Today, Mark Rzepczynski and I dissect the macro rally we are experiencing at the moment. We discuss why we are seeing an increasing attention to what CTAs are doing, how survey data regarding the economy confuses investors and markets, and we address some of the most common questions that investors ask in meetings at the moment. Additionally, we discuss how explanatory depth can be applied to trend following, why it is critical to master your attention and speed of adjustment and we wrap up deba...
Nov 25, 2023•1 hr 9 min
Dario Perkins joins Alan Dunne in this episode for an insightful and thought-provoking discussion on the global economic outlook. Dario outlines how many economists and strategists misdiagnosed the global economy coming into 2023 by assuming it was in a typical business cycle which was not the case. The conversation delves into the subtle structural shifts which are underway in the global economy including a shift higher in inflation with 2% now a floor whereas previously it was a ceiling, the s...
Nov 22, 2023•1 hr 5 min
Today, we are joined by Alan Dunne for a wide ranging conversation, covering pressing global macro issues, the latest trend following research, JP Morgan's outlook for the 60/40 portfolio, following a week dominated by the release of the CPI numbers. We discuss how and why Ray Dalio believes the hot war between the US and China is changing and why the US is seeing an unusually low savings rate at the moment and why Alan believes there are plenty of possibilities in the non-trend space. We also d...
Nov 18, 2023•1 hr 6 min
Maia Mathieson and Faheem Osman, both Managing Directors at Macquarie Bank in London speak with Moritz Seibert about the bank’s growing Quantitative Investment Strategies (QIS) business and how their rules-based indices can help investors to efficiently access various risk premium strategies across asset classes. Maia and Faheem explain the key return drivers behind their commodity-focused strategies, for example curve carry and congestion, and explain why they believe these to be structurally s...
Nov 15, 2023•56 min
Today’s conversation with Katy Kaminiski is all about change. We discuss what has been the driver of the changing economic environment that we experience and how changing interest rates affect trend followers, why Katy believes we need a repricing in long term yields and how the yield curve is a key factor in trend followers profitability. Katy also explains her outlook for the markets, how you build portfolios in the current economic environment and much more. ----- 50 YEARS OF TREND FOLLOWING ...
Nov 12, 2023•57 min
Ed Yardeni, President and Chief Investment Strategist at Yardeni Research joins us today to discuss the re-emergence of the bond vigilantes, a term Ed coined four decades ago. We discuss why bond investors are pushing up long-term bond yields and what are the prospects are for a debt crisis in the US. Ed outlines his view that we may see “rolling recessions” rather than a sharp economic downturn but that he has recently increased his probability of a hard landing. We examine the parallels betwee...
Nov 08, 2023•56 min
Cem Karsan returns to help us uncover the art of tail hedging and whether he views the January 2024 OpEx as a possible inflection point and start of a new bear market. We discuss the latest events in the macro space, especially regarding the conflict in the Middle East, and how it impacts markets, why Niels believes we are probably heading towards a world where investors are completely wrongly positioned and why it is important to think differently when it comes to asset allocation. Lastly, Cem ...
Nov 04, 2023•1 hr 5 min
You are invited to an eye-opening conversation with Mauritz van den Worm, a quant researcher at Polarstar, a commodities-focused hedge fund in Cape Town, South Africa, hosted by Moritz Seibert. In this inaugural episode of the Open Interest series, Mauritz takes us on a journey through the fascinating world of commodity spreads. We explore not only calendar spreads but also delve into cross-market substitution spreads, location arbitrage trades, and processing margin spreads. Discover how PolarS...
Nov 01, 2023•1 hr 1 min
In today’s episode, Richard Brennan takes us on a tour around the Australian economy and how the investment landscape is changing. We also discuss how different investment philosophies demand different interpretations and why the “one size fits all” approach does not exist, how cross-sectional momentum differs from absolute momentum. Lastly, we discuss why Richard uses an ensemble of trend following systems and why he always strives for maximum diversification, and why I feel we should not intro...
Oct 28, 2023•1 hr 26 min
Today we are joined by Matt Smith, Investment Director at Ruffer for a fascinating discussion on global markets, asset allocation and how history can guide us in the current global macro landscape. Matt explains why Ruffer is defensively positioned at the moment, why he is sceptical of the AI rally in stocks in recent months and where is he sees opportunity in markets at the moment. We discuss the secular outlook for inflation and why Matt believes we sill see greater volatility and a trend high...
Oct 25, 2023•59 min
Rob Carver is back this week speaking with Alan Dunne about constructing and assessing trend following and non-trend following trading strategies. We delve into mean reversion strategies and over what time frames they might be effective and what are the pitfalls in trying to combine trend following with mean reversion. We also discuss the theory and reality of the benefits of faster trend following, Rob’s experience of this and his approach avoiding over-fitting when constructing trading strateg...
Oct 21, 2023•1 hr 2 min
There is no secret more carefully guarded than that of how to make atomic weapons. Nuclear technology can power us with clean energy or destroy all of human civilization. It has been alleged for decades that there is a correlation between UAP encounters and nukes, a suggestion that seems intuitive because if an advanced civilization was monitoring us, any breakthroughs in nuclear physics would certainly represent a key developmental milestone. In this episode join our Galactic Macro series host ...
Oct 18, 2023•1 hr
Nick Baltas is back this week to talk about the use of non-trend strategies in diversified managed futures portfolios. What is the rationale for the existence of a carry risk premia? How durable are the returns? What are some of the key thing things to keep in mind implementing a carry strategy? These are some of the questions we discuss as we deep dive into the use of carry alongside trend following. We also discuss reversion strategies and how skewness plays a part in their construction. And w...
Oct 14, 2023•1 hr 4 min
Troy Gayeski, Chief Market Strategist for FS Investments, joins us today to discuss asset allocation and investment opportunities in today’s higher yield environment. We discuss how higher interests rates are impacting the risk and reward across capital markets and why higher interest rates mean equity valuations may be stretched at the current juncture. We discuss how asset allocation has evolved from the 60-40 benchmark to a 40-30-30 allocation for many institutional investors with a 30% ...
Oct 11, 2023•1 hr 4 min
Andrew Beer joins us to discuss a recent research report from Morningstar (called Market Wizards Wave Their Wands but Investors Miss the Magic) which highlights the challenges investors have in timing managed futures allocations. We get Andrew’s perspective on the evolution of the managed futures industry, particularly the evolving ETF and UCITS markets and discuss whether the CTA industry is on the road to commoditisation. We wrap up discussing a recent FT article which suggests more attractive...
Oct 07, 2023•1 hr 2 min
Goldman Sachs Head of Asset Allocation Research, Christian Mueller-Glissmann shares his current investment framework with Cem Karsan and I today. It's an important conversation as it touches on so many of the most important questions that investors, individual as well as institutional, are faced with right now. How we as investors should allocate our capital taking into account the ever changing Global Macro regimes was fascinating to explore, with one of the sharpest thinkers on this topic. Lik...
Oct 04, 2023•1 hr 5 min
Q3 is behind us, and we take stock of how is the trend following industry holding up? Is passthrough fees becoming a problem for investors in the multi-strategy space? Do we still have a bubble economy? Have we lost our imagination of what can happen in the economy? And why is it important to understand psychology when building models? Join us for this fascinating conversation with Mark Rzepczynski where we discuss this, and much more. ----- 50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES...
Sep 30, 2023•1 hr 6 min
Join us for a thought-provoking conversation with Professor Helen Thompson of Cambridge University, author of Disorder: Hard Times in the 21st Century, as we take a big picture perspective on the current global macro landscape. A key focus of Helen’s work is the role of energy markets in understanding global macro developments and we delve into Europe’s energy dependence on Russia. We hear about the factors which enabled Europe avoid an energy shortage in the winter of 2022 but why energy market...
Sep 27, 2023•1 hr 2 min
Tune in for this week’s trend following conversation with Alan Dunne, where we discuss Barry Eichengreen’s paper on living with high public debt and how the high level of debt can be addressed, the relationship between interest rates and GDP, how Forex trading have evolved over time and why it is having a renaissance at the moment. We also discuss return expectations in markets and diversified strategies and Alan reports what he experienced from a recent investor event in Paris. ----- 50 YEARS O...
Sep 23, 2023•1 hr 3 min
In this episode we lift the veil on China’s often secretive system for managing its multi-trillion dollar holdings of foreign assets. Guiding us through the discussion is Dr. Zhongyuan Zoe Liu, the Maurice R. Greenberg fellow for China studies at the Council on Foreign Relations. Dr. Liu spent years researching financial reports and conducting in-person interviews with those involved in running China’s multiple “Sovereign Leveraged Funds”. We discuss how they evolved, what purposes they serve fo...
Sep 20, 2023•59 min
Today Nick Baltas and I embark on a journey through the shifting tides of investment strategy. For decades, equities have reigned supreme as the primary source of portfolio returns, while bonds played a crucial role as diversifiers. But over the past two decades, something intriguing has happened, and the dynamic between these two asset classes has evolved in ways we've never seen before. Stay tuned as we unravel the fascinating story of this transformation and explore what it means for modern i...
Sep 16, 2023•59 min
Join us for a captivating episode where we delve into the hidden influence of confidence in our decision-making. Discover why seemingly unprecedented events are often predictable with the right insights. Peter Atwater provides an accessible framework for understanding confidence, helping us navigate uncertainty and lack of control. Our conversation delves into how confidence impacts politics and the economy, as well as how we can nurture confidence in the younger generation to face life's challe...
Sep 13, 2023•1 hr 13 min
Is the economy actually doing better than we expected? This week we are joined by Andrew Beer, where we discuss the use of replication strategies in the current economic environment and how many markets/factors you should include, how managers can differentiate themselves from each other and the outlook for growth in the CTA industry. We also discuss the challenges of the Lemming effect in investing and today’s obsession with multi-strategy hedge funds, the capacity of the trend following indust...
Sep 09, 2023•1 hr 17 min
In this episode we are joined by a true Macro thinker, Nelson Rangel, CIO at Raven Capital. Nelson walks us through his fascinating lens of the world evolved from his formative career years where his mentors taught him chaos theory and quantitative analysis. The conversation delves in to global conflict, adapting to social media information flows, and the challenges of finding investment value in LATAM markets. Be sure to stick around to the very end where Nelson leaves us with a cliff hanger as...
Sep 06, 2023•59 min
Today, we welcome Katy Kaminski to the Systematic Investor Series, as we dive deep into trend following systems and how to overcome the unintended biases that can creep into CTA systems, why Katy believes everybody has to “go back to the drawing board”, why it is unrealistic to expect things to go back to “normal”, and why Katy believes we are not in a crisis but rather a correction. We also discuss how a crisis is in the eye of the beholder and shed light on the current global macro narrative. ...
Sep 02, 2023•1 hr 1 min
Chen Zhao, co-founder and Chief Global Strategist at Alpine Macro joins us today to outline why growth has been resilient in 2023 but why he sees deflation and an economic downturn as a rising risk as we move into in 2024. We hear why the best global macro trades are the hardest to hold and why he believes long fixed income is the best trade at the moment. We discuss the long term outlook for growth and inflation in the major economies and hear why Chen is dismissive of the idea that deglobalisa...
Aug 30, 2023•57 min
Richard Brennan is back to discuss the lurking uncertainty in the economy and take a deep dive into absolute momentum. What is it, how is it used and how does it relate to trend following? How does complex systems really function and evolve over time and what role does correlation play in system design? And financial markets is in fact chaotic systems, then how do predictive modellers trade them? Is there an edge from price following techniques in their ability to trade in highly complex and som...
Aug 26, 2023•1 hr 26 min
Best-selling author and renowned historian Neil Howe joins the show to talk about his New York Times’ bestselling book The Fourth Turning Is Here. Neil believes history moves in generational cycles that last about the length of one long human life. Each cycle has four eras - Turnings - that always arrive in the same order and last about twenty years. We are now midway through a Fourth Turning which is a time of exceptional upheaval and conflict. Previous Fourth Turnings happened during the ...
Aug 23, 2023•1 hr 22 min
Cem Karsan joins us for a wide ranging conversation where we discuss the current volatility environment and if vol trading can actually be predictable, the current Fourth Turning and how this will impact the level of volatility and where Cem’s outlook differ from Neil Howe's, why demographics is “destiny” and the current tug of war between flows and macro. We also discuss why Cem is watching NASDAQ so closely and the historic rotations that are happening in markets at the moment, why Cem believe...
Aug 19, 2023•1 hr 8 min
Peter Berezin, Chief Global Strategist and Research Director at BCA Research joins us today for a wide ranging discussion on the outlook for global economy and global capital markets. We hear why Peter has been more upbeat than the consensus on the outlook for the US economy but why he continues to believe that the outlook is for recession next year. He outlines why US stocks may continue to make gains in the near term but the outlook is much more challenging on a five-year view. We discuss his ...
Aug 16, 2023•1 hr 1 min
