Today, we are joined by Matt Dorsten, Portfolio Manager within the Quantitative Strategies group at PIMCO, for a conversation how they manage 60 billion dollars through different quant strategies, of which app. $5bn is in Trend Following. We discuss their process of constructing portfolios using a defensive approach and how they manage to simultaneously maintain a high Sharpe, keep a balance between long and short trades and how they use tail "hedging" in their design of the strategy. We also discuss why they believe having a broad universe of markets is key and why they see a big potential in exotic markets, why they believe it is better to trade faster as a trend follower when markets are liquid enough, their process of measuring the expected returns and much more.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Alan on Twitter.Learn more about PIMCOEpisode Timestamps:02:28 - Introduction to PIMCO 05:11 - Their investment philosophy 11:11 - Too concerned about the Sharpe? 14:53 - A different Speed of trend following 18:13 - Building a defence against equity drawdowns22:32 - Balancing the opposing forces 25:45 - A different approach to volatility correlation? 27:06 - Using machine learning 28:04 - The role of bonds 31:34 - The larger portfolio perspective33:07 - Their research process 36:53 - Number of markets 39:01 - Their view on CTA replication 42:10 - Need for speed? 44:28 - Different models for different markets? 45:50 - Hitting the gas? 48:02 - Cap the equities? 49:14 - Adding non-priced based signals 50:31 - How many strategies do you actually need? 51:17 - What is second best Tail Hedge? 52:15 - Framing the expected outcomes 54:04 - Their sense on liquidity 55:38 - Trend following disagreements 57:05 - Expectations for 2023 59:49 - Running trend following in a bond shop01:01:29 - Thanks for listening Copyright © 2024 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here2. 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 Here3. Other Resources that can help youAnd 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 HerePrivacy PolicyDisclaimer
