TopTradersUnplugged.com

Today, we are joined by Simon Judes, Co-CIO at Winton for a conversation on how they use quantitative investment strategies and statistical research to generate alpha. We discuss how the characterization of Crisis Alpha has the potential to be misleading and why the speed of your trading should be determined by your objective, their process of discovering new ideas through research and the pitfall...

Today, Mark Rzepczynsky is back with us, following a tense week with the collapse of Silicon Valley Bank and a few other bank emergencies. We discuss how we are in a period that Mark calls “the great bond reprising” and what this means for the economy, why the collapse of SVB was somehow "expected", if only regulators had been looking at the right data and how you build models that are well prepar...

Today we are re-joined by Rory Johnston, founder of Commodity Context, a physical commodities research firm based in Toronto, Canada. We cover the SPR (Strategic Petroleum Reserve) that has been actively deployed by the Biden administration over the past year, its implementation and potential impact on related economies. To what extent can the SPR influence spot and futures prices, and what are th...

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 betwe...

Today, I'm joined by Rob Carver for the weekly trend following conversation, where we reflect on the takeaways from the CTA series and the performance of the year so far. We discuss parameter and markets selection through research and testing and why Rob dislikes stops in moving average systems, what happens if a brokerage firm fails. We also discuss why you have to be cautious when using dynamic...

What are some of the key takeaways when you marry global financial markets with potentially extraterrestrial influences? Global Macro investor David Dorr, has taken on that conversation. As government and national security services have begun to declassify information around UFOs, David is exploring the edge of what people are starting to talk about but financial markets haven’t yet embraced. Ener...

Today, we are joined by David Gorton, CIO at DG Partners, for a conversation on how they use trend following to achieve a multi-billion dollar portfolio. We discuss how to become a better trend follower by understanding the weaknesses of the strategy and their approach to produce positive alpha, the challenge of timing trend following and how they focus on the conceptual trend without giving up th...

Alan Dunne joins us for the weekly conversation on Trend Following, where we reflect on the broader perspective of the markets and the economy. We discuss how the unpredictablity of inflation and interest rates affect all parts of the economy and the transition from globalization to deglobalization, the size of the CTA and trend following industry and how articles on media like Bloomberg often cre...

Today, we are joined by Philip Seager, Head of Absolute Return at Capital Fund Management (CFM), for a conversation on how they incorporate trend following in their investment strategy. We discuss their research on how trend following has performed historically and how they use the data in their trading and the role trend following play in their portfolio construction. We also discuss the right wa...

Today we are joined by Nicky Ferguson, Founder of It's Not a Science, an energy markets research firm based in Basel, Switzerland. We talk about speculative positioning in oil and natural gas futures, and how to distinguish between price action driven by fundamentals and flows. We discuss real time indicators of oil supply and demand, and the time it takes various investors to absorb new informati...

Today, we are joined by Yao Hua Ooi, Principal at AQR Capital Management, for a conversation on how they use systematic tools like trend following, to take advantage of inefficiencies in markets. We discuss the pros and cons of risk premia strategies and how they manage to improve the Sharpe ratio while making sure the "dual" mandate is fulfilled, how they have moved beyond pure price trends as pa...

Today, Nick Baltas return to the show following a head scratching period for inflation and interest rates the past few weeks. We discuss the state of the environment for trend following and the best way to select a portfolio of markets to trade, the pros and cons of "trend following the trend followers". We also reflect on Katy Kaminski’s take on Crisis Alpha and discuss the evolution of trend fol...

Today, we are joined by Katy Kaminski, Chief Research Strategist at AlphaSimplex Group, for a conversation on how they approach managed futures and trend following in their programs. We discuss how they work together with their clients to find the right solution for them and why it is important to understand the true meaning of Crisis Alpha, why commodities play a crucial role in times of crises a...

Today, we are joined by Nigol Koulajian and Mike Harris from Quest Partners, for a conversation on how they use a research driven, quantitative and systematic trading approach to generate alpha. We discuss how they generate convexity and why they have chosen to focus on short-term time frames, why they believe some investors have become too focused on Sharpe and how they use trend following and cr...

Richard Brennan joins us to reflect on the learnings so far from the new CTA series. We also discuss how to set your stop loss when entering a new position and why you should not allow your trend models to go "backwards", how to fit your model to price data and why it is important to understand the signal to noise ratio in your trading to avoid overfitting. Additionally, we discuss how random entr...

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...

Today we are joined by Jacob Shapiro and Roger Hirst. Jacob is the Geopolitics Editor at financial media company Lykeion, co-author of a monthly research publication focused on the converging worlds of Geopolitics and Macro, Partner and Director of Geopolitical Analysis at Cognitive Investments, and Founder and Chief Strategist of the business and political risk consulting firm Perch Perspectives....

Today, we are joined by Mike Kastner, Principle and Co-Founder at Halyard Asset Management, for a conversation on how they use fixed income instruments to manage the cash of many CTA portfolios. We discuss how managers have evolved in terms of the way they manage cash, how Halyard Asset Management construct a portfolio from a liquidity point of view and the current state of liquidity, how they app...

Today, Mark Rzepczynski joins us at the end of another Fed driven week. We discuss the pros and cons of being a long term trend follower compared to a short term trend follower in terms of performance and Sharpe Ratio, and why you would want to apply the same rules to long and short sided trades, how to understand long and short term volatility, the advantages of being a systematic manager and the...

Today, we are joined by Marty Lueck, Co-Founder of Aspect Capital, for a conversation on their systematic investment process, with a primary focus on research. We discuss why bias is a core element of Aspect Capitals investment philosophy, the essence of trend and why trend strategies work as weill as how they work together with their investors to create the most optimal portfolio for them. We als...

Today we are joined by Rory Johnston, founder of Commodity Context, a physical commodities research firm based in Toronto, Canada. We talk about Rory’s in-depth research focused on the oil sector, as well as the current narratives impacting the price of oil right now. We discuss his deep dives into the workings of the oil industry, focused on adding a broader perspective to price assumptions and m...

Today, we are joined by Svante Bergström, Founding Partner and CEO of Lynx Asset Management, for a conversation on how they incorporate trend following in their trading strategy, through the use of a multi-strat approach. We discuss why they believe trend following will continue to work for the next hundred years and how they ensure a good balance between achieving a high Sharpe while maintaining...

Today, Andrew Beer returns to the podcast for a conversation on Trend Following & Managed Futures more broadly, where we reflect on what happened in the first month of 2023 and the outlook for rest of the year. We also discuss why many investors started to panic in the last half of 2022 and why Managed Futures is such a powerful "companion" strategy, the recent change of sentiment to stocks and bo...

Today, we are joined by Marty Bergin, President of DUNN Capital Management, for a conversation on how and why they have continued to focus on Trend Following as their core investment strategy. We discuss the challenges of improving upon trend following and if it's possible to deliver it with a high Sharpe Ratio, what differentiates DUNN Capital from other trend followers and how they use research...

Today, Perry Mehrling, Economist and internationally recognized expert on our monetary system, joins us to talk about his new book: “Money and Empire: Charles P. Kindleberger and the Dollar System”. Perry’s book is a “biography of the dollar” told through the life “Charlie” Kindleberger, an economist who helped craft the Marshall Plan and spent his life studying and writing about the best way to o...