The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with Guillaume Jamet, Principal Manager and Co-CIO at Metori Capital Management.
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Metori Capital Management was established in Paris in 2016 by a group of former Lyxor professionals who had been managing the Epsilon trend-following programme since at least 2011. That programme itself dates to 1994, meaning the strategy they run carries one of the longest live track records in the systematic space. Guillaume Jamet, who joined the Epsilon programme in 2011, is now the principal manager and Co-CIO responsible for signal generation and portfolio construction.
Metori’s approach to trend following starts from correlation rather than individual market signals. Where traditional models treat each market independently and apply correlation matrices after the fact, Jamet and his team begin by identifying meaningful groups of related markets, then estimate trends at the level where genuine independent information exists. The effect is a more disciplined approach to counting bets and a greater sensitivity to when apparent diversification is illusory.
The conversation with Niels and Alan is technically rigorous and refreshingly honest. Jamet is clear that trend following is not simple to do well, even though the basic intuition is straightforward. He is equally clear about what systematic management actually means: not removing human judgment entirely, but placing it in the research and model design phase rather than in day-to-day execution. The Metori Epsilon programme has won multiple awards for long-term performance, and this discussion explains in depth why that track record has been built the way it has.
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