Marc Malek: Artificial Intelligence, Tanks And Dynamic Risk Allocation

Marc Malek is the Founder and Managing Partner of Conquest Capital Group, an alternative asset manager based in New York with roughly a half billion dollars in assets under management.  The firm’s Conquest STAR program was launched in 2010 as a best ideas, all-weather strategy, and has returned 10.80% net of fees since inception.  In this Opalesque.TV interview, Marc talks about his fascinating path leading to the launch of CCG, and also the variety of quantitative and proprietary trading experience in his career that lead to the creation of the STAR program and construction of the portfolio.

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Marc Malek
Image source: Opalesque.TV Screenshot

While studying neural networks and artificial intelligence at Cal Tech, Marc received a grant from the Pentagon through NASA’s Jet Propulsion Laboratory to do a study on how to position tanks on the battlefield to optimize the chance of winning.  This research inevitably had applications in finance and Marc was recruited by Wall Street.  After working for Solomon Brothers and then as a trader for a hedge fund, he was recruited by UBS to build their global FX exotic derivatives business in New York, London, and Tokyo.  He then served as Head of Proprietary Trading in Europe and the Americas in FX and derivatives, before launching Conquest Capital Group. This breadth of experience gave him a dynamic perspective of how to apply proprietary trading lessons to fuel idea generation in looking for market opportunities, and applying those ideas into his systematic strategies. The firm looks two dimensionally, by first looking for “alpha that makes sense,” and is explainable, and then incorporating the quantitative perspective.

Marc also created the Risk Aversion Index to better understand the risk environment, and to give a reflection of the overall risk appetite in the market. Bloomberg has been publishing the index since 2005.  The index has an application to the STAR program, because the modeling allows a dynamic risk allocation by measuring the statistically significant effect of risk appetites on various sectors and strategies. Conquest can thereby apply the four systematic substrategies within the program to find the best opportunities in both risk seeking and risk averse environments.  While the program is modeled to make money regardless of market direction, the “oxygen” for the strategy is market movement, and seeks to generate large returns in highly volatile markets, such as a market selloff.  This makes 2017, which is nearly 100% risk seeking, an optimal risk environment for STAR’s strategy.

Article by Opalesque.TV

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