Podcasts

Title: An Institutional Perspective on the Simplicity of Trend Following ft. Dave Aspell of Mt Lucas Management

• Produced by: The Algorithmic Advantage
• Summary: Dave Aspell, Senior Portfolio Manager at Mount Lucas Management, shares insights into the firm’s trading philosophy and strategies. He discusses the simplicity and robustness of their trend-following model, the importance of capturing positive skew, and their approach to market selection and portfolio construction. Aspell highlights the firm’s history, their use of the MLM Index, and their balanced approach to equities and managed futures, emphasizing the benefits of frequent rebalancing to maintain optimal risk-return profiles.

Title: A Wealth of Experience – Trading Diversified Strategies in Futures & Equities with Perry Kaufman

• Produced by: The Algorithmic Advantage
• Summary: Perry Kaufman shares his extensive experience in trading diversified strategies in futures and equities. The discussion covers his approach to trend following, divergence, and timing strategies, emphasizing the importance of simplicity, robustness, and technological advancements. Kaufman highlights the benefits and trade-offs of market diversification versus concentrated trading, and the evolving nature of financial markets influenced by AI and technological tools.

Title: Launching the Cambria Chesapeake Pure Trend ETF ft. Jerry Parker

• Produced by: The Meb Faber Show
• Summary: Jerry Parker, CEO of Chesapeake Holding Company, discusses his collaboration with Meb Faber to launch the Cambria Chesapeake Pure Trend ETF (ticker: MFUT). The episode covers trend following strategies, the importance of diversification, and the benefits of an ETF structure. Parker emphasizes the fund’s approach to maximizing diversification across various markets and asset classes, highlighting its robustness and systematic methodology.

Title: The Key to Trend Following Success ft. Cole Wilcox from Longboard Asset Management

• Produced by: Top Traders Unplugged
• Summary: Cole Wilcox, CEO of Longboard Asset Management, discusses systematic trend following strategies for single stocks, emphasizing the importance of participating in significant outlier price moves while avoiding underperforming stocks. The conversation covers the advantages and challenges of these strategies, the significance of portfolio construction, and the benefits of a systematic process for capturing trends in mid and small-cap stocks.

Title: The Unstoppable Volpocalypse ft. Cem Karsan & Alan Dunne

• Produced by: Top Traders Unplugged
• Summary: In this episode, Cem Karsan and Alan Dunne discuss the evolving market microstructure and volatility supply from structured products impacting market dynamics. Key topics include volatility trading, market breadth, and the impact of global macro events. They also explore the potential effects of upcoming elections and geopolitical tensions on market volatility. The episode provides insights into identifying market turning points and understanding the reflexive processes influencing market behavior.

Title: Taking the Trend Following Temperature with Man AHL ft. Graham Robertson

• Produced by: Top Traders Unplugged
• Summary: Graham Robertson, Partner and Head of Client Portfolio Management at Man AHL, joins Niels Kaastrup-Larsen to discuss the state of trend following in 2024. They explore the performance of trend following strategies, the impact of global events, and the evolving interest from investors. Key topics include the role of AI in trend following, the challenges of trading in China, and the significance of April 2024’s market dynamics. Robertson also shares insights on managing diverse asset classes and the importance of flexibility in investment strategies.

Title: Building A Hedge Fund Allocation ft. Alan Dunne

• Produced by: Top Traders Unplugged
• Summary: In this episode, Alan Dunne discusses the intricacies of building a hedge fund allocation. Key topics include the impact of the U.S. election on markets, advice for allocators starting new trend-following funds, and the significance of performance fees in the CTA space. Dunne also delves into managed futures strategies, skewness frequencies, and the use of delay by trend managers to smooth returns, providing valuable insights into constructing a robust hedge fund portfolio.

Title: If Trend Following was an Olympic Sport… ft. Mark Rzepczynski

• Produced by: Top Traders Unplugged
• Summary: Mark Rzepczynski discusses the implications of increased treasury issuance, declining concerns about inflation and interest rates, and the importance of system-building over model-building. Key insights include the value of trend following in portfolios, assessing macroeconomic risks, and the impact of AI on the industry. The episode also covers strategies for managed futures, and the relevance of the hot hand fallacy in investing.

Articles

Title: Trend-Following: If It Moves, Monetise It

• Produced by: Man Group
• Summary: This article explores how trend-following strategies provide long-term returns comparable to equities but with lower risk and smaller drawdowns. It emphasizes the strategy’s effectiveness during market crises, highlighting the benefits of combining trend-following with traditional portfolios. The analysis suggests that leveraging trend-following’s defensive properties can enhance overall returns without increasing volatility or drawdowns, showcasing the potential for improved risk-adjusted performance through diversification and appropriate gearing.

Title: Unveiling the Hidden Truth: The Nature of Misleading Statistics and the Power of Trend Following Over 24 Years

• Produced by: ATS Trading Solutions
• Summary: This article explores the dynamic correlation between diversified trend-following portfolios and the S&P500TR Index, highlighting how trend-following strategies provide superior diversification compared to traditional bond allocations. Through visual and quantitative analyses, it demonstrates the regime-dependent correlation properties and emphasizes the adaptability and resilience of trend-following strategies in various market conditions.

Title: The Lifting Power of Outliers

• Produced by: ATS Trading Solutions
• Summary: This article delves into the importance of outliers in trend-following strategies, demonstrating how significant market events can drive long-term portfolio performance. Using a backtested model with 35 markets and 10 trend-following systems per market, the analysis highlights the impact of diversification and the non-linear contributions of outliers. The article emphasizes maintaining unrealized equity and avoiding premature adjustments to maximize gains from rare market movements.

Title: A Trip Down Memory Lane: “No Free Lunch but all the Free Coffee you can drink.”

• Produced by: ATS Trading Solutions
• Summary: This article reflects on the author’s journey into trend following, inspired by a Forex Factory thread titled “No Free Lunch but all the Free Coffee you can drink.” It introduces Peter Crowns’ DIBS strategy, which capitalizes on breakout opportunities from periods of consolidation. The piece delves into the mechanics of the DIBS strategy, the importance of diversification, and techniques for maximizing returns while managing risk.

Title: Diversification for Trend Following Models: The Small Variations Matter

• Produced by: ATS Trading Solutions
• Summary: This article examines the importance of trade correlations over price correlations in trend following models. Using Brent and Crude Oil as examples, it highlights how different trend following systems applied to highly correlated assets yield diverse outcomes. The analysis underscores the benefits of maximal diversification, revealing that small variations in price series can lead to significant differences in capturing outlier events, thus enhancing portfolio performance.

Title: Market Metronomes: Synchronizing the Rhythms of Trader Behavior

• Produced by: ATS Trading Solutions
• Summary: This article explores how the collective behavior of traders influences market dynamics. By examining the primary drivers of price movements, the piece delves into the impact of buy and sell decisions, the interactions of different trading strategies, and the resultant market biases. The analogy of metronome synchronization is used to illustrate how individual actions aggregate to affect market prices, highlighting the perpetual nature of trends and mean reversion within financial markets.

Books/E-Publications

Title: Short Stories from the Outlier Hunters

• Produced by: ATS Trading Solutions
• Summary: This collection of articles, titled “Short Stories,” reflects on the profound impact of outliers in trading and the importance of diversification. It includes insights on trend following, emphasizing strategies to capture rare market movements and optimize returns. The articles delve into the mechanics of various trading systems, the role of market and system diversification, and the relevance of complex adaptive systems in financial markets. This compilation aims to provide valuable knowledge and inspiration for traders at all levels.

Trend Following Performance

Title: Trend Following Performance Report — June 2024: “Navigating the Quiet Storm in Trend Following”

• Produced by: ATS Trading Solutions
• Summary: June 2024 was challenging for trend followers, marked by significant declines in key indices like the SG Trend Index and BTOP50 Index. The strong first quarter was offset by the end of robust trends in commodities such as cocoa and silver, and a correction in Bitcoin’s momentum. Despite rising equities, low volatility failed to counterbalance sector losses. This period highlighted the need for adaptability, diversification, and robust risk management in trend-following strategies.