SI82: Is Machine Learning and AI just a marketing ploy? ft. Harold de Boer

Special guest, Harold de Boer of Transtrend, joins us on the show today to discuss why the recent returns disparity among CTAs might be good for the industry, the benefits of investing in more than one Trend Following fund, if the term ‘machine learning’ should be considered as a marketing ploy, what makes a strategy robust, why unsupervised ‘black box’ strategies may be riskier than more traditional strategies, how much the markets have changed over time, some thoughts on volatility targeting, and how CTAs can differentiate themselves in the eyes of investors.

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Episode TimeStamps:

00:00 – Intro

01:18 – Macro recap from Niels

03:14 – Weekly review of performance

06:56 – Niels: What do you make of the huge returns dispersion of CTAs during the recent market crash?

14:14 – Niels: What causes managers to have similar results?

16:42 – Moritz: Is the adoption of Machine Learning & AI more than just a marketing ploy?

25:58 – Niels: How CTAs differentiate themselves from each other, in the eyes of investors?

28:57 – Niels: Why are investors usually least invested in Trend Following strategies around the time when they need it most?

30:00 – Moritz: What is the Transtrend story?

33:14 – Moritz: How do you use synthetic markets?

35:08 – Niels; Why have you decided to lower the amount of markets you trade?

38:36 – Niels; How do you avoid taking on too much counter party risk?

45:49 – Moritz: How do you approach market correlations?

49:53 – Moritz: As a liquidity provider, what happens when orders aren’t filled?

52:55 – Moritz: Do you have any concerns, as a liquidity provider?

55:43 – Niels: Who do you think market regulators need to take a look at?

59:01 – Moritz: Would you like it if markets were only open for a short amount of time per day?

01:02:26 – Moritz: Do you believe that trading commodities hurt the producers in any way?

01:12:06 – Niels: Have markets changed?

01:13:36 – Niels: How do CTAs avoid client redemptions during a crisis, purely because they’re the only liquids funds left?

01:16:25 – Niels: What do you think is important when it comes to robustness?

01:18:56 – Moritz: What’s your view on volatility targeting?

01:22:18 – Niels: What are your thoughts on the belief that Trend Following is overcrowded?

01:24:56 – Benchmark performance update

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