TTU15: Model Decay & How Best to Handle It ft. Karsten Schroeder of Amplitude Capital – 1of2

Welcome to Part 2 of our conversation with researcher and co-author of one of the definitive books on trend following. In this conversation, we dive into the the models that she used in writing the book, as well as her thoughts regarding risk management, what you should be asking a manager during due diligence, and what the future holds for the managed futures industry.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:What Kathryn looks at when evaluating the track records of managers.Her thoughts on the recent performance of trend followers.About price range compression.If she has a favorite statistic to look at when analyzing a manager.How she and her co-author came up with the trading strategy that they use in their book.Why the exit from a position is just as important as the entrance.What trend leakage is.Her views on how inflation and other environmental changes affects trend following strategies.About diversification.About risk management; how Kathryn defines risk and what is important to look at in risk management.Kathryn explains the topics of hidden and unhidden risk.What kind of drawdowns should be expected from a trend following model.A discussion of the drawdowns that trend followers have experience in the last few years.Seeing drawdowns as a buying opportunity.How to detect if a manager’s models and system has stopped working.The biggest challenge for the CTA industry right now.What she would ask of David Harding.What questions investors should be asking of managers when doing their due diligence.What personalities traits a good trend following manager should have.Her thoughts on regulation, especially for smaller managers.What her plans are for the future and how she sees the managed futures industry going forward.-----Resources & Links Mentioned in this Episode:Kathryn’s book is: Trend Following with Managed Futures.Is this Time Different? Trend Following and Financial Crisis.Following the TrendOutlierDavid and GoliathLean InKathryn’s TED talk on Convergence and Divergence.Follow Niels on Twitter, LinkedIn, YouTube or via the <a href="https://www.toptradersunplugged.com/" rel="noopener noreferrer"...

6 Nov 20141h 5min

Our next guest is different than any guest we’ve had before, as she is not a fund manager but has spent much of her life’s work researching and writing about the topic of trend following. She is a true thought leader in the managed futures industry and you’ll learn a lot from the animated discussion we have regarding the history of trend following and how she co-authored her latest book on the subject.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:About Kathryn’s upbringing in Nashville, Tennessee.About her time at MIT where she went for electrical engineering.How her internship at a bank in France got her on the path to work in the financial industry.About her teaching financial engineering with Andrew Lo.Through her teaching and research, she became interested in technical analysis and trend following.How Kathryn went to the Stockholm School of Economics.When she left academia and joined RPM in Sweden.How she met Alex Greyserman and how she came to write a book with him.The history of trend following as she lays it out in her book.How trend following at its core is quite simple.What Kathryn likes to do outside of work.Her work life balance and her life in Sweden.Her view on the building blocks of trend following.Her quest for acceptance of trend following in the academic community.Where the term Crisis Alpha came from and what it is.About Convergent and Divergent strategies.About the Adaptive Market Hypothesis that she writes about in the book.What the CTA Smile is and what it really means.What she would look for when building or critiquing a research team.-----Resources & Links Mentioned in this Episode:Kathryn’s book is: Trend Following with Managed Futures.Learn more about Andrew Lo and MIT.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 <a...

3 Nov 20141h 8min

Welcome to Part 2 of our conversation with Managed Futures expert and President Mike Harris of Campbell & Company. In this episode we delve into the specifics of Campbell & Company’s trading programs, how models are added or removed, and the importance of risk management. This episode also explores the managed futures industry as a whole and is a must-hear for anyone looking to gain knowledge about this strategy.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:About Campbell & Company’s trading program.How they create a trading strategy.Why they use a hypothesis driven system to add new models to their programs.About the peer review process they use before adding or subtracting models.When do you remove a model? How do you know when it isn’t working anymore?About position sizing and why its important.How they look at risk through something called Vertical Risk and Horizontal risk.Campbell’s systematic approach to risk management.How he deals with drawdowns.Why he worries about systemic risk and natural disasters.Why Mike thinks redundancies are so important.The risk of regulation.How these strategies tend to perform when interest rates go up.The trend of the managed futures industry and why it has been dominated by European firms in the past 10 years.What people need to become a successful manager: humility is “at the top of the list.”Books that Mike recommends.What he would do differently if he could talk to his younger self.The importance of managing work and life balance.What the future looks like for Campbell & Company.-----Resources & Links Mentioned in this Episode:Learn more about Baltimore and Johns Hopkins University.Hedge Fund Market Wizards by Jack SchwagerTechnical Analysis of the Futures Markets by John MurphyTrend Following with Managed FuturesFollow 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” <a...

30 Okt 20141h 9min

This episode goes in-depth into the history of one of the most well-known managed futures firms in the world, Campbell & Company. We explore the beginnings of the company, how they have dealt with challenges a long the way and how they have succeeded to overcome them, as well as the current state of the company and the systematic models their products are built on. Our guest is current President of the company, Mike Harris, and you’ll hear about how he entered the industry as well as his path to becoming Campbell’s President.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:How Mike explains what he does.How his grandfather gave him money to invest in his first stock as a child.How his interest in the financial markets started young and how he structured his whole education around working in this industry.About his first job out of college.About his time as a Futures Broker.How he joined Campbell & Company in 2000, starting at the European Trading desk.How he came to be President.The story of how Keith Campbell started the firm in 1972.The history of Campbell & Company.How they dealt with drawdowns in 1994 and ’95.Why Mike has always been an avid reader.How Campbell’s 2nd President, Bruce Cleland ran the business for 20 years and how I met him back in 1993.What the company’s product offering looks like today.How the company’s 130+ employees are organised.How they outsource things on the technology side of the business.What he looks for when adding staff to his research team.How Mike builds a strong company culture.How investors should make sense of the track record of Campbell & Co since they have such a long history.Changes they have made to the trading models after 2007 and 2008.The ways the company uses long term, medium term, and shorter term systems.Where the company wants to grow and how big it wants to get.-----Resources & Links Mentioned in this Episode:Learn about a Carry Trades.Learn more about short-term mean reversion.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 <a...

27 Okt 20141h 9min

In the second part of our conversation with AHL founder and Aspect Capital Director, we dive into the details of his firm’s strategies and models. We explore how the models evolve, how he deals with risk management, and his advice for would-be fund managers. Investors and managers alike will gain deep knowledge from this episode.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:How their model changes are very small and gradual.What the Diversified Program of Aspect looks like today.How Martin weights the portfolio between financial markets and commodity markets.How his model allows them to grow the company.About foreign exchange markets and liquidity.The 2008 crisis and how it affected their models.The real secret behind trend following and how it works.How they are making the transition to a “box-to-box” execution approach.How Martin defines risk and risk management.About model risk.How their risk team operates.Why correlations are a crucial to look at.How drawdowns are different than open-ended risk and how to explain that to investors.Why succession planning is not an issue for the company right now.What his biggest challenge is.The evolution that is going on in the managed futures industry in general.How small firms are struggling but may see opportunities in the future.What Martin would ask David Harding if he were interviewing him.What investors forget or don’t know to ask.Martin’s advice for managers or would-be managers.A vacation the Martin took his family on, that turned traumatic for a moment and that British Airways learned a lot from.-----Resources & Links Mentioned in this Episode:Martin suggests books by Antti Ilmanen.Learn more about David Harding and Winton Capital Management.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 <a...

9 Okt 20141h 8min

In this episode, we get an exciting behind-the-scenes story of one of the most famous systematic trading firms of its time, AHL. Our guest is one of the firms founders and takes us from the company’s birth to its acquisition by Man Group. We also discuss how he started his next company, Aspect Capital, how he creates his trading models, and how to build and run a successful multi-billion trend-following firm. This episode is full of insights and stories that you won’t hear elsewhere.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:About Quantitative Investment research.About Martin’s background in physics.Martin’s time at his first company, AHL and how it had a profound effect on the whole managed futures industry.How Martin met his future AHL co-founders at university.Why AHL was a happy accident.How he met his friend Michael Adam and went to work for his dad after studying in Oxford.Martin started working for Michael’s dad as well, investigate many trading models and distilling them into key concepts.In 1987 they founded AHL with David Harding after leaving Michael’s father’s business.They started with $100k of investor money that bridged their split from the family business.About MINT, a pioneering systematic CTA in the early 80s.How they tried to articulate their trading patterns in the form of a computer trading model.What the initial AHL model looked like back then.How they over optimized in the beginning and had to learn things as they went along.How AHL got involved with Man Group.The skills that each of the 3 Founders brought to the table.In 1989 Man Group took a stake in AHL.How the Man buy changed their business.What happened after Man’s IPO.How Michael, David, and Martin went their own ways after they left AHL.How Martin started Aspect Capital with Anthony Todd, Eugine Lambert and Michael Adam.Why he parted ways with his other AHL founders initially and did not start AHL 2.0.What he does when he is not working.Aspect was founded on bringing managed futures to the institutional side of things.What it looks like running 100-person+ organization.What he looks for when adding new researchers and staff to his team.The lessons he has learned and the mistakes he’s made in building a culture of an organization.About their track record and how it should be viewed.Martin’s persistence in using trend following models.How his models have changed and how he has dealt with risk management over the years.What it means to change his models from a binary implementation to an analog implementation.-----Resources & Links Mentioned in this Episode:Learn more about AHL.Find out more about the MAN group.Follow Niels on Twitter, LinkedIn, YouTube or via the <a href="https://www.toptradersunplugged.com/" rel="noopener noreferrer"

6 Okt 20141h 9min

In Part 2 of our conversation with the CEO of Insch Capital Management, we talk about how the firm’s trading models work and how they were built. We discuss how Insch deals with drawdowns, increased regulation, and marketing. This is a truly in-depth episode into the mind of a hedge fund Founder and the inner workings of an Alternative investment firm.Welcome to the second part of our conversation with Chris Cruden.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:Indicators that are more robust than others.Chris’ views on stop losses.How his firm deals with risk and how he uses Index Risk.How correlations play a part in his models.About risk equivalency.how he deals with drawdowns.Why a sense of humor is important in this business, especially during drawdowns.How investors don’t share the same confidence in the model as managers and how managers can better share that confidence.How simple his system really is.Why you must have discipline. Many trend followers are making all-time highs but many people have announced the death of trend following time and time again.What the “black swan” event and the “gray swan” event would be for Chris’ business.The two kinds of research that his firm does.Why his team looks at emerging currencies in their research even though they do not trade them.What he is looking for in terms of red flags during his research that suggest models need to be tweaked.How he tries to stand out from the crowd in order to attract investors.Why he is based in Lugano, Switzerland.What Chris would ask David Harding if he was doing the interviewing instead of being interviewed.What investors forget to ask him.Why it’s a good idea to ask if you can try a dummy account with a new investment manager to see how it works.How he deals with the difficulties of regulation.-----Resources & Links Mentioned in this Episode:Market Wizards: Interviews with Top TradersTrend Following: How to Make Millions in Up or Down MarketsFollow 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” <a href="https://www.toptradersunplugged.com/10-reasons-shownotes" rel="noopener noreferrer"...

2 Okt 20141h 5min

Our next guest was a British Army Officer and moved to South Africa before finding a career in the financial markets. He is now the CEO of his Managed Futures firm and has worked with some of the industry’s most influential companies and people, including Dean Witter and AHL. The story of his career’s beginnings and the lessons he used to become a systematic trend follower are unique and insightful. You’re sure to learn a lot from this episode.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:How Chris came to work with Dean Witter, one of the leading players in the industry back in the 1980’s & 90’s.About his days working for AHL in the early 90’s.How his career started off as a British Army officer.His time in Africa after leaving the army – finding himself in Rhodesia (now Zimbabwe).About his first job at Syfrets Trust bank in South Africa as a Gold analyst.How he came to do business with Dean Witter Reynolds and after a few years why they hired him.After the 1988 crash he found himself back in London and joined AHL.In 1993 he went back to New York joined with Robert M Tamiso, a mentor to him.Why he looked for a market that was not overcrowded and easily spooked, which was the inter-bank foreign exchange market.What AHL was doing in the beginning of the company.Why he started trading currencies early on.How Bob Tamiso was successful and the way he carried himself that made him successful.Why Bob Tamiso’s best advice was to always “show up”.About Chris’ golf playing and his ties to Scotland.His routine at work and why being a systematic trader makes him boring and bad at marketing, but helps him sleep at night knowing they are going to “show up” the next day.About Chris’ goal with his work and why he is happy with the size of his firm and why growth is not the prime focus.How he has such low staff turnover and why he likes to work with young people who have never worked anywhere else in the financial world.What matters when discussing a firm’s track record and how his programs are setup.The building blocks of their trading program and how the money they’ve made has historically come mainly from interest rate differentials.What the environment has been like for a currency program in the last 5 years.Why he believes the current intervention by The Fed is not so substantially different that his model won’t be able to see good returns in the futureHow he designed his program and what its objective is.What currencies he trades and how he trades them.Why volatility has been so low but why he sees that it is coming back and why it’s a good thing for his models.-----Resources & Links Mentioned in this Episode:Learn about Dean Witter.Get more information on AHL.For historical background, see this article on Rhodesia.Learn more about Lugano, the city where Insch is located.Follow Niels on Twitter, <a...

29 Sep 20141h 10min