Today, we delve into the nuances of systematic investing with Rob Carver, focusing on the concept of replication in trend-following strategies. The discussion contrasts different approaches to replication, highlighting the potential pitfalls of return-based methods that attempt to mimic established indices. We emphasize that simply increasing the number of markets in a portfolio may not lead to better diversification, as it could ultimately expose investors to similar risk factors. We also explo...
Oct 25, 2024•1 hr 22 min•Transcript available on Metacast In his first podcast episode ever, Bill Eckhardt emphasizes that successful trading hinges more on risk control than on predicting market movements, a theme that resonates throughout his conversation with Moritz Siebert and Rob Sorrentino. The episode explores Eckhardt's journey from the renowned Turtle trading experiment to his current systematic trading strategies at Eckhardt Trading Company. The conversation provides insights into the evolution of trading strategies, the importance of maintai...
Oct 23, 2024•1 hr 16 min•Transcript available on Metacast Join Katy and I as we delve into the intriguing dynamics of trend following in the context of changing interest rates. We cover how trend-following strategies can be a valuable addition to investment portfolios, especially in high-rate environments where traditional fixed income may offer diminished diversification benefits. Katy shares insights from her latest paper, which explores the performance of trend-following strategies during various economic crises, emphasizing the importance of adapta...
Oct 19, 2024•1 hr 2 min•Transcript available on Metacast Alan Dunne welcomes back Louis-Vincent Gave of Gavekal in this episode to delve into the Chinese economic outlook and discuss the broader macro trends. Louis shares his thoughts on whether the Chinese economy and Chinese asset markets are truly at a turning point. They examine the crisis of confidence among Chinese consumers and assess whether recent stimulus measures can help. China’s active industrial policy and desire to grow its share of global manufacturing has been a key policy pillar and ...
Oct 16, 2024•1 hr 2 min•Transcript available on Metacast This episode dives deep into the intricacies of trend following strategies and their connection to complex adaptive systems. Richard Brennan and Niels Kaastrup-Larsen explore how these systems respond to market signals and the importance of boundaries in shaping investor behavior. They discuss the challenges faced by trend followers in the current market environment, particularly in October, where many strategies have encountered difficulties. The conversation touches on significant topics such ...
Oct 12, 2024•1 hr 8 min•Transcript available on Metacast Our guest on this episode is Richard Holden, economics professor at the University of New South Wales Sydney author of a new book: Money in the 21st Century: Cheap, Mobile and Digital. Richard explains why the prospect of a private digital currency run by a company like Amazon or Google is a real possibility and why that would represent an enormous transfer of power from democratic governments to a private company. He also talks about China’s digital currency, its vast user base in China and how...
Oct 09, 2024•58 min•Transcript available on Metacast Today we tackle the most important questions arising from the evolving landscape of systematic investing, focusing on the changing dynamics of asset allocation in the current market environment. Nick Baltas and Niels discuss the implications of rising interest rates and inflation on traditional 60/40 portfolios, questioning whether this approach remains valid. We explore the potential benefits of incorporating trend-following strategies, especially in light of recent market volatility. The conve...
Oct 05, 2024•1 hr 7 min•Transcript available on Metacast Amy Flikerski, Head of External Portfolio Management at CPP Investments - the C$600bn Canadian state pension fund - joins Alan Dunne in this episode to discuss allocating capital to emerging and established hedge funds. They delve into the evolution of the hedge fund industry from the perspective of an allocator and particularly how the growth of the large multi-manager multi-strats has impacted hedge fund allocating. Amy discusses the role of the External Manager Allocations in the context of C...
Oct 02, 2024•1 hr 3 min•Transcript available on Metacast In this week’s episode, Cem Karsan joins Alan Dunne to discuss the interplay between market flows and global macro developments as we enter a pivotal time of year for markets. They explore the potentially favourable setup for equities in the coming weeks, driven by flow dynamics and dealer positioning, while considering how recent policy moves in China could support the near-term bullish outlook. As the U.S. election approaches, Cem outlines how different outcomes could impact policy, the econom...
Sep 28, 2024•1 hr 4 min•Transcript available on Metacast In this episode, I’m joined by Alan Dunne and Kevin Coldiron, a co-author of "The Rise of Carry", for an in-depth discussion on the recent unwinding of the Yen carry trade and a broader exploration of how carry trades are becoming more embedded in both our financial decisions and everyday lives. We revisit key insights Kevin took from his book, published in 2019, and explore where things have unfolded differently than anticipated. Kevin also breaks down how the S&P 500 might be central to th...
Sep 25, 2024•1 hr 5 min•Transcript available on Metacast Together with Mark Rzepczynski we dive deep into the outlook for trend following and discuss what may drive trends in the coming years. We analyze the role that the Fed plays in the rise of carry trading and we discuss how the so-called KuU framework can be used for in your strategy. We also discuss the use of AI when it comes to forecasting and building models and why systematic managers should be better at explaining what they do, how to use the 3 C’s to better understand markets, the pros and...
Sep 21, 2024•1 hr 11 min•Transcript available on Metacast This week you are in for a real treat, as Adam Rozencwajg rejoins Cem Karsan and me for a deep dive into the latest developments in the Commodity markets. It's been 15 months since Adam last appeared on the show, and he's back to share his updated perspectives on the highly anticipated next Commodity Super Cycle. Adam even unveils a fascinating and little-known fact about what often coincides with the start of a Super Cycle. We also take a closer look at key markets like Gold, Copper, and the en...
Sep 18, 2024•1 hr 19 min•Transcript available on Metacast In this episode, Alan Dunne and I explore Mario Draghi's latest vision for Europe and discuss an insightful interview with Kenneth Rogoff, titled "We Will See More Spikes in Inflation," which covers key macroeconomic issues. We also explore the recent Goldman Sachs reports, highlighted by the Financial Times, showing significant outflows from multi-strategy funds. Alan shares his perspective on the current macro landscape and why he believes we may witness more “flash crashes and extreme market ...
Sep 14, 2024•1 hr 5 min•Transcript available on Metacast Our guest on this episode is Philipp Carlsson-Szlezak, the Global Chief Economist at BCG and author of a new book: Shocks, Crises and False Alarms: How to Assess True Macroeconomic Risk. He explains why it’s wrong to put focus on extreme “doom mongering” predictions - which often turn out to be false alarms. We discuss his intuitive framework for evaluating economic predictions and use it to evaluate the risk of inflation and debt in the coming years. ----- 50 YEARS OF TREND FOLLOWING BOOK AND B...
Sep 11, 2024•59 min•Transcript available on Metacast Rob Carver is back this week to discuss the importance of being able to detach yourself from the markets and taking “real” breaks from time to time and we also hear from Rob what it is like to let his systematic trading system run by itself whilst he enjoys a long summer holiday. We also discuss the underlying theory of macro momentum and how you can apply it to your own system, how he targets volatility in his portfolio and why Rob does not like using stop-losses to exit trades. We also touch o...
Sep 07, 2024•1 hr 14 min•Transcript available on Metacast Michael Howell, Managing Director of Crossborder Capital and Author of the Capital Wars Substack, returns in this episode to speak with Alan Dunne about the liquidity cycle’s influence on global markets. Michael outlines how he sees rising liquidity growth providing a favourable backdrop for risky assets and that the conventional narrative that the Fed has been tightening liquidity via quantitative tightening is misplaced. They discuss how the requirement to refinance $70 trillion in debt every ...
Sep 04, 2024•1 hr 3 min•Transcript available on Metacast As August comes to an end, we discuss this month of extremes for the trend-following community, marked by significant dispersion in performance and unusual price activity across multiple asset classes as well as the economy in general. We address the strengths and limitations of replication strategies and Andrew shares insights into how he thinks about appropriate correlations levels between the benchmark and the replication strategy. We discuss the challenges of the due diligence process in rep...
Sep 01, 2024•1 hr 1 min•Transcript available on Metacast Peter Berezin Chief Strategist and Research Director at BCA Research returns in this episode to discuss with Alan Dunne why he believes the US economy will soon enter recession and the S&P 500 will fall as low as 3750. Peter highlights the leading indicators in the housing market, labour market and in manufacturing that suggest to him that the economy is on a weakening trend and why he expects the unemployment rate to rise from here. They discuss current equity valuations, the Mag 7 and why ...
Aug 28, 2024•1 hr 2 min•Transcript available on Metacast Together with Richard Brennan we address the high level of volatility we have experienced this month and what airplane turbulence can teach us about periods of volatility. We also discuss why backtesting can’t predict future performance and what can be done to achieve achieve more realistic expectations of future risk and returns. We then dive into how investor behaviour drives price movement and how trend followers play a role in this, and why it may still make sense to include highly correlate...
Aug 24, 2024•1 hr 3 min•Transcript available on Metacast In this episode we welcome back Mark Mills, author of The Cloud Revolution: How The Convergence of New Technologies Will Unleash the Next Economic Boom and a Roaring 2020’s. Mark was a guest on the show one year ago and many of the predictions he made then have come true. We revisit his view that simultaneous improvements in information, materials and machine technologies are about to unleash an economic boom. He explains the surge in power consumption related to AI and why this should...
Aug 21, 2024•1 hr 1 min•Transcript available on Metacast Along with Katy Kaminski, we discuss how the current disruptions in the economy and markets cause a change in investors’ behaviour. We dive deep into the interconnection between inflation, bonds and volatility and we discuss how to build a portfolio that performs well in economic downturns. We also discuss the difference between a crisis versus a correction and the evolution when it comes to "model speed" within the CTA industry, the importance of sticking to the process in times of uncertainty ...
Aug 17, 2024•59 min•Transcript available on Metacast Join John Jackson, Global Head of Hedge Fund Research at Mercer, and Alan Dunne in this enlightening episode as they dive into the world of hedge fund selection! Discover how a leading institutional consultant selects hedge funds and builds robust portfolios. John shares his insights on why starting with manager selection is key to the portfolio construction process and how he integrates top-down considerations into the mix. The conversation delves into the roles different strategies play i...
Aug 14, 2024•1 hr 5 min•Transcript available on Metacast Following an eventful week with major market rotations, I'm joined by Nick Baltas to discuss the impact of this weeks turbulence on trend followers. We discuss how trend following strategies had already started to adapt to the market rotations in July and what the consequence of leaving the short fixed income trade behind meant for overall performance in August. We also discuss how the market rotations has changed investors’ perception of trend following speed and why there is no “one size fits ...
Aug 10, 2024•1 hr 5 min•Transcript available on Metacast Aswath Damodaran, Professor of Finance at NYU Stern and a leading expert on valuation and corporate finance joins Alan Dunne in this episode for a fascinating and thought-provoking discussion on current markets and investing in general. They explore why Aswath believes we have witnessed the death of old-school value investing and how structural shifts in the economy have fundamentally altered the investing landscape. The discussion delves into the valuation of Nvidia and the Mag 7, questioning w...
Aug 07, 2024•1 hr 5 min•Transcript available on Metacast Together with Cem Karsan, we discuss how the volatility space is experiencing major dispersion at the moment and how you can prepare your portfolio for the unpinning of volatility which we are experiencing. We also address how the groundbreaking events that have happened in the U.S. election recently might change the outcome of the election and what impact this will have on the economy. We discuss the core principles and mechanisms behind market moves and how Fed plays a pivotal role in this. An...
Aug 03, 2024•1 hr 8 min•Transcript available on Metacast In this episode we speak to Ernest Scheyder, an award-winning journalist, senior correspondent for Reuters and author of the acclaimed new book: The War Below: Lithium, Copper and the Global Battle to Power Our Lives . We can’t have green energy without mining. But there is no way around the fact that mining is loud, dangerous and disruptive. Our conversation explores this tension that sits at the center of the energy transition. We also discuss new technologies for mineral extraction and recycl...
Jul 31, 2024•58 min•Transcript available on Metacast Together with Mark Rzepczynski we discuss how the activist treasury issurance of more bills than coupons have provided more quantitative easing and why we are seeing a decline in concern for inflation and rising interest rates. Mark also shares key insights to why building a system is more important than building models and what you can use a backtest for, and we discuss whether investors should focus mostly on stocks or bonds in their portfolio. We also discuss why you should include trend foll...
Jul 27, 2024•1 hr 6 min•Transcript available on Metacast Alfonso Peccatiello joins us for a compelling discussion on today’s challenging macroeconomic environment. Alongside my co-host Cem Karsan, we explore the impacts of massive debts, weak public sector balance sheets, and rising wealth inequality. We delve into how polarized electorates and global economic fragmentation are reshaping policies, discussing the economic implications of new tariffs, a weaker Dollar, and the prospects for Gold and Bitcoin. Alfonso shares his insights on rising interest...
Jul 24, 2024•1 hr 7 min•Transcript available on Metacast Together with Alan Dunne, we take the temperature of the current state of affairs in the U.S. election and how the election impacts the economy and markets. Alan also shares his advice for allocator looking to start a new trend following fund and we discuss how fees are currently the big differentiator in the CTA space, with one manager increasing it's performance fee to 30%. We also discuss the "Dual Mandate of Managed Futures Strategies" and how how different frequencies of skewness affect str...
Jul 19, 2024•1 hr 3 min•Transcript available on Metacast In this episode, Alan Dunne welcomes former central banker and current President of the Peterson Institute, Adam Posen, to discuss the economic outlook and monetary policy. Posen explains why he believes markets are mistaken in expecting rate cuts next year and identifies the key factors driving stronger economic growth. They explore global central banking and monetary policy, examining the successes and challenges of inflation targeting, the models used by central banks, and the most important ...
Jul 17, 2024•1 hr 3 min•Transcript available on Metacast 
