November 2023
Alan Dunne featured recently on Top Traders Unplugged podcast speaking with host Niels Kaastrup-Larsen about trend following, asset allocation and recent global macro developments.
The topics included:
1. Do non-trend strategies create any value for CTAs or does trend following explain all of CTA returns? They review a 2017 paper from Capital Fund Management which examines this question.
2. They discuss a Quantica Capital paper which examines how trend following is a form of Tactical Asset Allocation but the value of trend following stems not just from the momentum signals but even more from the risk sizing and application to diversifying markets.
3. They review what the latest JP Morgan Asset Management Long Term Capital Markets Assumptions say about the outlook for investing and how the 60-40 portfolio can be enhanced in the current macro environment.
4. Some thoughts on the global macro outlook focusing on the implications of the recent fall in the US savings rate, the notable pick up in US productivity growth and why a pessimistic outlook from The Economist could be a positive for the global growth outlook.