Today, we are joined by Philip Seager, Head of Absolute Return at Capital Fund Management (CFM), for a conversation on how they incorporate trend following in their investment strategy. We discuss their research on how trend following has performed historically and how they use the data in their trading and the role trend following play in their portfolio construction. We also discuss the right way of doing research when it comes to quant based strategies and how they differentiate themselves from other trend followers, how they keep risk stable and forecast gaps in markets, how you should use trend following in a multi-asset portfolio and how they estimate capacity, the risk of investing in a replicator strategy and much more.
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Episode Timestamps:
02:05 - Introduction to Capital Fund Management
05:32 - Their investment philosophy
12:27 - Periods of under-performance
19:13 - Trend following - a small piece?
24:58 - Do Trend Followers have a dual mandate?
31:32 - Their research process
36:22 - Enhancing a trend program
37:46 - Using machine learning
40:47 - Different types of trend followers
46:56 - Controlling the risk
51:20 - Dealing with drawdowns
54:44 - Achieving convexity
57:03 - Looking in hindsight
00:58:26 - Addressing rebalancing, capacity and fees
01:05:38 - Trend following disagreements
01:08:29 - Thanks for listening
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