Episode description

Today, we are joined by Dr. Edward Tricker, Chief Investment Officer of Quantitative Strategies at Graham Capital Management, joined Top Traders Unplugged for a discussion on Graham's approach to quantitative macro investing. The discussion touches on a variety of interesting topics including the evolution of trend-following, diversification, portfolio optimization, and "crisis alpha." Dr. Tricker also discusses how Graham partners with investors to help them solve for their specific portfolio needs, as well as why collaboration is critical in his team’s research process and the firm's risk management philosophy.

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Episode Timestamps:

02:16 - Introduction to Graham Capital Management

04:00 - Their investment philosophy

09:35 - The art of modelling

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 look-back and signal generation

54:01 -...