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Otto van Hemert, Director of Core Strategies at Man AHL, discusses trend strategies, inflation resilience, seasonality in markets, and combining trend and seasonality in portfolios. He shares insights on measuring seasonality, the emergence of seasonality in commodities and financial markets, and the impact of long-term trend signals capturing seasonality effects.
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Quick takeaways
- Behavioral signals remain constant and reliable for systematic trading, unlike value models.
- Commodities show resilience during inflation spikes, offering potential as a robust investment.
Deep dives
Inflation-Resilient Strategies and the 2008 Financial Crisis
Following the 2008 financial crisis, Otto von Heymert's experience shaped his view on quantitative value investing. He observed that value models didn't adjust well to the changing environment, leading to significant losses. This led him to focus on behavioral signals as they remain constant over time, making them more reliable for systematic trading.
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Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode