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.

Follow Kevin on LinkedIn.

Timestamps

02:07 – Introduction to Campbell & Co
03:53 – Their investment philosophy
06:07 – The objectives of their work
08:37 – Moving beyond trend following
12:27 – Their approach to trading equities
15:11 – Staying diversified
19:59 – Using constraints
21:54 – Thoughts on replication
26:45 – What is a good research process?
31:46 – Balancing the adaptability
36:23 – Trading more markets = better?
41:47 – Dealing with ESGs
47:02 – Their risk management process
51:46 – Being discrete
56:19 – Static or dynamic position size?
59:35 – Capacity in the industry
01:04:27 – Advice on return expectations
01:07:11 – Vanilla vs. sophisticated trend follower
01:09:29 – Managing cash
01:11:07 – What do you disagree with the most?  
01:12:07 – Expectations for 2023
01:12:57 – 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 Michael on LinkedIn.

Timestamps

02:20 – Introduction to Crabel Capital Management
03:41 – The philosophy behind their work
08:46 – Their trading objectives
11:21 – Too concerned about the sharpe?
14:28 – Better alternatives to sharpe?
16:43 – Unearthing the anomalies
22:49 – Creating the perfect environment
26:34 – Machine Learning – a magical unicorn?
31:17 – Getting the execution right
35:01 – The feeling of being replicated
39:28 – Their approach to trading markets
42:55 – The ESGs?
47:43 – Managing risk
58:42 – Are fees on the rise?
01:03:44 – Getting the execution right
01:07:22 – The role of their product
01:10:51 – Which bucket do they belong to?
01:12:18 – Crazy times for liquidity
01:16:24 – Being controversial
01:20:14 – 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 Harold on LinkedIn.

Timestamps

02:27 – Introduction to Transtrend
03:47 – The investment philosophy
17:55 – Being unconventional
21:27 – Pure trend following vs. Trend following plus
29:25 – What is the investment objective?
32:53 – Developing and evaluating systems
37:34 – Human + computer = better than computer?
40:34 – Weaknesses of CTA replication strategies
47:17 – Is trading more markets better?
51:54 – Managing risk and liquidity concerns
56:06 – Diversification strategies and fees
01:00:37 – The challenges of ESGs
01:05:43 – Taking the asset allocator perspective
01:08:49 – Is equity exposure better?
01:10:31 – What do you disagree with the most?
01:11:08 – Expectations for 2023
01:12:12 – 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 Russell on LinkedIn.

Timestamps

00:00 – Intro
02:22 – Introduction to Man AHL
03:45 – Their trading strategy
06:18 – Why does trend following work?
10:11 – A unique type of trend following?
15:46 – A trade-off in the objectives
19:14 – The effect of adding carry
21:13 – Picking from the strategy menu?
22:46 – Too much focus on sharpe?
24:33 – Replication – yay or nay?
29:54 – Have the models become outdated?
35:55 – The importance of execution
39:06 – Dynamic vs static position sizing
44:24 – Overcoming drawdowns
48:42 – Discussion on capacity and fees
52:18 – How to think about expected returns
57:09 – Can you trend follow trend following?
58:50 – Managing the cash
01:00:21 – Disagreements in trend following
01:02:03 – Questions to ask as an allocator
01:03:49 – Expectations for 2023
01:05:51 – 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.

Timestamps

00:00 – Intro
01:52 – Setting the stage
03:53 – The idea behind the miniseries
07:48 – What we hope to achieve
11:13 – What are our expectations?
14:43 – The topics that we will discuss
29:25 – When will they be published?
30:34 – What are we most excited for?
35:58 – 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 Rob on Twitter.

Follow Nick on LinkedIn.

Timestamps

00:00 – Intro
03:16 – Introduction to Nick Baltas
05:59 – Baltas’ findings from comparing different systematic trading strategies
12:10 – Is the CTA industry too small to have an impact?
16:44 – Blame it on the trend following people
21:42 – Baltas’ research on capacity
30:03 – The impact of trend
37:54 – Pros and cons between different alternative markets
46:10 – Using skew in your strategy
52:57 – Nick's article in Financial Times
01:05:47 – Is Trend Following becoming a Essential for all investors?
01:11:55 – 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 Rob on Twitter.

In This Episode, we'll discuss:

  • The increasing popularity of carry trading and its role in the global economy
  • The risk and volatility of carry trading, and how it can play a role in financial bubbles
  • How carry trading creates market feedback effects, and how that is distinct from feedback created by other strategies
  • The role of liquidity within the carry world
  • The future of carry

Follow Kevin Coldiron's work:

Follow Kevin on Twitter
Book mentioned in the Episode: The Rise of Carry

Timestamps

00:00 – Intro
02:25 – Introduction to Kevin
05:53 – Background on the co-authors of Kevin’s book
09:43 – Definition of carry trading with examples
13:56 – Volatility vs. risk
23:11 – The role of Volatility in investing
28:27 – Carry trade supressing volatility
35:55 – Does carry trades play a role in financial bubbles?
41:01 – The current carry regime?
43:38 – Carry in macroeconomics
52:48 – What comes after a carry regime?
01:05:44 – Thanks for listening

by

“Deferred gratification must be a master principle. In a world where people are focused on short-term pleasures, it becomes an enormous competitive advantage if you can shift to deferred gratification.”

—William Green

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.

In This Episode, You'll Learn:

  • The connection between philosophy and investing
  • Richard’s new book, ‘Richer, Wiser, Happier’
  • The secrets behind the successful business model of Costco and Amazon
  • The benefits of deferred gratification

“I’m writing about the people who I think are operating on many different levels.  They’ve got the external aspects of investing down, they’re thinking intelligently about how to make money, but they also are thinking very deeply about this inner game of what constitutes an actually successful and abundant life.”

—William Green
  • Why Ray Dalio likes to combine ‘man & machine’ and use a systematic approach
  • Why being humble can lead to great long-term returns
  • How to invest for the long-term, in a short-term world
  • The ingredients that made some of the most famous investors of all-time so reputable

Follow William Green's work:

Visit the Website: William Green
Follow William on Twitter
Book mentioned in the Episode: Richer, Wiser, Happier

“There is something very profound going on with systematic investors.  There is a tension there, between smart individuals who understand some fundamental principles and are willing to go against the crowd, and the brute power of harnessing machines and eliminating emotion.”

—William Green

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“The mutual fund is almost coming up to a 100 years old if you count the first US mutual fund, but in the past 50 years it’s been all about the index fund.  So the reason why I started covering it so much at the FT is because I felt it was under-covered in comparison to some of the more titanic hedge fund managers.”

—Robin Wigglesworth

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.

In This Episode, You'll Learn:

  • How journalism and financial media has changed in the last 15 years
  • Why the rise of passive investing plays such an important part of the history of finance
  • The big players behind the rise of passive investing
  • The first index fund
  • The rise of BlackRock

“Studies have shown that the index inclusion affects, which is the uplift that you get from being in a major index like the S&P 500,  has been fading quite dramatically for some time and basically is non-existent.”

—Robin Wigglesworth
  • The merits of passive and active investing
  • How investors might react to a prolonged bear market
  • The benefits of quantitative investing strategies
  • Why systematic investing is often criticised so heavily
  • Some of Robins’ thoughts on Trend Following

Follow Robin Wigglesworth's work:

Visit the Website: Robin Wigglesworth at the Financial Times
Follow Robin on Twitter
Book mentioned in the Episode: Trillions

“The reason I think quantitative investing is going to take over the world is that I think we’re all moving towards rules-based investing.  A lot of what quant funds do is what active managers have been doing for decades, which is doing things systematically. But in a quicker way, so it’s more transparent and cheaper, which is what an index fund is – a really simple quant fund.”

—Robin Wigglesworth

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“When the market turns and goes negative, strategies like Trend Following tend to do really well. They provide that hedge. So it’s completely inappropriate to compare Trend Following to a long equity portfolio, because Trend Following has different properties – it has hedging properties.”

—Cam Harvey

Check out our series on Volatility here, and our Global Macro series here.

Learn more about the Trend Barometer here.

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.

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

In This Episode, You'll Learn:

  • How to manage a portfolio through a crisis
  • The motivation behind writing his new book
  • Various methods of portfolio protection
  • Diversification within Trend Following systems
  • Volatility targeting and why it can be a powerful tool

“When you have a portfolio of different assets, the noise cancels out, you reduce the volatility, and that’s good for you.”

—Cam Harvey
  • The journey of volatility going from a measure to an input
  • Drawdowns as an important metric to monitor
  • Timing portfolio rebalances effectively
  • The 60 / 40 portfolio, diversification, and inflation

Follow Cam Harvey's work:

Visit the Website: Campbell Harvey at Duke University
Follow Cam on Twitter
Papers mentioned in the Episode:
Momentum Turning Points
Bayesian Inference in Asset Pricing
Bayes vs. Resampling – A Rematch
A Backtesting Protocol in the Era of Machine Learning

“People don’t truly understand diversification, because it’s not just about reducing volatility, it’s also about reducing some of the tail-risks.  So when I think about a diversified portfolio, I want to reduce the noise, and reduce the variance, but I also want to reduce the skew.”

—Cam Harvey

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When you look into history, so-called derivative investment products that you think of as being recent, actually go back to 2400 BCE, in various forms. Call options go back to 600 BCE at least. In the 18th century BCE there were personal loans, as well as a liquid secondary market for these promissory notes. So what we think of as new inventions are actually very old.

—Steve Foerster

Check out our series on Volatility here, and our Global Macro series here.

Learn more about the Trend Barometer here.

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.

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

In This Episode, You'll Learn:

  • Steve's journey to where he is today and how he ended up co-authoring a book with Professor Andrew Lo
  • Some of the concepts from the legendary financial experts Steve spoke to for the book
  • How closely linked the academic world of finance is
  • About the some of the most important findings from investment research over the years
  • About the early 20th-century mathematician, Louis Bachelier
  • Harry Markowitz' story
  • A summary of what the pioneers of investing would include in their perfect portfolio
  • About William Sharpe and his now famous ‘Sharpe Ratio'

The missing link was that correlations are critical as well. In fact, as we know, the more securities that you put into a portfolio, it's those correlations or that co-variant component that really dominates.

—Steve Foerster
  • How the phrase ‘beta' came about
  • How computers enabled researchers to access deeper insights into the world of investing
  • About the debate between active and passive investing
  • Whether volatility should be considered as a measure of risk
  • About the progression of volatility data into today's investment models
  • About the story of Eugene Farma
  • How Steve views the question of ‘what is the perfect portfolio?'
  • Whether Steve considers Trend Following investing as, essentially, a perfect portfolio

Follow Steve Foerster's work:

Visit the Website: In Pursuit of the Perfect Portfolio
Follow Steve on LinkedIn

The insight that Sharpe picked up on was, ‘what happens to a model if we add one more security, and this security was a risk-less security?' It turns out that this was the tangent that led to the optimal portfolio.

—Steve Foerster

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The typical pie-chart of diversification ends up being all long-GDP assets, which means these are going to do well in a risk-on environment, when we’re awash with liquidity. The problem is, when we see a sell off or a liquidity event like March 2020, we see the correlations of an ‘uncorrelated’ pie chart go to 1, which means that they all sell off at the same time.

—Jason Buck

Check out our series on Volatility here, and our Global Macro series here.

Learn more about the Trend Barometer here.

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.

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

In This Episode, You'll Learn:

  • How Jason got to where he is today
  • If the initial risks Jason set out to protect his clients against, have changed
  • Why CTAs could be considered ‘long-volatility’ assets that provide protection during broad market selloffs such as 2020
  • The benefits of ‘ensemble’ investing
  • The opposite requirements of building wealth versus keeping wealth
  • Why a sample size of 100 years is still just an anomaly
  • Why the typical ‘diverse’ portfolio might be riskier than investors realise
  • What a ‘long-volatility’ asset looks like
  • The history of long-volatility assets
  • The term ‘crisis alpha’ and what it means to him and his clients
  • How to overcome the challenges of educating investors about volatility-event risks
  • Whether the addition of long-volatility components to portfolios today has affected his initial approach

The problem with Sharpe Ratio is that it was originally built as a portfolio tool to measure the portfolio level, but now we measure individual strategies or individual managers with Sharpe, and that was never the intention.

—Jason Buck
  • Why the Sharpe Ratio is often misunderstood as a risk measurement tool
  • How much, and why, returns vary among different long-volatility managers
  • How to approach position sizing with black swan events in mind
  • Some of the common investor mistakes
  • How to choose between different Trend Following managers
  • How to create a strategy for inflationary and deflationary environments
  • If less-liquid assets can be safely incorporated into a portfolio
  • How to analyse backtests properly
  • If Jason uses Gold and Bitcoin in his long-volatility strategies
  • What keeps Jason up at night in terms of risks

Connect with Mutiny Fund:

Visit the Website: MutinyFund.com
Follow Jason Buck on Twitter

We had a lot of family and friends coming to us and saying, I've read a Nassim Taleb book or Chris Cole's white paper. How do I do this? And if you don't have tens of millions of dollars, there was never a solution. So as entrepreneurs, we figured out there had to be a solution to this, and the piece that was missing was this long volatility, tail risk piece. And so we set out to create that opportunity for retail to get access to this asset class.

—Jason Buck