Episode description

Today, we are joined by Matt Dorsten, Portfolio Manager within the Quantitative Strategies group at PIMCO, for a conversation how they manage 60 billion dollars through different quant strategies, of which app. $5bn is in Trend Following. We discuss their process of constructing portfolios using a defensive approach and how they manage to simultaneously maintain a high Sharpe, keep a balance between long and short trades and how they use tail "hedging" in their design of the strategy. We also discuss why they believe having a broad universe of markets is key and why they see a big potential in exotic markets, why they believe it is better to trade faster as a trend follower when markets are liquid enough, their process of measuring the expected returns and much more.

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Episode Timestamps:

02:28 - Introduction to PIMCO

05:11 - Their investment philosophy

11:11 - Too concerned about the Sharpe?

14:53 - A different Speed of trend following

18:13 - Building a defence against equity drawdowns

22:32 - Balancing the opposing forces

25:45 - A different approach to volatility correlation?

27:06 - Using machine learning

28:04 - The role of bonds

31:34 - The larger portfolio perspective

33:07 - Their research process

36:53 -