Flirting with Models

Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)

Jul 15, 2020

01:04:41

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Highlights

AI Chapters

Episode notes

Lessons Learned Managing Fund of Funds

02:00

Taking the Ugly Side of Skew Risk

04:29

Is There a Countercyclical D Risking in the Portfolio?

01:54

Introduction

2min

What Are Some of Your Seminal and Formative Experiences With Trent Following?

5min

Trent Following - The Most Contrarian Thing You Will Ever Do

2min

Lessons Learned Managing Fund of Funds

2min

Is There a Filter in the System?

3min

All Weather Investing

2min

Manage Futures

3min

Managing Futures in a Mutual Fund

3min

How to Provide Liquidity to Hedgers in the Global Derivatives Markets

4min

10.

Trend Following and Machine Learning - What's Your Take?

4min

11.

Machine Learning - What Made You Steer Away From It?

3min

12.

Managed Features

3min

13.

Are There Certain Ways to Create More Robustness?

3min

14.

The Most Unique Way to Stress Test Futures Trading Systems

2min

15.

Using Random Data and You Don't Make Any Money?

1min

16.

Using a Monte Carlo Simulation to Test Trend Following on Random Data

3min

17.

Taking the Ugly Side of Skew Risk

4min

18.

Is There a Countercyclical D Risking in the Portfolio?

2min

19.

Manish Futures

4min

20.

Manage Futures - The Jury Will See How It Works Out

2min

21.

How Has Technology Evolved Overtime?

5min

My guest is Eric Crittenden, founder and Chief Investment Officer of Standpoint Funds.

Eric has spent his career with trend following strategies, first at BlackStar where he managed a fund-of-funds, then at Longboard, and now at Standpoint Funds. This background makes him not only a fountain of knowledge on trend following theory, but also the operational logistics and practical considerations.

In this episode our conversation ranges from the source of the trend-following premium to novel concepts for stress-testing managed futures programs. We discuss the struggles the space has faced, the evolution of CTAs, how to think about dispersion among managers, and how Eric thinks about solving for client behavior.

I hope you enjoy my conversation with Eric Crittenden.

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