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 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

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