OI04: Do Alternative Markets Trend Better? ft. Scott Kerson
Top Traders Unplugged
Evolution and Performance of Alternative Markets in AHL
This chapter discusses the history and evolution of AHL Evolution, the performance of trend signals in alternative markets, and the concept of diversification in commodity markets compared to traditional market CTA.
In this episode, Moritz Seibert is by Scott Kerson, the Head of GreshamQuant. Gresham is a commodity-focused investment management firm and GreshamQuant is their systematic trading arm. In 2017, they launched the ACAR Fund, an alternative markets trend following fund with an exclusive focus on commodities. Scott and Moritz discuss why they believes alternative markets to have better trending properties and higher Sharpe ratios within a trend following context and why they refuse to trade a larger portfolio which would also include the traditional futures markets most other CTAs trade. At the end, Scott also shares his outlook on the alternative markets CTA space with us. If you’re interested in alternative markets trend following, this is a valuable episode to listen to.
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Episode TimeStamps:
02:22 - Introduction to Scott Kerson
08:27 - When did AHL Evolution start and what is it?
13:54 - What is an alternative market to Kerson and what differentiates it from other markets?
20:25 - Why an exclusive focus on commodities?
22:45 - What markets are Kerson trading and why?
24:04 - Where are the hidden gems?
26:31 - Why Kerson restrict the markets he is trading
30:37 - Maintaining a neo-classical trend approach
31:26 - A need for long-term?
33:09 - What is the capacity of the markets?
34:28 - What is the total AUM of alternative market CTAs today?
35:30 - Their core research philosophy
37:53 - The key barriers to entry
39:52 - How have they gone through 2023?
41:07 - Is there any market that stand out from the others?
43:16 - The outlook of the alternative markets CTA space
45:36 - Thanks for listening
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