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135 Systematic Investor Series ft Moritz Seibert – April 11th, 2021

Moritz Seibert joins us today to discuss the little-known hedge fund Archegos, who recently blew up and cost billions of dollars for large institutions such as Credit Suisse and Nomura. We also discuss whether cracks are beginning to show in the stock market, the bull market in commodities, opportunities for investing in Chinese commodity markets, the risks of trading in emerging markets, how to trade cryptocurrency futures, and combining Trend Following strategies with none-correlated strategies in the same system.

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Check out our Global Macro series here.

Learn more about the Trend Barometer here.

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Episode Summary

0:00 - Intro
2:19 - Macro recap from Niels
5:22 - Weekly review of returns
12:48 - Quant trading firms being ready to pounce on a possible upcoming commodity boom, especially in China
31:05 - The departure of some CTAs away from major exchanges, and the fund Archegos blowing up costing billions for major global banks
49:25 - Arbitraging bitcoin futures
1:00:45 - Q1; Jim: What are your thoughts on combining a Trend Following system with a mean-reversion system?
1:04:40 - Q2; John: Do you have any advice on which futures contract to trade and when to roll?
1:09:14 - Q3; Mark: If Trend Following philosophy assumes the future is unknown, why is normal to use historical price data?
1:14:45 - Performance recap

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