Top Traders Unplugged Niels Kaastrup-Larsen

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.
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EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
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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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And 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
44:57 - More markets = better?
50:09 -...

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.
----------
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
----
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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And 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 © 2023 – CMC AG – All Rights Reserved
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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.
----------
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
----
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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And 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 Twitter
Episode 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 - Distortion in oil markets
41:20 - Can volatility...

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.
----------
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
----
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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And 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 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...

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.
----------
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
----
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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And 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 Clenow
39:22 - 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 a multi-strat CTA?
47:52 - Q5.3, Matthijs:

What are some of the key takeaways when you marry global financial markets with potentially extraterrestrial influences? Global Macro investor David Dorr, has taken on that conversation. As government and national security services have begun to declassify information around UFOs, David is exploring the edge of what people are starting to talk about but financial markets haven’t yet embraced. Energy, defense, travel, technology, are points of influence in this conversation. Then there’s what Lockheed Martin may be sitting on that could be a real game changer. David has been following this line of research for quite awhile and feels that things are just now starting to break loose. David Dorr is the Managing Principal at Dorr Asset Management SEZC and has more than 25 years experience in trading, global macroeconomics, risk management and trading technology.
----------
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
----
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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And 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 David on Twitter.
Episode TimeStamps:
03:36 - Introduction to David
05:43 - A touchy subject
12:48 - The Tic Tac incident
19:37 - The Navy ships incident
24:17 - What is Area 51?
27:03 - What happened in Mosul, Iraq?
28:29 - The New York Times article
30:41 - Who is Bob Lazar and why is he important?
34:40 - Connections in the UFO network
38:40 - Alfred O'Donnell & EE&G
41:50 - Are they saving us from ourselves?
43:20 - From rockstar to UFO...