Si297: Trend Following as a Return Enhancement Overlay ft. Alan Dunne

Together with Richard Brennan, we discuss the optimal way of doing trend following and how to find the optimal set of rules to use in different market regimes, how to examine market states through Markov models and how artificial intelligence will impact trend following and make short-term trading incredibly competitive. Lastly, we ask ChatGPT what the optimal way of doing trend following is.-----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:01:04 - What has been on our radar recently?04:03 - Industry performance update07:50 - Q1, Dennis: Given the nature of lengthy hold periods, do you recommend trading cash CFD's accounting for the overnight costs?11:40 - Q2, Ramki: Using ATR for position sizing when backtesting a trend following system14:47 - Optimal rules to use in different kinds of market regimes18:46 - How to use Markov models and mathematical algorithms to optimize trend following strategies41:17 - Is trend following threatened by AI?51:39 - "ChatGPT, what is the optimal way of doing trend following?"Copyright © 2024 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. <a...

In this episode, we speak with Charles Duhigg, a renowned author and writer for The New Yorker, who won the 2013 Pulitzer Prize for exploratory journalism. His book, "The Power of Habit," spent three years on the New York Times bestseller list. Charles joins us to discuss his new book, "Supercommunicators: How to Unlock the Secret Language of Connection." Our conversation centers around the importance of effective communication in personal and professional relationships, including in the investment industry. Charles explains how to become a "supercommunicator" and outlines the four rules for meaningful conversations. He highlights the types of questions top communicators ask and what we can say or do to make our conversations more meaningful and productive. Finally, we explore the unique rules of communication in the digital age and the distinction between communication and manipulation.-----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 Charles on LinkedIn and read his book.Episode TimeStamps: 02:05 - Introduction to Charles Duhigg06:30 - Every conversation is a negotiation09:21 - It takes two to tango?11:09 - The importance of listening13:42 - The...

Today, we are joined by Andrew Beer where we discuss the outlook for inflation and why Andrew believes there is an existential crisis in macro economic modelling. We then touch on the question "if trend followers might be the only true short sellers left" as well as how to deal with the lag effect when using replication models. We round off our conversation discussing why Andrew believes we should all “share the trend following pie” and why the managed futures space is stalling when it comes to AuM, why he believes that money is “packed anxiety” for most people, why the ETF space needs an injection of positivity and much more.-----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.Episode TimeStamps: 00:44 - What has caught our attention recently?03:04 - Is what we thought was "normal" Real Yields actually not normal?09:30 - Are the trend followers the only true short sellers left?19:09 - How do CTAs react to the lower prices?21:35 - Industry performance update23:00 - Q1, Joe: How do you deal with the lag effect in replication models?32:36 - Let's share the trend following pie40:38 - The disadvantages of the institutional world43:56 - Why is the managed futures space not growing?49:49 - A crazy story from Andrew56:26 - Are low-cost offers killing the industry?01:02:39 - The ETF costs dont add up?Copyright © 2024 – CMC AG – All Rights Reserved----PLUS: Whenever...

Today, Cem and I welcome Bob Elliott, the founder of Unlimited Funds and former right-hand man to Ray Dalio at Bridgewater. Bob shares what he learned from his decade at Bridgewater and discusses the unique income-led economic expansion currently happening in the US, contrasting it with typical credit-driven expansions. He also explains why most investors are wrongly positioned in today's macro landscape and how they can create a balanced and diversified portfolio. Bob emphasizes the importance of optimizing portfolio allocation to protect against market volatility and unpredictability, and he discusses how to gain access to alternative investments, along with the challenges these assets present. Finally, Cem provides an update on his outlook for 2024.-----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 Cem on Twitter.Follow Bob on Twitter.Episode TimeStamps: 01:42 - What Bob learnt from working close to Ray Dalio?04:24 - The secret to Bridgewaters success07:17 - Elliott's perspective on the current global macro framework10:46 - The outlook for interest rates15:31 - Is inflation here to stay?20:48 - The outlook for asset allocation25:48 - The role of demographics30:04 - A collective memory32:53 - Advice for achieving a balanced and diversified portfolio36:37 - Elliott's approach to diversification42:22 - How to get access to...

Together with Katy Kaminski, we dive deep into the ETF space to better understand how you can utilize a new wave of ETFs as an investor. Katy describes the transition many Trend Following managers have gone through to get into the ETF space and how you can integrate the Trend Following ETFs in your own portfolio. We discuss if or how due diligence in the ETF space may be different from traditional due diligence and the different paths into the ETF space managers have chosen. We also discuss fee considerations when building ETF models and how to choose the right replicator, and if we are likely to have too many firms replicating the same few CTA indices. We end our conversation with some thoughts on how AI will impact the trend following industry and much more.-----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:01:07 - What has been on our radar recently?02:56 - Industry performance update07:41 - Our thoughts on CTA offerings in the ETF space13:40 - Is giving people more liquidity a good thing?17:32 - Why include ETFs in your portfolio?21:43 - Use cases for ETFs25:00 - How does the due diligence process work in the ETF space?28:58 - Are we becoming a Relative Return industry?32:01 - Is the increasing trader anonymity a problem?34:33 - The different paths into the ETF space40:57 - How ETFs compare to classic managed futures products43:30 - Should you...

Join Alan Dunne in conversation with Gary Gerstle, Professor of American History at the University of Cambridge and author of "The Rise and Fall of The Neoliberal Order", as they delve into the shifting landscape of the global political order. From the decline of the New Deal Order to the ramifications of the Global Financial Crisis, Gary traces the trajectory of the Neoliberal Order and its impact on contemporary society. Exploring the nuances of Bidenomics, they analyse the sustainability of current fiscal and industrial policies amidst rising inequality and geopolitical tensions. Gary shares insights on the potential rise of authoritarianism worldwide, the implications of protectionism, and the prospect of increased antitrust activism in the US. Finally, they turn their attention to the upcoming US presidential elections, examining the contenders and the pivotal factors that could shape the outcome.-----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 XFollow Gary on XEpisode TimeStamps: 02:26 - Introduction to Garry Gerstle05:50 - Understanding political order and neoliberalism12:04 - How important are the economic principles in dismantling the neoliberal order?20:06 - What will drive the new political order?29:01 - How the West's approach to China has changed36:19 - Do banks have too much power?43:34 - Is the U.S deficit a constraint going forward?47:24 - The 4 freedoms of...

In today’s episode, Alan Dunne helps us uncover the latest news and data within the global macro landscape. We also discuss the state of the quant macro space, how it compares to trend following and what allocators should consider when comparing the two. Then we break down how family offices are looking to allocate assets at the moment before we turn our attention to a potential new narrative within the trend following world - namely, how trend following can be used as an return enhancement overlay, instead of "crisis alpha". We also dive deep into fees and returns in the multi-strategy space and much more.-----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:01:01 - What has been on our radar recently?06:58 - Is OpenAI falling apart?09:19 - U.K. and European Parliament elections - should investors care?11:52 - What is neoliberalism?12:54 - Unpacking the current global macro landscape19:07 - Are central banks defeating their own purpose?22:42 - Industry performance update25:39 - What is going on with quant macro?32:00 - Trend follower or quant macro fund - what is hardest to analyze?34:39 - How are family offices looking to allocate assets currently?37:43 - Any allocation to whiskey?39:31 - Trend following: Return Enhancement Overlay or Crisis Alpha?47:13 - Advice for using trend following as an enhancement overlay49:46 -...

In this episode we speak to Koen De Leus and Philippe Gijsels. Koen is Chief Economist at BNP Paribas Fortis and Philippe is Chief Strategist. They are co-authors of The New World Economy in 5 Trends: Investing in Times of Superinflation, Hyperinnovation and Climate Transition. We talk about how technologies like AI, 3D printing will drive economic growth and why they are likely to create more jobs than they destroy. Another important trend from a market perspective is the potential for a doubling of the gold price and possibility of a new ‘super cycle’ for industrial metals. -----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 Koen on LinkedIn and read his book.Follow Philippe on LinkedIn and read his book.Episode TimeStamps: 02:16 - Introduction to Koen De Leus and Philippe Gijsels06:22 - Why haven't we seen higher productivity?12:11 - What is the...

Mark Rzepczynski is back to discuss the latest investor sentiment survey from Societe Generale’s Capital Consulting team, to find out what strategies investors are losing interest in and which are seeing more demand right now. We also dig into how the performance of economies greatly depends on the type of government policies and how going from multilateralism to bilateralism impacts trend following, the complexity of being a systematic manager and the phalacy of consensus. Mark also explains why we need to look beyond price and consider the drivers of price, what the VUCA framework is and how/why to use it, whether trend following is becoming too complicated and much more.-----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 Mark on Twitter.Episode TimeStamps:00:39 - What has been on our radar recently?06:59 - Which Alternative Strategies do Investors Want...latest survey?12:17 - Discussing the data18:30 - Industry performance update21:26 - Is the rise of the Chinese stock market legit?25:08 - From multilateralism to bilateralism29:42 - The difference between the ideal vs. reality manager36:31 - The fallacy of consensus40:23 - Using economic data as a trend follower43:14 - Is price truth?47:38 - VUCA - what, why and how?54:50 - Applying VUCA to trend following57:46 - Is trend following becoming too complicated?Copyright © 2024 – CMC AG – All Rights...

Richard Urwin, Chair of the Investment Committee at Saranac Partners, the $6bn UK wealth manager, joins Alan Dunne in this episode to discuss how he is approaching asset allocation at the current juncture. They discuss how long term valuations and asset class return forecast help inform Saranac’s strategic asset allocation and delve into some of the structural forces that may influence the economic outlook and asset class returns in the coming decade. While shifting demographics, climate change, high deficits and rising debt levels all have the potential to contribute to higher inflation and higher bond yields, Richard is cautious about being too pessimistic about the outlook and sees good opportunity in credit and alternative assets and strategies. They also discuss how Saranac think about selecting and sizing hedge funds in their portfolios and how this has changed in a higher interest rate environment.-----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 Richard on LinkedInEpisode TimeStamps: 02:45 - Introduction to Richard Urwin06:31 - A noticeable shift?08:49 - What is Saranac's investment philosophy?13:06 - Dealing with structural shifts as an asset allocator18:07 - How confident are they in forecasts?24:24 - Balancing competing forces30:08 - How Saranac builds balanced portfolios33:55 - Do they consider supply shocks in...