SI359: Trend Following in a World That Loves Bubbles ft. Mark Rzepczynski

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 strategies, for example curve carry and congestion, and explain why they believe these to be structurally sustainable. We also discuss their client base and how the Macquarie QIS team focuses on designing robust indices that are not curve-fit to historical data. -----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Moritz on Twitter.Follow Maia on LinkedInFollow Faheem on LinkedIn.Episode TimeStamps: 02:22 - Introduction to Maia & Faheem08:48 - What are the most popular return drivers?11:35 - What is driving carry trading?15:10 - When does carry trading stop working?17:23 - Combing strategies for more diversification20:26 - Why does the volatility carry factor exist in the commodity space?22:52 - How do they have an advantage over their competitors?24:40 - What is their core client...

15 Marras 202356min

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 build portfolios in the current economic environment and much more.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Katy on LinkedIn.Episode TimeStamps:02:22 - What has been on Katy's radar recently?04:24 - A precursor for the conversation05:21 - Industry performance update07:19 - Katy's trend following perspective11:40 - Discussing Katy's paper, "The Short of Shorting Bonds"16:06 - The results of the paper21:12 - Why the shape of the yield curve makes a difference24:52 - Why trend followers make more money when the yield curve is inverted26:59 - Does higher rates always mean you have to be short bonds?33:15 - Do you earn interest on the money that are put up for margin?35:12 - Where are we in the markets right now?37:26 - The forecasting behaviour is difficult to change42:52 - Different people, different perspectives46:39 - Doing what happens next48:12 - Best...

12 Marras 202356min

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 but that he has recently increased his probability of a hard landing. We examine the parallels between the current cycle and the past, particularly the 1990s and discuss whether the recent improvement can be sustained over the medium term and what it means for equity markets. -----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Alan on Twitter.Follow Edward on LinkedIn.Episode TimeStamps: 02:22 - Introduction to Ed Yardini07:07 - Why has the economics profession got it wrong again?11:06 - What should we feel the maximum impact of the tightening?14:43 - Why are we seeing a change in bond yields?19:18 - Are we spiralling into a crisis?25:19 - The outlook for the debt crisis29:08 - Will AI save us?32:22 - Analysing productivity and growth36:05 - Learning from history - what is different this...

8 Marras 202356min

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 positioned and why it is important to think differently when it comes to asset allocation. Lastly, Cem explains how the incoming holiday season acts as a volatility compression mechanism, what he took away from the recent CBOE RMC Conference and much more.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Cem on Twitter.Episode TimeStamps: 01:08 - What has been on Cem's radar recently?03:15 - Industry performance update05:25 - Q1, Tim: What systematic strategies would Cem suggest for hedging risk from a risk premia strategy with a trend following bias?12:20 - Q2, Rick: Does Cem view the Jan 2024 OpEx as a possible inflection point (to the downside)?15:52 - What is new in the macro space?23:16 - Is the MOVE index behaving as it should?27:43 - Is Japan a joker when it comes to interest rates?32:17 - Hidden dangers?36:12 - Wars - a driver of spending, deficits and inflation40:28 - What current Flows are telling us45:48 - Cem's takeaways from the CBOE RMC Conference01:02:33 - Thanks for listeningCopyright ©...

4 Marras 20231h 4min

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-market substitution spreads, location arbitrage trades, and processing margin spreads.Discover how PolarStar navigates the intricate South African commodity markets and the critical role they play in their portfolio. Additionally, Mauritz shares an intriguing firsthand account of PolarStar's position in the US versus European grain spreads at the onset of Russia's invasion of Ukraine. Learn how a simultaneous limit-up in the US and limit-down in Europe led to what Mauritz humorously refers to as "a few gray hairs." This is a must-listen for anyone intrigued by the complexities and strategies behind commodity trading.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Moritz on Twitter.Follow Mauritz on Twitter.Episode TimeStamps: 02:09 - Introduction to the new series03:28 - Introduction to Mauritz van den Worm and PolarStar Management09:53 - A deep dive into the South African market16:26 - What kind of trader is Polar Star Management?19:55 - Entering and exiting trades23:37 - How PolarStar Management establishes...

1 Marras 20231h

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 following systems and why he always strives for maximum diversification, and why I feel we should not introduce divisiveness in the trend following industry and much more.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Rich on Twitter.Episode TimeStamps:01:04 - What is happening in Australia at the moment?07:53 - The investment landscape is changing09:57 - Best UCITS Managed Futures Fund revealed13:17 - Industry performance update16:25 - Why does OJ keep rising?19:54 - There is no "one size fits all" approaches26:44 - How does cross-sectional momentum work?31:12 - The importance of correlation40:26 - Nuancing "treating all markets equally"48:00 - The use of continuous signals53:03 - How does absolute momentum works?59:13 - Discussing sample size01:01:30 - The principle of no selection bias01:04:16 - Why Rich uses traditional risk measures01:06:56 - Letting profits run to their conclusion01:08:03 - Single...

28 Loka 20231h 26min

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 secular outlook for inflation and why Matt believes we sill see greater volatility and a trend higher in inflation over time and what that means for asset allocation. We also delve into the parallels between the current investing and global macro environment versus the past particularly the period between 1940 and 1970 and hear about some of the key books that have influenced Matt as an investor.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Alan on Twitter.Follow Matt on LinkedIn.Episode TimeStamps: 02:54 - Introduction to Matt Smith07:51 - The resilience of the economy11:50 - Matt's portfolio construction process16:23 - Skepticism about the goldilocks21:57 - The outlook for inflation30:56 - The risk and fear of structural inflation40:27 - What we can learn from history46:19 - The process of finding insights from history51:09 - Matt's perspective on financial repression54:57 - Advice for...

25 Loka 202359min

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 following, Rob’s experience of this and his approach avoiding over-fitting when constructing trading strategies. We wrap up with some thoughts on AHL’s Trend ETF and how a strategy trading 20 markets might perform versus a more diversified program. -----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Rob on Twitter.Follow Alan on LinkedIn.Episode TimeStamps: 02:00 - Update on recent events?09:13 - Industry performance update09:38 - Why is it going so well for Rob?12:15 - The ongoing debate on term premia17:40 - Returns in bonds versus equities21:13 - Q1, Andrej: What's your take on systematic strategies complimenting trend?35:22 - Q2, Harry: Can you speak about the lure of high frequency strategies for traders with modest capital?40:46 - The challenges of fast trend following42:15 - Trading with different account sizes45:07 - Q3, Ravi: Techniques to prevent overfitting of a strategy51:45 - Using...

21 Loka 20231h 2min