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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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Learn more about Capital Fund Management.

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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Disclaimer

10/16/2023 | World News Round Up