TTU138: Need for Speed in Trendfollowing ft. Matt Dorsten, Portfolio Manager at PIMCO
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.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to [email protected]
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Alan on Twitter.
Learn more about PIMCO
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 -