Top Traders Unplugged

Today, we are joined by Nick Baltas for conversation, where we dive deep into the use of volatility scaling and accelerators in trend following systems. Additionally, we discuss various research papers that address whether trend following CTAs are truly long vol, what the negative impact of trend breaks are, whether you can predict future trend following performance by analyzing previous trend fol...

AI is stealing the headlines with what seems like wave after wave of breakthroughs, but running parallel to this are equally rapid advancements in quantum physics and our understanding of reality. Listen in on this complex yet nuanced conversation with Klee Irwin, Founder of Quantum Gravity Research as he shares his views on physics, AI, and the accelerating course humanity finds itself on, and ho...

How do you avoid overfitting, how loose is too loose in terms of loose pants and how should you approach sample sizes when designing your trading systems? What are complex adaptive systems, how do they apply to financial markets and why does regular math just not cut it? How does trend following differ from other strategies, what makes trend following so robust and what are the limitations for tra...

David Kelly, Chief Global Strategist at J.P. Morgan joins Alan Dunne in this episode for a big picture perspective on the outlook for the global economy and the implications for asset allocation. We discuss why David is upbeat on the outlook for the US economy with a key part of his optimism resting on the fact that no individual sectors appears stretched or out of balance, which is normally the c...

Today, we are joined by Andrew Beer, who helps us uncover why managed futures have been struggling in 2023 and and what makes this year so different from 2022. We discuss the history of replication strategies all the way back to its origins and the intricacies of Andrew’s own replication strategy, and how disruptions have change the asset management industry and if the replicators are now facing t...

Anant Jatia, the founder and CEO of Greenland Investment Management, joins Moritz Seibert for a commodities-focused conversation. In this episode, Anant explains how Greenland developed from currency market making to what today is predominantly an HFT-driven commodities arbitrage fund. Anant has a detailed understanding of the workings of physical commodity markets and focuses Greenland’s trades o...

Today, Mark Rzepczynski and I dissect the macro rally we are experiencing at the moment. We discuss why we are seeing an increasing attention to what CTAs are doing, how survey data regarding the economy confuses investors and markets, and we address some of the most common questions that investors ask in meetings at the moment. Additionally, we discuss how explanatory depth can be applied to tren...

Dario Perkins joins Alan Dunne in this episode for an insightful and thought-provoking discussion on the global economic outlook. Dario outlines how many economists and strategists misdiagnosed the global economy coming into 2023 by assuming it was in a typical business cycle which was not the case. The conversation delves into the subtle structural shifts which are underway in the global economy...

Today, we are joined by Alan Dunne for a wide ranging conversation, covering pressing global macro issues, the latest trend following research, JP Morgan's outlook for the 60/40 portfolio, following a week dominated by the release of the CPI numbers. We discuss how and why Ray Dalio believes the hot war between the US and China is changing and why the US is seeing an unusually low savings rate at...

Maia Mathieson and Faheem Osman, both Managing Directors at Macquarie Bank in London speak with Moritz Seibert about the bank’s growing Quantitative Investment Strategies (QIS) business and how their rules-based indices can help investors to efficiently access various risk premium strategies across asset classes. Maia and Faheem explain the key return drivers behind their commodity-focused strateg...

Today’s conversation with Katy Kaminiski is all about change. We discuss what has been the driver of the changing economic environment that we experience and how changing interest rates affect trend followers, why Katy believes we need a repricing in long term yields and how the yield curve is a key factor in trend followers profitability. Katy also explains her outlook for the markets, how you bu...

Ed Yardeni, President and Chief Investment Strategist at Yardeni Research joins us today to discuss the re-emergence of the bond vigilantes, a term Ed coined four decades ago. We discuss why bond investors are pushing up long-term bond yields and what are the prospects are for a debt crisis in the US. Ed outlines his view that we may see “rolling recessions” rather than a sharp economic downturn b...

Cem Karsan returns to help us uncover the art of tail hedging and whether he views the January 2024 OpEx as a possible inflection point and start of a new bear market. We discuss the latest events in the macro space, especially regarding the conflict in the Middle East, and how it impacts markets, why Niels believes we are probably heading towards a world where investors are completely wrongly pos...

You are invited to an eye-opening conversation with Mauritz van den Worm, a quant researcher at Polarstar, a commodities-focused hedge fund in Cape Town, South Africa, hosted by Moritz Seibert. In this inaugural episode of the Open Interest series, Mauritz takes us on a journey through the fascinating world of commodity spreads. We explore not only calendar spreads but also delve into cross-marke...

In today’s episode, Richard Brennan takes us on a tour around the Australian economy and how the investment landscape is changing. We also discuss how different investment philosophies demand different interpretations and why the “one size fits all” approach does not exist, how cross-sectional momentum differs from absolute momentum. Lastly, we discuss why Richard uses an ensemble of trend followi...

Today we are joined by Matt Smith, Investment Director at Ruffer for a fascinating discussion on global markets, asset allocation and how history can guide us in the current global macro landscape. Matt explains why Ruffer is defensively positioned at the moment, why he is sceptical of the AI rally in stocks in recent months and where is he sees opportunity in markets at the moment. We discuss the...

Rob Carver is back this week speaking with Alan Dunne about constructing and assessing trend following and non-trend following trading strategies. We delve into mean reversion strategies and over what time frames they might be effective and what are the pitfalls in trying to combine trend following with mean reversion. We also discuss the theory and reality of the benefits of faster trend followin...

There is no secret more carefully guarded than that of how to make atomic weapons. Nuclear technology can power us with clean energy or destroy all of human civilization. It has been alleged for decades that there is a correlation between UAP encounters and nukes, a suggestion that seems intuitive because if an advanced civilization was monitoring us, any breakthroughs in nuclear physics would cer...

Nick Baltas is back this week to talk about the use of non-trend strategies in diversified managed futures portfolios. What is the rationale for the existence of a carry risk premia? How durable are the returns? What are some of the key thing things to keep in mind implementing a carry strategy? These are some of the questions we discuss as we deep dive into the use of carry alongside trend follow...

Troy Gayeski, Chief Market Strategist for FS Investments, joins us today to discuss asset allocation and investment opportunities in today’s higher yield environment. We discuss how higher interests rates are impacting the risk and reward across capital markets and why higher interest rates mean equity valuations may be stretched at the current juncture. We discuss how asset allocation has ev...

Andrew Beer joins us to discuss a recent research report from Morningstar (called Market Wizards Wave Their Wands but Investors Miss the Magic) which highlights the challenges investors have in timing managed futures allocations. We get Andrew’s perspective on the evolution of the managed futures industry, particularly the evolving ETF and UCITS markets and discuss whether the CTA industry is on t...

Goldman Sachs Head of Asset Allocation Research, Christian Mueller-Glissmann shares his current investment framework with Cem Karsan and I today. It's an important conversation as it touches on so many of the most important questions that investors, individual as well as institutional, are faced with right now. How we as investors should allocate our capital taking into account the ever changing G...

Q3 is behind us, and we take stock of how is the trend following industry holding up? Is passthrough fees becoming a problem for investors in the multi-strategy space? Do we still have a bubble economy? Have we lost our imagination of what can happen in the economy? And why is it important to understand psychology when building models? Join us for this fascinating conversation with Mark Rzepczynsk...

Join us for a thought-provoking conversation with Professor Helen Thompson of Cambridge University, author of Disorder: Hard Times in the 21st Century, as we take a big picture perspective on the current global macro landscape. A key focus of Helen’s work is the role of energy markets in understanding global macro developments and we delve into Europe’s energy dependence on Russia. We hear about t...

Tune in for this week’s trend following conversation with Alan Dunne, where we discuss Barry Eichengreen’s paper on living with high public debt and how the high level of debt can be addressed, the relationship between interest rates and GDP, how Forex trading have evolved over time and why it is having a renaissance at the moment. We also discuss return expectations in markets and diversified str...