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

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.-----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.Learn more about Quantica Capital.Episode Timestamps:02:46 - Introduction to Quantica Capital05:04 - Their investment philosophy12:31 - What makes them unique?17:09 - Reacting to trends19:43 - Why not do it the easy way?23:33 - Looking Sharpe30:34 - When Correlations go to "1"35:12 - Dealing with shocks39:02 - The measurement methodologies43:14 - The role of correlation46:38 - Good research and potential pitfalls53:09 - Important...

27 Mars 20231h 20min

Join us for an insightful conversation with Cem Karsan as he sheds light on the current financial landscape, from the recent banking crashes to Central Bank Rate Hikes and Geo-Political developments. Discover the reasons behind the unprecedented moves in the volatility space and how they're impacting different strategies, including trend following. Cem shares his thoughts on the critical importance of positioning and why volatility strategies are currently facing tough times. We'll also delve into the potential consequences of a loss of confidence in central banks and their policies, including much higher bond yields. And don't miss our discussion on how the upcoming U.S. Presidential Election will impact economic policies in the months to come. Tune in to gain valuable insights from one of the sharpest minds in finance.-----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: 02:03 - Reflecting on the current bank crashes 06:03 - The difficult situation for Powell 09:38 - The geopolitical perspective 12:38 - Surprises in the OpEx 18:03 - Weekly update 20:24 - The volatility winter27:05 - Vol strategies in the equity space30:38 - How volatility funds are finding it hard to make money at the moment? 36:11 - Are vol strategies on a downfall? 44:15 - A loss of confidence in Central Banks48:09 - What are the signs to look for? 50:55 - The U.S election...and how it will affect...

25 Mars 20231h 4min

This is an episode for those who want to hear an alternative view of the world's largest country. McKinsey has said we are living in the “Indian Century”. Morgan Stanley believes 20 percent of global growth in the next decade will come from India. Our guest today, Princeton economist Ashoka Mody, has a different view, which he details in his new book: “India Is Broken”. He argues that there are two Indias, a successful, highly skilled and educated elite and a billion-plus population that remains very poor. Mody believes that this dangerous equilibrium is maintained by a close link between the government, big business and, in some cases, organized crime. This association produces projects that attract capital and headlines but leaves an employment deficit of over 100 million jobs.-----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 Kevin on SubStack & read his Book.Follow Ashoka on Twitter & read his book.Episode TimeStamps: 04:14 - Introduction to Ashoka Mody 10:19 - The development path of East Asia 14:41 - The path that India did not take 19:32 - The path they did take 23:37 - Different versions of India 30:37 - What is Hindutva?...

22 Mars 20231h 4min

Today, we are joined by Simon Judes, Co-CIO at Winton for a conversation on how they use quantitative investment strategies and statistical research to generate alpha. We discuss how the characterization of Crisis Alpha has the potential to be misleading and why the speed of your trading should be determined by your objective, their process of discovering new ideas through research and the pitfalls of relying too heavily on automation. We also discuss how they stay diversified through alternative market selection, why it is important to look beyond volatility when assessing risk 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 Alan on Twitter.Learn more about Winton Group.Episode Timestamps:02:18 - Introduction to Winton 05:05 - Their investment philosophy 09:25 - Where does opportunities arise? 10:18 - What caused them to reduce emphasis on Trend a few years ago? 13:48 - Too concerned about Sharpe? 16:39 - The value of Crisis Alpha 20:09 - Changing the trend following narrative 22:41 - What about the non-trend? 25:22 - Need for speed? 27:49 - Their research process 31:19 - Accessing big events in markets 35:00 - The pros and cons of machine learning 38:16 - Trading and selecting parameters 42:23 - The risks of CTA replication...

20 Mars 20231h 13min

Today, Mark Rzepczynsky is back with us, following a tense week with the collapse of Silicon Valley Bank and a few other bank emergencies. We discuss how we are in a period that Mark calls “the great bond reprising” and what this means for the economy, why the collapse of SVB was somehow "expected", if only regulators had been looking at the right data and how you build models that are well prepared for unexpected events. We also discuss why the core concept of CTA replication in itself may be problematic and why the collapse of SVB might indicate that some people possess too much power, how the wealth of information creates a poverty of attention, how change and uncertainty in the world affects investors and the economy 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 Mark on Twitter.Episode TimeStamps:02:00 - What really happened this week? 19:19 - Industry performance update 25:21 - A tough week for trend 36:13 - Looking through the rear view mirror 46:25 - SVB and trend following 52:47 - The dynamics of the financial world 59:20 - A changing world 01:09:27 - Reflecting on the CTA series 01:13:33 - Thanks for listening Copyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and...

19 Mars 20231h 16min

Today we are re-joined by Rory Johnston, founder of Commodity Context, a physical commodities research firm based in Toronto, Canada. We cover the SPR (Strategic Petroleum Reserve) that has been actively deployed by the Biden administration over the past year, its implementation and potential impact on related economies. To what extent can the SPR influence spot and futures prices, and what are the knock on effects on refined products? What is the interaction between the SPR, commercial inventories and prices? Rory also discusses the analogy between SPR sales and Fed policy, as it influences the yield curve. We also discuss the relationship between oil volatility and the crack spread, and how volatility is generally damaging but can boost profits in proprietary oil trading books. Finally, Rory challenges the assertion that speculators are the "smart money" in energy, and how positioning can act as a counter trend indicator.-----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.Follow Rory on TwitterEpisode TimeStamps: 03:19 - SPR - What and why? 06:27 - Why crude and not refined products? 09:34 - How is the SPR used? 13:54 - Trading oil 19:54 - The goal of the SPR market 23:04 - How inventory drives oil price 28:29 - The effect of inventory restocking 29:43 - Theory vs. practice 33:28 - The mega energy companies 36:00 -...

15 Mars 20231h 14min

Today, we are joined by Matt Dorsten, Portfolio Manager within the Quantitative Strategies group at PIMCO, for a conversation how they manage 60 billion dollars through different quant strategies, of which app. $5bn is in Trend Following. We discuss their process of constructing portfolios using a defensive approach and how they manage to simultaneously maintain a high Sharpe, keep a balance between long and short trades and how they use tail "hedging" in their design of the strategy. We also discuss why they believe having a broad universe of markets is key and why they see a big potential in exotic markets, why they believe it is better to trade faster as a trend follower when markets are liquid enough, their process of measuring the expected returns 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 Alan on Twitter.Learn more about PIMCOEpisode Timestamps:02:28 - Introduction to PIMCO 05:11 - Their investment philosophy 11:11 - Too concerned about the Sharpe? 14:53 - A different Speed of trend following 18:13 - Building a defence against equity drawdowns22:32 - Balancing the opposing forces 25:45 - A different approach to volatility correlation? 27:06 - Using machine learning 28:04 - The role of bonds 31:34 - The larger portfolio perspective33:07 - Their research process 36:53 -

13 Mars 20231h 2min

Today, I'm joined by Rob Carver for the weekly trend following conversation, where we reflect on the takeaways from the CTA series and the performance of the year so far. We discuss parameter and markets selection through research and testing and why Rob dislikes stops in moving average systems, what happens if a brokerage firm fails. We also discuss why you have to be cautious when using dynamic position sizing and Rob’s advice for using backtesting, how articles from big financial media often creates a false or skewed narrative in the way they present data and information, why adding a lot of instruments to your portfolio is not as good an idea as it might seem. And finally we discuss Rob's latest article in the Financial Times 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 Rob on Twitter.Episode TimeStamps: 02:19 - Reflecting on the TTU CTA series 04:57 - Performance update 09:59 - Q1, Gene: Question about underfitting and overfitting 16:47 - Q2, James: What types of stops are commonly used in moving average systems? 18:49 - Q3, Chris: How far back do you go in backtesting? 22:20 - Q4.1, Kyle: What happens if an FCM goes belly up? 26:37 - Q4.2, Kyle: Questions regarding "Following the Trend" by Andreas Clenow39:22 - Applying a commission rate for your backtest 44:22 - Q5.1, Matthijs: The optimal moment to roll a contract? 46:14 - Q5.2, Matthijs: View on adding a defensive strategy to

11 Mars 20231h 8min