Today, we are joined by Svante Bergström, Founding Partner and CEO of Lynx Asset Management, for a conversation on how they incorporate trend following in their trading strategy, through the use of a multi-strat approach. We discuss why they believe trend following will continue to work for the next hundred years and how they ensure a good balance between achieving a high Sharpe while maintaining the trend following profile, what they have learned from 2022 and how they used diversifying models and machine learning to profit in 2022, their process of finding new models and replacing the ones that do not work and why they are sceptical about the returns from CTA replication. We also discuss the number of markets they prefer to trade, how they manage risk and what you should pay attention to when evaluating managers, their approach to capacity and fees and their process of finding new talent in the industry, how they implement ESGs in their work and much more.
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Episode Timestamps:
02:18 - Introduction to LYNX
04:11 - How did they settle on trend following?
09:08 - A painful ride?
11:09 - Too focused on sharpe?
14:04 - What stood out in 2022?
16:17 - The dual mandate
18:10 - The benefits of diversifying strategies
20:08 - Why machine learning?
24:31 - The flipside of diversifying strategies
28:32 - The process of replacing models
31:36 - Their view on CTA replication
35:54 - Execution within LYNX
38:15 - The right number of markets
41:10 - How they manage risk
46:02 - What makes a good manager?
51:11 - The issue with capacity
54:29 - Finding and hiring new talent
59:41 - Is Liquidity on a downfall?
01:01:51 - Managing cash
01:02:48 - Trend following disagreements
01:04:04 - Expectations for 2023
01:05:33 - Thanks for listening
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