Image by Jeremy Bishop

Systematic Investor

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.

Trend Following in Today's Economy

September 2022

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

August 2022

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

July 2022

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

May 2022

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

April 2022

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

March 2022 

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

February 2022

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

Jan 2022

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.