OI04: Do Alternative Markets Trend Better? ft. Scott Kerson
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 10 January 2024
⏱️ 47 minutes
🧾️ Download transcript
Summary
In this episode, Moritz Seibert is by Scott Kerson, the Head of GreshamQuant. Gresham is a commodity-focused investment management firm and GreshamQuant is their systematic trading arm. In 2017, they launched the ACAR Fund, an alternative markets trend following fund with an exclusive focus on commodities. Scott and Moritz discuss why they believes alternative markets to have better trending properties and higher Sharpe ratios within a trend following context and why they refuse to trade a larger portfolio which would also include the traditional futures markets most other CTAs trade. At the end, Scott also shares his outlook on the alternative markets CTA space with us. If you’re interested in alternative markets trend following, this is a valuable episode to listen to.
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Episode TimeStamps:
02:22 - Introduction to Scott Kerson
08:27 - When did AHL Evolution start and what is it?
13:54 - What is an alternative market to Kerson and what differentiates it from other markets?
20:25 - Why an exclusive focus on commodities?
22:45 - What markets are Kerson trading and why?
24:04 - Where are the hidden gems?
26:31 - Why Kerson restrict the markets he is trading
30:37 - Maintaining a neo-classical trend approach
31:26 - A need for long-term?
33:09 - What is the capacity of the markets?
34:28 - What is the total AUM of alternative market CTAs today?
35:30 - Their core research philosophy
37:53 - The key barriers to entry
39:52 - How have they gone through 2023?
41:07 - Is there any market that stand out from the others?
43:16 - The outlook of the alternative markets CTA space
45:36 - Thanks for listening
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Transcript
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| 0:00.0 | If you believe that all markets have approximately the same sharp, then the best thing you can do is trade every single market you can. |
| 0:15.0 | However, if you believe that certain kinds of markets have higher sharps than other kinds of markets, |
| 0:20.0 | then actually |
| 0:21.4 | it's optimal from a portfolio optimization perspective to abandon markets that have an inadequately |
| 0:29.6 | low sharp, even if they're diversifying, because you're taking risk away from things that |
| 0:34.4 | have a higher sharp. And it's really about that skill versus breadth |
| 0:38.4 | tradeoff and our belief in our ability to steer the portfolio towards the skill end and away |
| 0:44.8 | from the breadth end where necessary that gives rise to the portfolio we actually trade. |
| 0:51.0 | Imagine spending an hour with the world's greatest traders. |
| 0:54.9 | Imagine learning from their experiences, their successes, and their failures. |
| 0:59.4 | Imagine no more. |
| 1:01.3 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund |
| 1:06.1 | managers in the world so you can take your manager, due diligence, or investment career |
| 1:10.5 | to the next level. |
| 1:12.1 | Before we begin today's conversation, remember to keep two things in mind. |
| 1:16.0 | All the discussion we'll have about investment performance is about the past, and past |
| 1:20.2 | performance does not guarantee or even infer anything about future performance. |
| 1:24.8 | Also understand that there's a significant risk of financial loss with all |
| 1:28.1 | investment strategies, and you need to request and understand the specific risks from the investment |
| 1:33.2 | manager about their product before you make investment decisions. Here's your host, veteran hedge fund |
| 1:38.8 | manager, Nealz Kostrup Larson. |
| 1:51.2 | Welcome to another episode in the Open Interest Series on Top Traders Unplocked, hosted by Moritz Siebert. In life, as well as in trading, maintaining a spirit of curiosity and open-mindedness |
... |
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