Show notes
*This podcast is provided for informational and educational purposed only and should not be considered investment advice or a recommendation of any specific security, strategy or investment product. The views expressed in this recording are the personal views of the participants as of the date of this podcast, are subject to change, and do not necessarily reflect the views of Asset Management One USA Inc. itself. Any discussion of investment strategies, market conditions, or portfolio construction is intended to illustrate general investment concepts and may not be appropriate or eligible for every investor. There is no guarantee that any investment strategy will achieve its objectives. All investments involve risks including the possibility losses as well as profits. Nothing discussed in the podcast constitutes an offer to sell or a solicitation of an offer to buy any security or investment advisory service. Listeners should consult their own financial, legal and tax advisers before making any investment decisions.Jeff Malec sits down with Jiro Fujisawa of Asset Management One USA to unpack one of the more unique quant approaches in the space: a cross-asset factor alpha (CAFA) strategy built on 80 synthetic markets. Jiro walks through his path from mechanical engineering to quant finance, the differences between engineering-style experimentation and market reality, and how AMO USA thinks about risk premia, implementation details, and factor design. The conversation dives into decomposing futures markets into orthogonal risk factors, running trend, carry, and skew models on top of synthetic price series, and why the real edge often lies in construction and risk management rather than “new” factors. They wrap with where quant fits in today’s equity-dominated world, how investors are using risk premia alongside multi-strats, and why systematic absolute return strategies still matter when the macro regime turns.Chapters:00:00-01:33=Intro01:34-13:37=Jiro’s Global Journey: From Mechanical Engineer to Quant Investor13:48–21:50=Building Risk Premia: Factors, Liquidity Imbalance, and Precision in Implementation21:51–32:12=Unbundling Risk Premia: Custom Menus, Multi-Strats, and DIY Limits32:13–48:20=Inside CAFA: 80 Synthetic Markets, Trend/Carry/Skew, & Orthogonal Bets48:21–51:24=Quant’s Comeback and Absolute Return in an Equity-Driven WorldFollow along with Jiro and Asset Mangement One USA on LinkedIn and be sure to check out am-one-usa.com for more information! Don't forget to subscribe toThe Derivative, follow us on Twitter at@rcmAlts andsign-up for our blog digest.Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visitwww.rcmalternatives.com/disclaimer