TTU123: Trend Following Master Class ft. Russell Korgaonkar, CIO at Man AHL

In this first episode of the new mini series with the largest and most successful trend followers in the world, we are joined by Russell Korgaonkar, CIO at Man AHL, for a conversation on how Man AHL uses trend following in their trading strategy. We discuss the philosophy behind their work and why they believe trend following is a great strategy, as well as what makes Man AHL stand out to investors and how they make trend following more digestible while maintaining "crisis alpha". We also discuss Korgaonkar’s view on CTA replication and their process of improving their trend following system and models, why having a good execution system is important for enabling different sources of alpha and why they use dynamic position sizing to maximize their returns, how they overcome periods of drawdowns and how you price your work as a CTA, how much you should allocate to trend and much more.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Learn more about Man AHL

Episode Timestamps:

00:00 - Intro

02:22 - Introduction to Man AHL

03:45 - Their trading strategy

06:18 - Why does trend following work?

10:11 - A unique type of trend following?

15:46 - A trade-off in the objectives

19:14 - The effect of adding carry

21:13 - Picking from the strategy menu?

22:46 - Too much focus on Sharpe?

24:33 - Replication - yay or nay?

29:54 - Have the models become outdated?

35:55 - The importance of execution

39:06 - Dynamic vs static position sizing

44:24 - Overcoming drawdowns

48:42 - Discussion on capacity and fees

52:18 - How to think about expected returns

57:09 - Can you trend follow trend following?

58:50 - Managing the cash

01:00:21 - Disagreements in trend following

01:02:03 - Questions to ask as an allocator

01:03:49 - Expectations for 2023

01:05:51 - Thanks for listening

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