Flirting with Models

Otto van Hemert - Seasonality Everywhere (S7E6)

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.

47:04

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Episode guests

Otto van Hemert

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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.

Introduction

6min

Navigating Challenges in Systematic Value Strategies

7min

Navigating Inflationary Times: Strategies and Insights

10min

Exploring Seasonality in Investment Trends

20min

Exploring the Core Belief in Systematic Investing and Evolving Focus on Risk Management

2min

Exploring the Potential of Generative AI in the Technological Revolution

2min

In today’s episode I speak with Otto van Hemert, Director of Core Strategies at Man AHL.

After briefly touching upon Otto’s background, we dive into one of his most popular papers: The Best Strategies for Inflationary Times. Otto shares the inspiration for the research as well as some of what he feels were the less obvious results.

Trend strategies, which were a standout winner in the inflation resilience horse race, serve as the bridge to a discussion on seasonality. Interestingly, Otto’s research suggests that long-term trend signals are actually capturing seasonality effects!

Otto shares his thoughts on different approaches to measuring seasonality, why he believes seasonality emerges in both commodities and financial markets, and how to think about combining trend and seasonality in a single portfolio.

Please enjoy my conversation with Otto van Hemert.

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Flirting with Models

Otto van Hemert - Seasonality Everywhere (S7E6)

Episode guests

Podcast summary created with Snipd AI

Quick takeaways

Deep dives

Inflation-Resilient Strategies and the 2008 Financial Crisis

Building a New Systematic Macro Fund

The Best Strategies for Inflationary Times

Seasonality and Trend in Portfolio Design

Remember Everything You Learn from Podcasts