TTU139: The Benefits of Alternative Markets ft. Simon Judes, Co-CIO at Winton
Top Traders Unplugged
What Are the Risks?
The way we think about risk management perhaps is a bit different from others as well. There's a strange confusion that afflicts the CTA industry particularly, which is to equate risk with volatility. What managers are in some ways becoming more solutions providers.
Today, we are joined by Simon Judes, Co-CIO at Winton for a conversation on how they use quantitative investment strategies and statistical research to generate alpha. We discuss how the characterization of Crisis Alpha has the potential to be misleading and why the speed of your trading should be determined by your objective, their process of discovering new ideas through research and the pitfalls of relying too heavily on automation. We also discuss how they stay diversified through alternative market selection, why it is important to look beyond volatility when assessing risk and much more.
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Learn more about Winton Group.
Episode Timestamps:
02:18 - Introduction to Winton
05:05 - Their investment philosophy
09:25 - Where does opportunities arise?
10:18 - What caused them to reduce emphasis on Trend a few years ago?
13:48 - Too concerned about Sharpe?
16:39 - The value of Crisis Alpha
20:09 - Changing the trend following narrative
22:41 - What about the non-trend?
25:22 - Need for speed?
27:49 - Their research process
31:19 - Accessing big events in markets
35:00 - The pros and cons of machine learning
38:16 - Trading and selecting parameters
42:23 - The risks of CTA replication
44:57 - More markets = better?
50:09 - Staying balanced
52:23 - The strategies in a broader perspective
54:18 - Working with clients
55:22 - Their approach to risk manangement
01:00:18 - The worst possible scenario
01:01:24 - Preparing for the worst?
01:02:37 - Question about capping the ability to go long stocks
01:03:59 - How many trend followers do you need?
01:05:14 - Setting return expectations
01:07:33 - Trend following disagreements
01:11:05 - Expectations for 2023
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