021 - Dave Aspell - Mt Lucas Management - Keep It Simple!
Jul 25, 2024
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Senior Portfolio Manager Dave Aspell from Mt Lucas Management shares insights on the firm's simple yet effective approach to trading equities and futures. Topics include the evolution of Mount Lucas, creation of the MLM index, portfolio allocation in macro fund management, and capturing the investor risk premium in the managed futures market.
Mount Lucas Management focuses on simple trading strategies with a strong emphasis on risk management and diversification.
The firm's all-weather portfolio combines equities, bonds, and managed futures for optimal performance in varying market conditions.
Managed futures and trend-following strategies by Mount Lucas aim to capture risk premiums effectively while avoiding over-optimization.
Deep dives
Introduction to Quant Trading and Systematic Trading
The podcast episode delves into the world of quant trading and systematic trading, aiming to educate and inspire traders about the benefits these approaches offer. The discussion covers the background of leading portfolio managers and experts, highlighting the extensive track record of firms like Mount Lucas Capital. The conversation explores how the founder of Mount Lucas originated from Commodities Core, emphasizing the firm's risk management strategies and emphasis on diversification.
Evolution of Managed Futures Strategies
The episode outlines the origins of Mount Lucas Capital in the Commodities Core era, showcasing their transition into managed futures trading. The discussion covers the development of the MLM index, a trend-following model focusing on long and short positions in futures markets. The podcast emphasizes the strategy's positive skew nature, seeking to maximize returns through robust portfolio elements.
Portfolio Allocation and Diversity
The conversation delves into the importance of portfolio diversification and allocation, especially in mixing equities, bonds, and managed futures. Mount Lucas Capital's approach focuses on creating an all-weather portfolio that merges these diverse asset classes. Emphasis is placed on rebalancing strategies to optimize positive skew, ensuring the portfolio is well-equipped for various market conditions.
Risk Premium in Managed Futures
The podcast highlights the concept of a risk premium in managed futures and trend-following strategies. The discussion explores how managed futures capture this risk premium during market movements, offering a robust and consistent approach to portfolio management. The episode emphasizes the importance of avoiding over-optimization and sticking to proven strategies.
Trade Execution and Continuous Research
The episode discusses the research and trade execution methodologies employed by Mount Lucas Capital. The conversation addresses the importance of robust models, avoiding overfitting, and focusing on capturing risk premiums effectively. The firm's approach to continuous research and adherence to core strategies, such as trend-following, underpins their success in managing portfolios.
Connect with Mount Lucas Capital
Listeners are encouraged to engage further with Mount Lucas Capital through their website, blog, and social media channels. The firm's blog provides insights into skew maximization, portfolio management strategies, and trend-following approaches. Additionally, Dave Aspo's Twitter account offers a platform for further discussions and updates on market-related topics.
In our latest podcast, we had the pleasure of speaking with Dave Aspell, the Senior Portfolio Manager from Mt Lucas Management. Dave shared invaluable insights into his trading journey, the history and evolution of Mount Lucas, and the firm's unique approach to trading equities and futures. In this show we explore how Dave and his team trade, the super simple strategies they employ, and the key philosophies underpinning their approach.
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