SI89: Trend Following EFTs and Asness vs Taleb ft. Rufus Rankin
Top Traders Unplugged
The Uninteresting Week
Rufus: It was a quiet week. Nothing too wild, frankly. Performance divided between the sectors when I look at it on the downside. Energy, currencies, metals, equities with the exception of NASDAQ. That was really the losers on our side and then mitigating the losses were things like grains and soft doing reasonably well. But other than that, really uninteresting week in many ways.
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?
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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
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