TTU140: Why Trend Following is Smart Diversification ft. Bruno Gmür, Founder of Quantica

Get ready for an engaging conversation with Bruno Gmür, the Founder and CIO of Quantica Capital, as we explore their unique approach to systematic diversified trend following. Join us as we dive into the world of relative trend following and why volatility isn't always the right measure of risk. Bruno shares his insights on the challenges of estimating covariance matrices and expected returns during times of crisis, and how to create robust models to mitigate risk and prepare for market shocks. We'll also discuss why Quantica Capital no longer uses the term "crisis alpha" to promote their strategy and why trend following is much more complex than it may seem. Don't miss our discussion on the relationship between market liquidity and volatility as well as many more topics in this wide-ranging conversation.

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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 Quantica Capital.

Episode Timestamps:

02:46 - Introduction to Quantica Capital

05:04 - Their investment philosophy

12:31 - What makes them unique?

17:09 - Reacting to trends

19:43 - Why not do it the easy way?

23:33 - Looking Sharpe

30:34 - When Correlations go to "1"

35:12 - Dealing with shocks

39:02 - The measurement methodologies

43:14 - The role of correlation

46:38 - Good research and potential pitfalls

53:09 - Important discoveries

55:26 - Making adjustments in a larger portfolio

59:11 - The time scale perspective

01:05:07 - The pros and cons of CTA replication

01:10:42 - Setting return expectations

01:14:14 - Trend following disagreements

01:15:45 - Expectations for 2023

01:19:22 - Thanks for listening

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