Today, we are joined by Dr. Edward Tricker, Chief Investment Officer of Quantitative Strategies at Graham Capital Management, joined Top Traders Unplugged for a discussion on Graham's approach to quantitative macro investing. The discussion touches on a variety of interesting topics including the evolution of trend-following, diversification, portfolio optimization, and "crisis alpha." Dr. Tricker also discusses how Graham partners with investors to help them solve for their specific portfolio needs, as well as why collaboration is critical in his team’s research process and the firm's risk management philosophy.

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

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Episode Timestamps:

02:16 - Introduction to Graham Capital Management

04:00 - Their investment philosophy

09:35 - The art of modelling

12:33 - Too concerned about Sharpe?

17:14 - Working together with clients

20:17 - The "real" objective

23:22 - Commodities - A saver in crises?

27:32 - What strategies to add in a 60/40?

32:54 - Their research process

37:28 - Evaluating managers and strategies

40:20 - Regime shifts and changes in markets

44:11 - Recalibrating parameter selection

48:34 - Their approach to look-back and signal generation

54:01 - Static vs. dynamic position sizing

59:03 - Liquidity in markets

01:02:17 - Reacting to changes in markets

01:06:34 - Discretionary interventions in markets

01:10:14 - Trend following disagreements

01:11:35 - Expectations for 2023

Resources discussed in this Episode:

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2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Disclaimer

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