TTU Trend Barometer
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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.

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

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 AlphaSimplex Group.

Timestamps

02:01 – Introduction to AlphaSimplex Group
03:03 – Their Investment Philosophy
08:02 – Too concerned about sharpe?
13:42 – How do you customize pure trend?
16:10 – Crisis Alpha – the true meaning explained
22:24 – The role of commodities in crises
26:22 – A need for speed?
32:20 – Capping the equity beta
39:36 – Their approach to CTA replication
44:59 – Machine learning as a research tool
48:30 – Simple vs. sophisticated
50:02 – CTA style factors
56:16 – All about bonds?
59:00 – An uncertain world
01:02:38 – The signs of change
01:06:23 – Trend following disagreements
01:09:03 – Expectations for 2023
01:10:52 – 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 Quest Partners.

Timestamps

02:08 – Introduction to Quest Partners
03:34 – Their investment philosophy
07:35 – A structural change in markets
15:04 – Too focused on Sharpe?
20:55 – Creating momentum
24:18 – A move toward multi-strat?
37:35 – Managing the crowd
39:13 – The persistency of market environments
41:45 – A type of machine learning?
44:12 – The source of opportunities
48:34 – The “D” word
53:30 – Thoughts on CTA replication
01:00:12 – Being a short term manager
01:02:30 – Liquidity issues and changes in markets
01:09:15 – Trend following disagreements
01:12:46 – Expectations for 2023
01:14:15 – 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 Graham Capital Management.

Research Papers by Graham Capital Management:
Market Diversification
What's Luck Got to Do With It?
Can You Trend-Follow Trend-Following?

Timestamps

02:16 – Introduction to Graham Capital Management
04:00 – Their investment philosophy
09:35 – The art of modeling
12:33 – Too concerned about sharpe?
17:14 – Working together with clients
20:17 – The “real” objective
23:22 – Commodities – A saver in crises?
27:32 – What strategies to add in a 60/40?
32:54 – Their research process
37:28 – Evaluating managers and strategies
40:20 – Regime shifts and changes in markets
44:11 – Recalibrating parameter selection
48:34 – Their approach to lookback and signal generation
54:01 – Static vs. dynamic position sizing
59:03 – Liquidity in markets
01:02:17 – Reacting to changes in markets
01:06:34 – Discretionary interventions in markets
01:10:14 – Trend following disagreements
01:11:35 – 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 Halyard Asset Management.

Timestamps

02:40 – Introduction to Halyard Asset Management
04:12 – History of Cash Management
07:16 – What happened with money market funds?
09:34 – Has the Cash Management space changed?
11:02 – Cash management philosophy
12:23 – A liquid portfolio
17:39 – Drawing the safety line
19:25 – Considering ESGs
21:11 – Managing cash in different currencies
22:41 – Balancing the mandates
23:52 – Managing risk
25:44 – Thinking about expected returns
27:05 – The evolution of fees
29:40 – Lessons learned
31:27 – How does Kastner see the world?
33:22 – Where are we heading?
37:00 – The global perspective
39:05 – The debt issue
41:30 – Why Cash Management is Not Easy
43:00 – Expectations for 2023
45:59 – 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.

Read more about Aspect Capital.

Timestamps

02:57 – Introduction to Aspect Capital
06:54 – Their Investment Philosophy
09:56 – Why does trend strategies work?
13:12 – A less uncertain period
15:44 – Too concerned about the sharpe?
20:38 – Which trends are most popular?
23:01 – Costumization – is there a limit?
28:58 – Staying diversified and improving models
34:33 – The research process
37:29 – A change in models?
40:15 – CTA Replication – good or bad idea?
46:01 – Their perspective on machine learning
49:33 – The risks of trend following
51:45 – Manipulated markets
53:04 – Their perspective on capacity and fees
56:26 – Setting expectations
59:05 – Simple vs. sophisticated
01:00:03 – Trend following disagreements
01:01:34 – Last words
01:04:01 – 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 LYNX.

Timestamps

02:18 – Introduction to LYNX
04:11 – How did they settle on trend following?
09:08 – A painful ride?
11:09 – Too focused on sharpe?
14:04 – What stood out in 2022?
16:17 – The dual mandate
18:10 – The benefits of diversifying strategies
20:08 – Why machine learning?
24:31 – The flipside of diversifying strategies
28:32 – The process of replacing models
31:36 – Their view on CTA replication
35:54 – Execution within LYNX
38:15 – The right number of markets
41:10 – How they manage risk
46:02 – What makes a good manager?
51:11 – The issue with capacity
54:29 – Finding and hiring new talent
59:41 – Is Liquidity on a downfall?
01:01:51 – Managing cash
01:02:48 – Trend following disagreements
01:04:04 – Expectations for 2023
01:05:33 – 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 DUNN Capital Management.

Timestamps

02:31 – Introduction to DUNN Capital Management
05:02 – Why Trend Following?
07:35 – What differentiates DUNN Capital Management?
12:06 – Hitting the right balance
14:34 – Reflecting on the performance in 2022
18:43 – The speed of systems
22:28 – Their research process
25:36 – Trading futures and determining trends
28:08 – Weaknesses of trend following
29:12 – From individual markets to portfolios
31:23 – What is the right number of markets?
34:24 – The risk of CTA replication
35:57 – Dynamic vs. static position sizing
39:38 – Primary focus when managing risk
41:29 – What is the right lookback period?
43:10 – Their approach to capacity and fees
47:15 – Is the HQ Location an issue?
48:53 – Monitoring trades
53:09 – The role of trend in larger portfolios
59:02 – The cash management process
01:03:44 – Questions to ask a manager as an allocator
01:05:55 – Expectations for 2023
01:07:46 – 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.

Follow Ryan on LinkedIn.

Timestamps

02:23 – Introduction to ROW Asset Management
05:18 – Their investment philosophy and objective
11:43 – Should we worry about our sharpe?
16:31 – What to expect from pure trend
20:04 – Their research process
24:00 – Making changes to the system
26:40 – Their thoughts on machine learning
28:53 – New areas for research
30:52 – How many markets should you trade?
35:18 – Their thoughts on replication
38:49 – The risk of replication
42:02 – Managing drawdowns
45:16 – How they use trend following
46:46 – Managing risk in their portfolio
50:21 – Talking fees and capacity
01:00:17 – Running a multi asset portfolio
01:05:24 – Disagreements in trend following
01:07:54 – Expectations for 2023
01:11:53 – Thanks for listening