Toby Carrodus

QUANTITATIVE RESEARCHER

HEDGE FUND ANALYST

TRADER

Focus:

Medium-Frequency Systematic Global Macro

Asset Class Experience:

Fixed-Income
Commodities
Currencies
Stocks

Instrument Experience:

Futures
Swaps
Options
Cash

About Me

I am a quantitative researcher & trader with a focus on high-Sharpe systematic trading strategies.
My career has been on centered on global macro trading & has taken me to Frankfurt, London, Sydney & Los Angeles to work at firms such as PIMCO and Winton Capital.
For most of the last decade my focus has been on medium-frequency futures trading.
While the majority of my work is confidential, in my spare time I like to publish articles on topics ranging from portfolio management to central banking and trading epistemology.
I also offer a scholarship for university students from low socio-economic backgrounds.
Outside of work, I am a fitness fanatic and enjoy surfing and hiking in the alps, & spending time with my family.

EXPERIENCE

2018-PRESENT

Quantitative Researcher & Trader

PROPRIETARY TRADING

Designing, researching & overseeing medium-frequency (intraday) systematic global macro trading strategies covering currencies, commodities, bonds & equity indices
Project management of trading strategies from an exploratory data & hypothesis phase through to formal presentation of results & real-time implementation
Sourcing & cleaning data; analyzing large datasets with Python
Monitoring slippage & adjusting transaction cost models; conducting attributions
Collaboration with developers to implement research into live production systems
Building general research infrastructure

2016-2018

Investment Associate

WINTON CAPITAL

Product specialist for systematic global macro futures and event-driven strategies; requires detailed knowledge of strategies to provide explanations to family offices, pension boards, sovereign wealth funds and fund of fund allocators
Regular presentations of investment strategies at industry conferences and events throughout APAC; collaborating with investors to create tailored investment solutions

2014-2016

MACRO STRATEGIC TRADING (MST CAPITAL)

Assistant Portfolio Manager

MST (Macro Strategic Trading) was a macro hedge fund with an APAC bias that traded across asset classes (rates, credit, commodities, FX and equities) and instruments (cash, swaps, futures, forwards and options)
I provided direct support to the CIO to manage a global macro portfolio with discretion to manage investments positions; execution across asset classes and instruments; hedging and funding non-USD instruments; rolling daily FX balances; trade booking
Macroeconomic research for the Investment Committee; designed and implemented position sizing techniques for PM’s to achieve portfolio target volatility;
Research, evaluation and implementation of systematic trading strategies using Python with a focus on liquid futures markets

2012-2014

Portfolio Management Associate &

Account Management Associate

PIMCO

Collaborating with Portfolio Managers on all aspects of managing investment grade credit and high yield bond portfolios (US$34.4bn), including monitoring and adjusting interest rate duration, curve positioning, spread duration, FX exposure, leverage and cash; use of VBA to automate regular tasks
Maintaining target carry exposure from futures roll yield, cash yield curve roll-down, FX carry and theta; modelling risk impacts of trades and ensuring pre-compliance (incl. cash bonds, IRS, CDS, futures, FX)
Building dynamic templates with SQL, Excel/VBA, Bloomberg and proprietary software; reporting on risk metrics, portfolio positioning and attributions
Providing market commentary and assistance to Account Managers to prepare for client meetings; responding to market and client driven ad-hoc requests

EDUCATION

2009-2011

M.Sc. Economics (Quantitative Methods)

HUMBOLDT-UNIVERSITAET ZU BERLIN

Master dissertation on “Estimation & Evaluation of Risk in Artificially-Smoothed Asset Returns of Illiquid Assets via the Getmansky et. al. Method”
Scholarship: Friedrich-Naumann Stiftung für die Freiheit (2009 – 2011)
Bursary to participate at the International Summer School in Economics, Havana, Cuba
Courses included: Econometrics, Time Series Analysis, Panel Data, Quantitative Methods

2005-2009

Bachelor of Economics &

Bachelor of Arts (Pol. Sci. & German)

AUSTRALIAN NATIONAL UNIVERSITY

Scholarship: ANU/UniSA Economics Summer Resarch Scholarship to conduct research on regulation of state utilities
Scholarship: Baden-Württemberg Stipendium for an exchange year at the Albert-Ludwigs Universität, Freiburg, Germany (2007 – 2008)
Goethegesellschaft Prize for outstanding achievements in advanced German, Canberra (2007)
Invited for Honours in Applied Economics, Canberra (2009)

RESEARCH ARTICLES

It's Time to Review Our Central Banks - SSRN

Abstract

Central banking has led to several problematic developments that societies across the world are now suffering from. This article provides an overview of the current central banking practice of inflation-targeting and reviews the problems associated with it. These include the inflation of asset prices leading to class and intergenerational inequality and the accumulation of unsustainable public and private sector debt that burdens future generations. The absence of a market-based mechanism allows governments and households to engage in fiscal largesse. Other problems include the creation of perverse investor incentives in the form of moral hazard and financial repression and the excess consumption the earth’s finite resources by propping up economic growth. The complexity of the economy and suitability of central banks’ current decision-making by committee is discussed and a proposal for a new approach is made with an example for Australia.

Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4209973

An Elementary Introduction to Risk Parity - SSRN

Abstract

Risk parity is a powerful portfolio construction approach that achieves diversification in terms of asset risk exposures. It masterfully utilizes information on volatilities and correlations to balance a portfolio such that each asset in the portfolio contributes equally to total portfolio risk. This article seeks to explain the benefits of risk parity as an approach to portfolio construction, as well as outline the theoretical foundations of this approach in as clearer manner as possible. For reader clarity, both summation notation and matrix notation are used in derivations. This article has been written in response to the author’s own challenges with finding a clear, holistic overview of the risk parity approach and its derivation.

Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4250812

Trading & the Limits of Human Reason - SSRN

Abstract

This article links the foundational research of Friedrich von Hayek on the human mind and the limits of its reasoning ability to the world of trading. Hayek advocated the use of rules as a means of overcoming our inability to comprehend the full complexity of reality in its entirety. The usefulness of a rules-based approach to trading is illustrated by highlighting the well-documented inability of retail and institutional investors to outperform standard industry indices, which are themselves rule-based systems. In terms of establishing the most appropriate trading rules, a delineation between simple and complex phenomena is discussed, and salient points for best-practice trading research are referenced.

Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4190925

My Submissions to the Review of the Reserve Bank of Australia

Abstract

My submission for the Review of the RBA covers i) monetary policy frameworks and ii) RBA performance. I discuss the effectiveness of determining monetary policy via a centralized, committee-based framework compared to a market-based framework. I highlight the RBA's narrow interpretation of the Act as equating to 2-3% inflation and the adverse side-effects of this. I propose an alternative involving Australia’s banking system to mitigate the problems associated with the RBA’s current arrangement.

Available at: https://consult.rbareview.gov.au/public-submissions/view/74

BLOG ARTICLES

How to Succeed as a Quant

There is no doubt that trading markets has always been about the numbers. This is increasingly so nowadays, where machine learning and artificial intelligence are the buzzwords du jour. This trend has seen ‘Quantitative Analysts,’ nicknamed ‘quants’, thrive on Wall St and command exorbitant incomes. This may give you the impression that you need a PhD in Mathematics or Computer Science to succeed in the fast-paced, cut-throat world of modern finance. While this certainly doesn’t hurt, such advanced degrees are not a requirement to succeed in this field.....

https://tobycarrodus.substack.com/p/how-to-succeed-as-a-quant

When - If Ever - To Meddle With Your Trading System?

Over the years I have been in many debates with colleagues about if, and when, one should interfere with a trading system. Mostly, I have been opposed to intervention as it generally defeats the purpose of adopting a systematic approach. It never ceases to astonish me how ‘systematic’ traders begin to fiddle with their systems when volatility rises or a trading system enters an inevitable drawdown. In most cases, I have found that such interventions achieve little more than medicating trader anxiety about trading losses to the detriment of long-term returns.....

https://tobycarrodus.substack.com/p/when-if-ever-to-meddle-with-your

The Benefits of Simplicity in an Age of AI Hype

In today's fast-paced world of trading, it can be tempting to chase after the most complex and sophisticated models to try and stay ahead of competition. However, greater complexity is not always better. In fact, there is a growing body of research that indicates simple is often better......

https://tobycarrodus.substack.com/p/the-benefits-of-simplicity-in-an

Habits That Have Made Me A Better Trader – And Person

The habits we adopt have a tremendous impact on our long-term trajectory. This line of thinking has received growing attention over the last decade, most notably thanks to James Clear and his book ‘Atomic Habits.’ The reasoning for this should be intuitive to traders, as it harnesses the power of compounding. Small, incremental improvements each day, such as aiming to get even 1% better, compound over time, generating massive gains.......

https://tobycarrodus.substack.com/p/habits-that-have-made-me-a-better

How to Hijack Your Brain to Get What You Want In Life

The human brain is an incredibly powerful tool. It efficiently operates with small amounts of information to continuously perceive and process the world around us. The brain is also different from the mind, despite these words being used synonymously. How? One aspect that makes this clear is that when you die, your brain is still here, but your mind is not. Analogously, you could say your mind is a form of “software” and your brain “hardware......."

https://tobycarrodus.substack.com/p/how-to-use-your-brain-to-get-anything

Trading: The Odyssey

I have always been enamored with the story of Odysseus. During his epic journey home to Ithaca from the Battle of Troy, Odysseus travels through Greek Islands and encounters cyclopes, Gods such as Poseidon and beautiful women like the Sirens. Such a tale obviously appeals to the imagination of any young lad with an adventurous streak.

https://tobycarrodus.substack.com/p/trading-the-odyssey