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89 The Systematic Investor Series ft Rufus Rankin – May 25th, 2020

We’re joined by special guest, Rufus Rankin of Ampersand Investment Management, to discuss Trend Following ETFs, the definition of a truly diversified portfolio, flat-fees versus performance-based fees,  how to choose between different managers, learning from Q1 2020, predicting CTA returns, and the recent public spat between Cliff Asness & Nassim Taleb. Questions we answer include: Are Trend Following CTAs seeing an increase in client interest after this year’s stock market crash? What non-USA or Europe markets are CTAs currently interested in?

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Episode Summary

0:00 - Intro
1:26 - Macro recap from Niels
4:06 - Weekly review of returns
7:20 - Niels: How what was your journey into this industry?
8:57 - Niels: How did you end up allocating capital to CTAs?
10:05 - Niels: Do you view Trend Following as a philosophy?
12:50 - Niels: What are your thoughts about truly diversified portfolios?17:28 - Moritz; If we can’t forecast CTA returns, do you think we should allocate capital to as many CTAs as possible?
20:02 - Niels: What percent of a whole portfolio would you recommend to Trend Following, and what would investors be comfortable with?
19:02 - Moritz; Do you only allocate to Trend Following CTAs?
22:41 - Moritz; Do you consider yourselves to be a ‘fund of funds’?
23:11 - Moritz; How do you handle client pressure surrounding double-layering of fees?
24:17 - Niels: Who do you think drives the demand for flat-fees, rather than performance-based fees?
26:03 - Niels: What do you think of cheap Trend Following replication products versus full-cost, long-established, Trend Following funds?
30:16 - Moritz: Do you still think CTAs are worth their performance fees?
32:30 - Niels: How do you choose between different managers?
35:19 - Moritz: When do you stop adding CTAs to your portfolio, for diversification?
37:15 - Moritz: How do you gain exposure to your chosen CTAs?
38:44 - Niels: How has 2020 been for you so far?
40:09 - Niels: What are some of the things you learned from Q1 2020?
42:52 - Moritz: How has machine learning added value during Q1 2020?
44:41 - Question 1; Michael: Have you ever considered creating a Trend Following ETF?
48:49 - Niels: Would Trend Following ETFs be required to disclose the rules of the strategies?
44:41 - Questions 2&3; Brian: Are Trend Following CTAs seeing an increase in investor interest, post the 2020 market crash? What non-USA or EU markets are CTAs currently interested in?
53:31 - Performance recap

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