SI89: Trend Following EFTs and Asness vs Taleb ft. Rufus Rankin
Top Traders Unplugged
How to Optimize a Diversified Portfolio
Rufus: I don't know if we can tell in advance that we have the best diversified portfolio. We keep trying to have a better one, subject to a few constraints, right? Depending on the mandate, we're typically going to have a volatility target and correlation target. If you look at a portfolio we run and we've just added some potty, they may only be one or two percent as we legged.
We’re joined by special guest, Rufus Rankin of Ampersand Investment Management, to discuss Trend Following ETFs, the definition of a truly diversified portfolio, flat-fees versus performance-based fees, how to choose between different managers, learning from Q1 2020, predicting CTA returns, and the recent public spat between Cliff Asness & Nassim Taleb. Questions we answer include: Are Trend Following CTAs seeing an increase in client interest after this year’s stock market crash? What non-USA or Europe markets are CTAs currently interested in?
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----
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 “Ten Reasons to Add Trend Following to Your Portfolio” 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.
Episode TimeStamps:
00:00 – Intro
01:26 – Macro recap from Niels
04:06 – Weekly review of performance
07:20 – Niels: How what was your journey into this industry?
08:57 – Niels: How did you end up allocating capital to CTAs?
10:05 – Niels: Do you view Trend Following as a philosophy?
12:50 – Niels: What are your thoughts about truly diversified portfolios?
17:28 – Moritz; If we can’t forecast CTA returns, do you think we should allocate capital to as many CTAs as possible?
20:02 – Niels: What percent of a whole portfolio would you recommend to Trend Following, and what would investors be comfortable with?
19:02 – Moritz; Do you only allocate to Trend Following CTAs?
22:41 – Moritz; Do you consider yourselves to be a ‘fund of funds’?
23:11 – Moritz; How do you handle client pressure surrounding double-layering of fees?
24:17 – Niels: Who do you think drives the demand for flat-fees, rather than performance-based fees?
26:03 – Niels: What do you think of cheap Trend Following replication products versus full-cost, long-established, Trend Following funds?
30:16 – Moritz: Do you still think CTAs are worth their performance fees?
32:30 – Niels: How do you choose between different managers?
35:19 – Moritz: When do you stop adding CTAs to your portfolio, for diversification?
37:15 – Moritz: How do you gain exposure to your chosen CTAs?
38:44 – Niels: How has 2020 been for you so far?
40:09 – Niels: What are some of the things you learned from Q1 2020?
42:52 – Moritz: How has machine learning added value during Q1 2020?
44:41 – Question 1; Michael: Have you ever considered creating a Trend Following ETF?
48:49 – Niels: Would Trend Following ETFs be required to disclose the rules of the strategies?
44:41 – Questions 2&3; Brian: Are Trend Following CTAs seeing an increase in investor interest, post the 2020 market crash? What non-USA or EU markets are CTAs currently interested in?
53:31 – Benchmark performance update
Copyright © 2024 – CMC AG – All Rights Reserved
----
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
The AI-powered Podcast Player
