SI313: The Paradox of High-Volatility Alternatives ft. Alan Dunne
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 14 September 2024
⏱️ 65 minutes
🧾️ Download transcript
Summary
In this episode, Alan Dunne and I explore Mario Draghi's latest vision for Europe and discuss an insightful interview with Kenneth Rogoff, titled "We Will See More Spikes in Inflation," which covers key macroeconomic issues. We also explore the recent Goldman Sachs reports, highlighted by the Financial Times, showing significant outflows from multi-strategy funds. Alan shares his perspective on the current macro landscape and why he believes we may witness more “flash crashes and extreme market moves” in the near future. Finally, we dig into two articles by Cliff Asness—"The Less Efficient Market Hypothesis" and "In Praise of High-Volatility Alternatives"—which challenge traditional thinking on market efficiency and make a compelling case for considering higher volatility versions of strategies like Trend Following over their low-volatility cousins.
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Episode TimeStamps:
00:42 - What has caught our attention recently?
05:04 - Draghi's vision for Europe
08:09 - Keneth Rogoff's outlook for inflation
14:02 - Clients withdrawing money from multi-strat funds
19:58 - The big macro picture
27:33 - Is monetary policy still loose?
29:11 - Industry performance update (Finally!)
34:11 - The carry unwind
41:20 - Are people underestimating trend following?
44:51 - Are markets becoming less efficient?
48:30 - Why higher volatility funds may be good for your...
Transcript
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| 0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic |
| 0:06.6 | investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:32.5 | Welcome and welcome back to this week's edition of the Systematic Investor Series with Alan Don and I, Neil's Castle Alaston, where each week we take the pulse of the global market through the lens of a roles-based investor. |
| 0:35.8 | Alan, wonderful to be back with you this week. How are you doing? |
| 0:37.7 | Very well, Neil's. Thanks a lot. |
| 0:38.3 | Great to be back. |
| 0:39.1 | Yes. |
| 0:40.7 | It doesn't feel like it's long ago. |
| 0:43.3 | That's because we recorded some other stuff earlier this week. |
| 0:46.8 | We've got a good, solid lineup of topics. |
| 0:49.2 | I say that each week, and I mean it every week. |
| 0:52.9 | But this week is actually quite varied, which I like. |
| 0:53.6 | We will get to. |
| 0:58.0 | There's no question, so we're definitely going to be focusing on all the topics that you brought along. |
| 0:59.0 | But as usual, as we always do, I'm curious about what's kind of been on your radar lately, |
| 1:04.7 | things that you find interesting? |
| 1:07.9 | Yeah, a couple of things. |
| 1:09.6 | Obviously, a couple of months since I was last on, |
| 1:11.8 | so a lot being going on. We had the volatility at the end of the summer, midsummer, I guess, |
| 1:16.5 | and we'll talk about that later. And then as we went into August, we had Jackson Hole. |
| 1:20.5 | And I think Jackson Hole is always interesting because it revolves around a particular |
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