SI89: Trend Following EFTs and Asness vs Taleb ft. Rufus Rankin

We’re joined by special guest, Rufus Rankin of Ampersand Investment Management, to discuss Trend Following ETFs, the definition of a truly diversified portfolio, flat-fees versus performance-based fees, how to choose between different managers, learning from Q1 2020, predicting CTA returns, and the recent public spat between Cliff Asness & Nassim Taleb. Questions we answer include: Are Trend Following CTAs seeing an increase in client interest after this year’s stock market crash? What non-USA or Europe markets are CTAs currently interested in?

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Episode TimeStamps:

00:00 – Intro

01:26 – Macro recap from Niels

04:06 – Weekly review of performance

07:20 – Niels: How what was your journey into this industry?

08:57 – Niels: How did you end up allocating capital to CTAs?

10:05 – Niels: Do you view Trend Following as a philosophy?

12:50 – Niels: What are your thoughts about truly diversified portfolios?

17:28 – Moritz; If we can’t forecast CTA returns, do you think we should allocate capital to as many CTAs as possible?

20:02 – Niels: What percent of a whole portfolio would you recommend to Trend Following, and what would investors be comfortable with?

19:02 – Moritz; Do you only allocate to Trend Following CTAs?

22:41 – Moritz; Do you consider yourselves to be a ‘fund of funds’?

23:11 – Moritz; How do you handle client pressure surrounding double-layering of fees?

24:17 – Niels: Who do you think drives the demand for flat-fees, rather than performance-based fees?

26:03 – Niels: What do you think of cheap Trend Following replication products versus full-cost, long-established, Trend Following funds?

30:16 – Moritz: Do you still think CTAs are worth their performance fees?

32:30 – Niels: How do you choose between different managers?

35:19 – Moritz: When do you stop adding CTAs to your portfolio, for diversification?

37:15 – Moritz: How do you gain exposure to your chosen CTAs?

38:44 – Niels: How has 2020 been for you so far?

40:09 – Niels: What are some of the things you learned from Q1 2020?

42:52 – Moritz: How has machine learning added value during Q1 2020?

44:41 – Question 1; Michael: Have you ever considered creating a Trend Following ETF?

48:49 – Niels: Would Trend Following ETFs be required to disclose the rules of the strategies?

44:41 – Questions 2&3; Brian: Are Trend Following CTAs seeing an increase in investor interest, post the 2020 market crash? What non-USA or EU markets are CTAs currently interested in?

53:31 – Benchmark performance update

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