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Top Traders Unplugged
Si297: Trend Following as a Return Enhancement Overlay ft. Alan Dunne
May 25, 2024
Alan Dunne discusses global macro trends, quant macro strategies, and trend following as a return enhancement overlay. Topics include family office asset allocation, narrative shifts in trend following, fees in multi-strategy space, and blending trend following with Quant Macro in portfolios.
01:02:54
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Quick takeaways
- Trend following can serve as a return enhancement overlay in portfolios, offering proactive risk management.
- Multi-manager funds leverage uncorrelated strategies to amplify returns and manage risks effectively.
Deep dives
Trend Following Strategies in Multi-Manager Funds - A Structural Insight
Multi-manager funds have gained attention for their consistent returns and structural approach. Brian Hurst from Clear Alpha emphasizes the benefits of harnessing uncorrelated strategies within these funds. The key lies in finding strategies with respectable Sharpe ratios (around 0.7) that are lowly correlated to effectively construct a portfolio. Applying leverage amplifies returns, potentially outperforming in both positive equity markets and crisis periods.
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