Today, we are joined by Kevin Cole, CEO and CIO at Campbell & Co, for a conversation on their approach to using trend following in their trading, with a focus on absolute return. We discuss their investment philosophy and the evolution of their expanded trading strategy, how they moved beyond pure trend using equities and how they use a multi-strat approach to stay diversified. We also discuss how they feel about being replicated and how they use their research process to keep an edge over their competitors, how they capture the underlying momentum factors of trend and how they implement ESG in their trading strategy. Lastly, we discuss how they approach risk management and position sizing, their view on capacity and fees in the industry and much more.

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Episode Timestamps:

02:07 - Introduction to Campbell & Co

03:53 - Their investment philosophy

06:07 - The objectives of their work

08:37 - Moving beyond trend following

12:27 - Their approach to trading equities

15:11 - Staying diversified

19:59 - Using constraints

21:54 - Thoughts on replication

26:45 - What is a good research process?

31:46 - Balancing the adaptability

36:23 - Trading more markets = better?

41:47 - Dealing with ESGs

47:02 - Their risk management process

51:46 - Being discrete

56:19 - Static or dynamic position size?

59:35 - Capacity in the industry

01:04:27 - Advice on return expectations

01:07:11 - Vanilla vs. sophisticated trend follower

01:09:29 - Managing cash

01:11:07 - What do you disagree with the most?

01:12:07 - Expectations for 2023

01:12:57 - Thanks for listening

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2. Daily Trend Barometer and Market Score

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Disclaimer

2:03 PM ET: Mitch McConnell freezes again