports several classes from 'common,' and whether tried in 2.7 or 3.4, Python states an 'ImportError' for pd_readcsv and cap_series. Is pd_readcsv similar to pandas.read_csv?
    I tried adding a line 'from pandas import read_csv as pd_readcsv' and re-ran the script, which it accepted but then threw same error for the cap_series class. Any advice?

    ReplyDelete

  5. Can you check the full git hub path of the file you are trying to run - there isn't a filename ewmac.py in pysystemtrade. Is it this file: https://github.com/robcarver17/systematictradingexamples/blob/master/ewmac.py

    ... which is in my older set of libraries (NOT pysystemtrade)

    pd_readcsv is a new function, not part of pandas, so changing the import definitely won't work (my bad for using such a similar function name).

    I just tried running that script without changing it (in python 2.7) and it worked fine, so I suspect the problem is at your end. Is your PYTHONPATH configured correctly so your python interpreter can actually see the common.py file?

    ReplyDelete

  6. Dang it Rob, you just exposed the gopher holes of my incompetence, ha...I'm in Windows7 with 3.4 at the moment, might be better served to switch to a Unix env. I went into Environment Variables in Adv Sys Settings and made a PYTHONPATH to C:\Python34\Lib but no dice on re-run; if I add the Anaconda3 subdir to this path string it at least gets past the initial ImportError. Got some overdue admin catch-up work to do, will report later. Thank you for pointing me in the right direction!

    ReplyDelete

  7. P.S. Yes, the ewmac.py version I'm trying is from the github URL that you posted.

    ReplyDelete

  8. Hi Rob

    My inner proof reader notes:
    1. Last interview with BetterSystem Trader is Andrew Swanscott not Adrian Reid
    2. You've truncated the title of your book in the 'Journalists with a short attention span read this: ' attribution - 'Systematic Trad: a unique...'

    Bought your book after your first podcast with Andrew Swanscott and value the info you put out. Thanks.

    Regards
    Dave

    ReplyDelete

Subscribe to: Posts (Atom)