In the Systematic Investor Series on Top Traders Unplugged, Alan Dunne, speaks to Niels Kastrup-Larsen about what's new and interesting in the financial markets from the perspective of an allocator to Global Macro, Managed Futures and Trend Following strategies.
Will 2023 be another Trend Following year?
In this episode we discuss November performance of CTAs, review the recent equity market relative to the past and look ahead to 2023.
A new era for Trend Following?
We discuss how to approach asset allocation when adding trend following to your portfolio, how to find the optimal allocation and why Trend Following is often the most consistent part of the portfolio.
Trend Following in a soft, hard or no landing
We discuss what causes trends and why we are starting to see bigger moves in markets in recent years, whether the economy will have a Soft, Hard or No landing and what impact it will have on market performance, why we might still be in a commodity super cycle and why commodities are linked to volume unlike financial assets.
Trend Following in Today's Economy
In this episode we discuss August performance of CTAs and what factors may have driven dispersion in returns and we review recent papers from Cliff Asness at AQR and Quantica Capital on trend following. We also discuss some of the interesting themes coming out of Jackson Hole and look back at lessons from the start of the Volcker tightening cycle in 1979 for policy today.
Trend following and a Cocktail of Macro Factors Cycle
This week we discussed the current seesaw in markets between growth and inflation concerns and how the current consensus of peak inflation and peak central bank hawkishness may be wrong. We also review Trend follower performance in July and discuss the merits of replication strategies when applied to CTAs.
Stacking Returns in a Tightening Cycle
In this episode we discuss the merits and challenges or ‘return stacking’ in asset allocation and we delve in my recent research paper The Return of the Philips Curve which examines why the current rate tightening cycle may be more similar to the 1960s, 1970s and early 1980s than those of the last two decades
Overcoming Behavioural Biases in Manager Selection
In this episode we discuss my recent paper, Solving the Manager Selection Puzzle, which focuses on the behavioural biases investors may experience when selecting investment managers, particularly CTAs, and strategies for overcoming these biases
A New Era For Currencies
With some commentators now calling for a shift in the global monetary order to Bretton Woods III, we discuss the cyclical and structural trends in currencies. We look at the strategies of one of the first hedge fund managers, Alfred Winslow Jones, and why they are still relevant today.
To Trend Follow or not to Trend Follow
In this episode we go back to first principles and discuss what causes major price trends in markets. How large US public pension plans use Trend Following strategies in their portfolios and whether it's too late to allocate to Trend Following after recent strong performance are among the other topics we delve into.
A New Golden Era for Trend Following
With bonds and equities both posting negative returns we discuss why Trend Following is performing well and why managed futures strategies may part of the solution as investors reassess the 60-40 portfolio.
The Future of Trend Following
In this episode we discuss the reasons why Trend Following strategies had a difficult period in the 2010s and look ahead to why the market environment in the coming decade look more favourable for the strategy.