SI319: The Surprising Factors Behind CTA Performance: Is Less More? ft. Rob Carver

Today we share an engaging discussion with Carola Binder, who explores the intricate relationship between inflation and democracy in the United States. Binder argues that inflation has been a crucial part of economic debate since the nation’s founding, intertwined with the political landscape and the fate of democracy itself. She highlights the significant divergence in inflation expectations between Republicans and Democrats, particularly during the Biden presidency, where rising inflation expectations were predominantly driven by Republicans. The conversation delves into how historical perspectives on inflation have shifted, from concerns about devaluation and price stability to modern debates on monetary policy and the role of central banks. Binder also examines the implications of these dynamics for future inflation and the credibility of the Federal Reserve, providing insights that resonate with current economic challenges.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Kevin on SubStack &amp; read his Book.Follow Carola on LinkedIn and <a...

Together with Alan Dunne, we delve into the shifting landscape of systematic investing, highlighting the growing use of quant based strategies as well as AI and machine learning in portfolio management. The discussion also emphasizes the significant impact of concentration within the S&amp;P 500, with Goldman Sachs now predicting that this could lead to lower returns for traditional equity investments in the coming decade. We explore various economic themes, and note the challenges facing Europe compared to the optimism in the US markets. We also reflect on the recent elections and their implications for future economic policies. The conversation wraps up with insights on trend following strategies and how they can enhance portfolio diversification, particularly in a climate of rising yields and market volatility.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Alan on Twitter.Episode TimeStamps:01:05 - What has caught our attention recently?03:17 - Dark times ahead for Europe?06:26 - An analysis of the election11:46 - Niels' thoughts on the election outcome14:58 - Alan's thoughts on the election outcome18:11 - A global macro perspective28:00 - Has the election outcome any effect on the US deficits?31:39 - Industry performance update37:19 - Q1, Yann: I’m wondering if, for portfolio stability, it might make sense to replace bonds with outcome-defined or buffered ETFs. Any thoughts?37:33 - Q1, Yann: I’m wondering if, for portfolio stability, it...

Stephen Miran, Senior Strategist at Hudson Bay Capital and Fellow at the Manhattan Institute joins Alan Dunne in this episode to explore the bond market outlook and broader economic trends. They delve into an influential paper Steve co-authored with Nouriel Roubini on Activist Treasury Issuance, examining how Treasury actions may have countered some of the Fed's monetary tightening this year. Steve shares his insights on the economy's current state, his view that the Fed may have erred with its recent 50 basis point cut, and how the upcoming election could shape economic policy. While much focus has been on potential tariff impacts under a Trump administration, Steve highlights the possible benefits of supply-side measures. The conversation also covers the drivers behind the rise in bond yields since the Fed’s rate cut and the medium-term outlook for fiscal policy and bonds.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Alan on Twitter.Follow Stephen on Twitter.Episode TimeStamps: 02:25 - Introduction to Steve Miran05:53 - Why did Miran write his paper on Activist Treasury Issuance?10:24 - How Quantitative Easing and Exchange Traded Instruments work15:26 - Treasury is not a market timer17:39 - Getting lost in the Fed jargon21:06 - What is driving the increasing yields?24:38 - The refunding - Miran's expectations27:26 - The state of the labour...

In this week’s episode, Andrew Beer joins Alan Dunne to dive into the evolution of hedge funds, mutual funds, and ETFs within the managed futures space. Andrew give his perspective on the architecture of the CTA industry from the perspective of asset raising and the role that a diverse investor base plays in shaping product offerings within the sector. The conversation explores how liquid alternative investments compare with traditional hedge funds, examining what recent performance trends reveal about each. They also discuss the influence of narrative in CTA selection and analyse the resurgence of portable alpha and the growing interest in return stacking strategies, inspired by a recent Bloomberg article.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Andrew on Twitter.Follow Alan on Twitter.Episode TimeStamps: 01:13 - What has caught our attention recently?03:30 - Industry performance update04:48 - Andrew's perspective on the last few months11:11 - Insights from the Hedge Nordic Event16:49 - Picking the right managers19:57 - A Hunger Games mentality26:53 - Different products for different market segments33:31 - Are hedge funds better than mutual funds?43:20 - What we know about the performance of ETFs vs mutual funds46:33 - Will replicators become more prominent?53:49 - Tell me what you...

Jason Furman, Professor of Economics at Harvard and former Chairman of the Council of Economic Advisors under President Obama, joins Alan Dunne in this episode to share his thoughts on the current economic outlook. They explore the recent improvement in the inflation data, whether the Fed is justified in claiming victory in its inflation fight and the likely trajectory for inflation over the next year. On monetary policy, Jason expects further rate cuts from the Fed this year but is sceptical about how much additional easing we may see next year. That ‘s partially because he sees a higher neutral policy rate and partly because high fiscal deficits looks set to remain a feature of the next administration. Looking further ahead Jason offers his thoughts on the longer term growth outlook, the likelihood of an AI-led productivity boom, the pros and cons of active industrial policy and whether persistent fiscal deficits might eventually lead to a debt crisis. -----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Alan on Twitter.Follow Jason on Twitter.Episode TimeStamps: 02:10 - Introduction to Jason Furman04:28 - The state of the economy04:42 - Is inflation stickier than we thought it would be?06:01 - Is inflation stickier than we thought it would be?09:40 - The outlook for inflation12:34 - A move in the right direction?14:34 - Is the neutral rate a useful concept?17:35 -

Today, we delve into the nuances of systematic investing with Rob Carver, focusing on the concept of replication in trend-following strategies. The discussion contrasts different approaches to replication, highlighting the potential pitfalls of return-based methods that attempt to mimic established indices. We emphasize that simply increasing the number of markets in a portfolio may not lead to better diversification, as it could ultimately expose investors to similar risk factors. We also explore the implications of a recent paper from Newfound Research, which uses random data to challenge traditional views on replication effectiveness. With insights on factors influencing CTA performance and the importance of understanding true diversification, this conversation offers valuable perspectives for both investors and practitioners in the systematic trading space.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Rob on Twitter.Episode TimeStamps: 00:57 - What has caught our attention recently?05:55 - Should trend followers lower their horizon?09:26 - The AI CTA's are being tracked10:37 - An economic Kayfabe13:58 - Are interest rates approaching a Minsky moment?18:44 - Industry performance update20:33 - Q1, CryptoCaptainX3: How do you manage intraday adverse price movement risk while running a daily system?25:43 - Q1.1 CryptoCaptainX3: How to manage overnight gap risk for futures instruments which trade only 6 hours a day?26:13 - Q1.2 CryptoCaptainX3: Can...

In his first podcast episode ever, Bill Eckhardt emphasizes that successful trading hinges more on risk control than on predicting market movements, a theme that resonates throughout his conversation with Moritz Siebert and Rob Sorrentino. The episode explores Eckhardt's journey from the renowned Turtle trading experiment to his current systematic trading strategies at Eckhardt Trading Company. The conversation provides insights into the evolution of trading strategies, the importance of maintaining emotional discipline, and the necessity of adapting to changing market conditions. The discussion also delves into the challenges of overfitting in trading models and the significant role that robust statistical methods play in managing risk. With anecdotes about the unique characteristics of traders and the importance of maintaining a diversified portfolio, this episode offers a fascinating look into the mind of a trading legend and the principles that guide his enduring success.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Learn more about Eckhardt Trading Company here.Follow Moritz on Linkedin.Episode TimeStamps: 02:30 - Introduction03:59 - Eckhardt's relationship to Richard Dennis06:34 - Can trading be taught?08:50 - The story behind the trading rules12:32 - What characterises Eckhardt Trading?13:44 - How did their perception of risk change over the years?22:01 - Why

Join Katy and I as we delve into the intriguing dynamics of trend following in the context of changing interest rates. We cover how trend-following strategies can be a valuable addition to investment portfolios, especially in high-rate environments where traditional fixed income may offer diminished diversification benefits. Katy shares insights from her latest paper, which explores the performance of trend-following strategies during various economic crises, emphasizing the importance of adaptability in turbulent markets. The conversation also touches on the recent Nobel Prize buzz surrounding MIT and its implications for innovation in finance, as well as review the latest quarterly insights from Quantica. As we navigate through market trends, you are encouraged to consider how a well-allocated trend-following strategy can enhance portfolio resilience amidst ongoing economic uncertainties.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Katy on LinkedIn.Episode TimeStamps:01:06 - What has caught our attention recently?04:01 - What is going on with Danske Commodities?06:29 - Energy traders are the new star athletes07:47 - Industry performance update09:55 - How has 2024 treated us so far?13:58 - The implications of major regime transitions18:33 - What made Katy write her paper, "Trend Following in a Defensive Rotation"?24:22 - How has fixed income behaved over a long period of time?29:02 - How does trend following portfolios react to the correlation...

Alan Dunne welcomes back Louis-Vincent Gave of Gavekal in this episode to delve into the Chinese economic outlook and discuss the broader macro trends. Louis shares his thoughts on whether the Chinese economy and Chinese asset markets are truly at a turning point. They examine the crisis of confidence among Chinese consumers and assess whether recent stimulus measures can help. China’s active industrial policy and desire to grow its share of global manufacturing has been a key policy pillar and Louis examines how sustainable the policy is. The conversation also covers US policy, the prospects for a recession, and how the upcoming US election—particularly a potential Trump victory—could be highly significant for US- China relations and impact bond markets and the US dollar. Louis also gives his take on the structural challenges facing France and Europe, and whether we can expect a recovery in productivity.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Alan on Twitter.Follow Louis on Twitter.Episode TimeStamps: 02:27 - Introduction to Louis Gave03:50 - Is the Chinese economy experiencing a turning point?09:20 - Can China restore their foreign capital flow?13:40 - The state of Chinese fiscal policy19:12 - A flash point in Chinese overcapacity24:14 - A commodity catalyst - reflation incoming?28:46 - Will the U.S experience a recession soon?36:48 - A fiscal...

This episode dives deep into the intricacies of trend following strategies and their connection to complex adaptive systems. Richard Brennan and Niels Kaastrup-Larsen explore how these systems respond to market signals and the importance of boundaries in shaping investor behavior. They discuss the challenges faced by trend followers in the current market environment, particularly in October, where many strategies have encountered difficulties. The conversation touches on significant topics such as risk management, diversification, and the role of outliers in financial markets, emphasizing that these seemingly anomalous events are actually a natural part of the market's fabric. With insights drawn from recent literature, including works by John Holland and Jeffrey West, the episode highlights the necessity of adapting to evolving market signals and the dynamic interplay between agents within these complex systems.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer &amp; Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----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&nbsp;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&nbsp;[email protected] please share this episode with a like-minded friend and leave an honest Rating &amp; Review on&nbsp;iTunes&nbsp;or Spotify so more people can discover the podcast.Follow Rich on Twitter.Episode TimeStamps:00:40 - Our thoughts go to Florida03:39 - A rough time for trend following08:39 - Industry performance update12:14 - Q1, Shahar: Regarding using long only trend following as an overlay to broad market ETFs23:38 - Applying Warren Buffett's philosophy to trend following32:33 - Setting limits in your trade following strategy40:47 - What complex adaptive system can teach us about trend following01:06:22 - What is up for next week?Copyright © 2024 – CMC AG – All Rights...