Top Traders Unplugged13 Mars 2023

TTU138: Need for Speed in Trendfollowing ft. Matt Dorsten, Portfolio Manager at PIMCO

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.

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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 PIMCO

Episode 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 drawdowns

22:32 - 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 perspective

33:07 - Their research process

36:53 - Number of markets

39:01 - Their view on CTA replication

42:10 - Need for speed?

44:28 - Different models for different markets?

45:50 - Hitting the gas?

48:02 - Cap the equities?

49:14 - Adding non-priced based signals

50:31 - How many strategies do you actually need?

51:17 - What is second best Tail Hedge?

52:15 - Framing the expected outcomes

54:04 - Their sense on liquidity

55:38 - Trend following disagreements

57:05 - Expectations for 2023

59:49 - Running trend following in a bond shop

01:01:29 - Thanks for listening

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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 things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

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