Flirting with Models Otto van Hemert - Seasonality Everywhere (S7E6)
50 snips
Mar 25, 2024 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.
AI Snips
Chapters
Transcript
Episode notes
Value Model Rigidity in 2008
- During the 2008 crisis, value models on CMBX and ABX indices kept buying as prices fell.
- These models failed to adapt to the changing market, illustrating the rigidity of some quantitative value approaches.
Behavioral Signals in Systematic Investing
- Systematic managers should focus on constant factors, like human behavior.
- Behavioral patterns are more reliable than value models, which can be environment-specific.
Risk Management for New Funds
- New systematic fund managers should prioritize risk management and drawdown controls.
- Codify responses to various market scenarios, anticipating potential problems.