TTU Trend Barometer
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Trend Following: Is it for you?
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IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

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Follow Todd on LinkedIn.

Timestamps

02:24 – Introduction to Anthony Todd and Aspect Capital
05:43 – A global macro perspective
09:45 – How has the industry evolved?
13:51 – Are investors under-allocated to trend?
17:11 – Trend following – a return enhancer?
20:37 – The correlation between stocks and bonds
25:27 – The path to offer multible strategies
29:47 – Balancing choices and guiding clients and investors
33:26 – Are CTAs threatened by replication strategies?
39:11 – How are allocations funded now?
42:28 – CTAs – competitors or a different allocation?
44:44 – Does capping the beta make sense?
49:21 – Are investors becoming too difficult?
52:49 – Todd's view on the use of artificial intelligence
58:13 – Has trend following changed because of AI?
01:02:53 – Excitement and concerns for 2024

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about Chesapeake Capital.

Timestamps

02:58 – Introduction to Chesapeake Capital
07:02 – Jerry's key trend following learnings
12:54 – Jerry's investment philosophy
17:02 – Being evolutionary without too much tinkering
22:09 – Advice on running a trend following program
26:48 – Their process for selecting parameters
32:15 – What does an improvement look like…if not a higher Sharpe?
39:25 – The role of volatility in the trend following process
44:41 – The challenges of working with clients
48:51 – What if everyone was a trend follower?
54:21 – Can you be a good manager without using stops?
57:05 – Why are the other CTAs “wrong”?
01:04:33 – Trend following disagreements
01:06:42 – Excitements for the future
01:08:23 – Final thoughts

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about EMC Capital Advisors.

Timestamps

02:19 – Introduction to EMC Capital Advisors
07:30 – Their investment philosophy
10:30 – What differentiates them from their peers?
12:33 – The key to succes
14:06 – Their approach to open equity
17:22 – Staying true to trend following
20:13 – Improving the risk adjusted profile
23:15 – An evolving system
28:19 – Slow or fast?
30:44 – Being aware of volatility
32:44 – Trend following vs. momentum
37:19 – “The technical logic of the system”
40:05 – An adaptive process
43:58 – How they reach their goals
45:46 – Pros and cons of adding more markets
50:11 – How they manage risk
57:23 – How have markets changed over time?
01:00:03 – Trend following disagreements
01:03:53 – What is he excited for this year?
01:06:30 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about Metori Capital Management.

Timestamps

02:17 – Introduction to Metori Capital Management
04:08 – Their investment philosophy
09:47 – An alternative view on Sharpe
18:44 – Adding value to a trend following program
21:08 – Signal filtering and embedding correlations
24:46 – The better technique and right timeframe
27:35 – Selecting and changing parameters
30:18 – Their view on replication
32:50 – Advice on evaluating and selecting managers
35:48 – Benefiting from alternative markets
39:30 – The risk of alternative markets
41:29 – Looking beyond China
42:18 – Incorporating ESGs with alternative markets
45:20 – Overcoming investors' trend following barriers
49:39 – The role of trend in a multi-asset portfolio
53:47 – Are risk mitigation strategies going out of fashion? 
55:49 – Too much money in trend following?
58:57 – Trend following disagreements
01:00:56 – Expectations for 2023
01:02:55 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about R.G. Niederhoffer Capital Management.

Timestamps

02:16 – Introduction to R.G. Niederhoff Capital Management
03:46 – Their investment philosophy
10:00 – A period of challenges
13:26 – Believing in change
15:45 – Who's Sharpe should we be concerned about?
23:02 – Looking back in time
30:42 – The role of short-term trading
38:56 – What drives short-term trading?
42:47 – Being smart with execution
46:09 – Dealing with the downsides
53:53 – Studying the markets
55:49 – The dangers of machine learning
58:41 – Capacity and liquidity in short-term strategies
01:05:33 – Short-term trading disagreements
01:08:00 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about Florin Court.

Timestamps

02:46 – Discovering Florin Court's Trend Following Approach
03:54 – The Macro Perspective: Understanding the Big Picture
07:13 – Why Trend Following and Alternative Markets?
15:55 – Skew Over Sharpe Ratio: A Different Way of Looking at Risk
18:31 – Understanding Crisis Alpha: How Trend Following Shines in Turbulent Times
22:27 – Accessing Individual Markets: The Hunt for Alpha
29:20 – Navigating Risks in Alternative Markets
33:39 – The Role of Macro Factors in Alternative Markets
36:41 – From Niche to Mainstream: The Rise of Alternative Markets
40:10 – Working with Trend Following: Tips and Best Practices
47:33 – Managing Risk: An Inside Look at Florin Court's Process
52:06 – The Importance of Macro Awareness in Trend Following
56:02 – ESGs and Investing: A New Frontier?
58:12 – Living the Abu Dhabi Lifestyle
01:01:26 – Factors Impacting Performance: A Closer Look
01:04:54 – The Art of Navigating Different Opinions
01:08:15 – Concerns & Opportunities in 2023: What to Watch Out For
01:11:13 – Thank You for Listening: Closing Remarks

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about Quantica Capital.

Timestamps

02:46 – Introduction to Quantica Capital
05:04 – Their investment philosophy
12:31 – What makes them unique?
17:09 – Reacting to trends
19:43 – Why not do it the easy way?
23:33 – Looking Sharpe
30:34 – Correlation is going to “1”
35:12 – Dealing with shocks
39:02 – The measurement methodologies
43:14 – The role of correlation
46:38 – Good research and potential pitfalls
53:09 – Important discoveries
55:26 – Making adjustments in a larger portfolio
59:11 – The time scale perspective
01:05:07 – The pros and cons of CTA replication
01:10:42 – Setting return expectations
01:14:14 – Trend following disagreements
01:15:45 – Expectations for 2023
01:19:22 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about Winton Group.

Timestamps

02:18 – Introduction to Winton
05:05 – Their investment philosophy
09:25 – Where does opportunities arise?
10:18 – What caused them to reduce emphasis on Trend a few years ago?
13:48 – Too concerned about Sharpe?
16:39 – The value of Crisis Alpha
20:09 – Changing the trend following narrative
22:41 – What about the non-trend?
25:22 – Need for speed?
27:49 – Their research process
31:19 – Accessing big events in markets
35:00 – The pros and cons of machine learning
38:16 – Trading and selecting parameters
42:23 – The risks of CTA replication
44:57 – More markets = better?
50:09 – Staying balanced
52:23 – The strategies in a broader perspective
54:18 – Working with clients
55:22 – Their approach to risk manangement
01:00:18 – The worst possible scenario
01:01:24 – Preparing for the worst?
01:02:37 – Question about capping the ability to go long stocks
01:03:59 – How many trend followers do you need?
01:05:14 – Setting return expectations
01:07:33 – Trend following disagreements
01:11:05 – Expectations for 2023

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about PIMCO.

Timestamps

02:28 – Introduction to PIMCO
05:11 – Their investment philosophy
11:11 – Too concerned about the Sharpe?
14:53 – A different Speed of trend following
18:13 – Building a defence against equity drawdowns
22:32 – Balancing the opposing forces
25:45 – A different approach to volatility correlation?
27:06 – Using machine learning
28:04 – The role of bonds
31:34 – The larger portfolio perspective
33:07 – Their research process
36:53 – Number of markets
39:01 – Their view of CTA replication
42:10 – Need for speed?
44:28 – Different models for different markets?
45:50 – Hitting the gas?
48:02 – Cap the equities?
49:14 – Adding non-priced based signals
50:31 – How many strategies do you actually need?
51:17 – What is second best?
52:15 – Framing the expected outcomes
54:04 – Their sense on liquidity
55:38 – Trend following disagreements
57:05 – Expectations for 2023
59:49 – Running trend following in a bond shop
01:01:29 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about DG Partners.

Timestamps

02:08 – Introduction to DG Partners
03:38 – Their road to trend following
12:13 – The weaknesses of trend following
16:00 – Too concerned about Sharpe?
19:10 – The dual mandate
22:51 – The trend following narrative
27:19 – Capturing the meat of trend following
30:24 – Need for speed?
38:13 – How many markets do they trade?
40:16 – Rethinking volatility?
43:01 – Their execution process
44:00 – Their view on CTA replication
47:39 – Risk management
51:36 – The state of liquidity
59:36 – The absence of pain
01:00:40 – Trend following in a broader portfolio
01:02:58 – Capacity in trend following
01:05:26 – Trend following disagreements
01:06:50 – Expectations for 2023
01:08:17 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about Capital Fund Management.

Timestamps

02:05 – Introduction to Capital Fund Management
05:32 – Their investment philosophy
12:27 – Periods of under-performance
19:13 – Trend following – a small piece?
24:58 – Do Trend Followers have a dual mandate?
31:32 – Their research process
36:22 – Enhancing a trend program
37:46 – Using machine learning
40:47 – Different types of trend followers
46:56 – Controlling the risk
51:20 – Dealing with drawdowns
54:44 – Achieving convexity
57:03 – Looking in hindsight
00:58:26 – Addressing rebalancing, capacity and fees
01:05:38 – Trend following disagreements
01:08:29 – Thanks for listening

by

IT's TRUE – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

Learn more about AQR Capital Management.

Timestamps

02:50 – Introduction to AQR
04:12 – Their investment philosophy
08:47 – Risk premia strategies
11:55 – A historical perspective
13:55 – Too focused on sharpe?
22:24 – Changing the narrative
30:41 – Being unconventional
35:13 – Getting comfortable with the data
39:22 – The future for economical trend following
42:55 – Their research process
47:05 – The managed futures space
48:39 – Pricing trend following
55:00 – The need for daily liquidity
57:32 – The portfolio construction process
01:00:12 – The pros and cons of replication
01:04:25 – Applying risk management
01:05:40 – Adding new markets
01:09:19 – The role of trend following
01:13:08 – Reaching the limit
01:16:05 – Trend following disagreements
01:17:52 – Expectations for 2023
01:19:47 – Thanks for listening

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