Rob Carver: Uncertainty Principles (EP.03)

You can’t read, watch or listen to Rob Carver for any length of time without recognizing that he has done a lot of thinking about the problem of uncertainty. Traders will connect with Rob’s story of experiencing a large and unexpected loss (is there another kind?) that led him to question whether his models were in sync with the current market environment. The experience contained a silver lining, as it prompted Rob to formalize an approach for analyzing what to expect from strategies in different market environments. Rob shared his thinking and his findings, which many listeners might find quite surprising. Rob has thought more deeply than most about how to design portfolios that are most likely to perform out of sample. We discuss how Rob thinks about the construction of strategic policy portfolios but we also dive deep into quantitative strategy design. I was especially fascinated to discuss Rob’s recent presentation on the “Three Judases” that cause many systematic strategies to fail in live trading. Rob is an open book and generously distills mission critical wisdom from decades of trading into digestible nuggets that will add value for almost any investor.