SI89: Trend Following EFTs and Asness vs Taleb ft. Rufus Rankin

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 24 May 2020

⏱️ 58 minutes

🔗️ Recording | iTunes | RSS

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Summary

We’re joined by special guest, Rufus Rankin of Ampersand Investment Management, to discuss Trend Following ETFs, the definition of a truly diversified portfolio, flat-fees versus performance-based fees, how to choose between different managers, learning from Q1 2020, predicting CTA returns, and the recent public spat between Cliff Asness & Nassim Taleb. Questions we answer include: Are Trend Following CTAs seeing an increase in client interest after this year’s stock market crash? What non-USA or Europe markets are CTAs currently interested in? If you would like to leave us a voicemail to play on the show, you can do so here. Learn more about the Trend Barometer here. IT's TRUE - most CIO's read 50+ books each year - get your copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to [email protected] Follow Niels, Jerry, & Moritz on Twitter: @TopTradersLive, @RJparkerjr09, and @MoritzSeibert And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro1:26 - Macro recap from Niels4:06 - Weekly review of returns7:20 - Niels: How what was your journey into this industry?8:57 - Niels: How did you end up allocating capital to CTAs?10:05 - Niels: Do you view Trend Following as a philosophy?12:50 - Niels: What are your thoughts about truly diversified portfolios?17:28 - Moritz; If we can’t forecast CTA returns, do you think we should allocate capital to as many CTAs as possible?20:02 - Niels: What percent of a whole portfolio would you recommend to Trend Following, and what would investors be comfortable with?19:02 - Moritz; Do you only allocate to Trend Following CTAs?22:41 - Moritz; Do you consider yourselves to be a ‘fund of funds’?23:11 - Moritz; How do you handle client pressure surrounding double-layering of fees?24:17 - Niels: Who do you think drives the demand for flat-fees, rather than performance-based fees?26:03 - Niels: What do you think of cheap Trend Following replication products versus full-cost, long-established, Trend Following funds?30:16 - Moritz: Do you still think CTAs are worth their performance fees?32:30 - Niels: How do you choose between different managers?35:19 - Moritz: When do you stop adding CTAs to your portfolio, for diversification?37:15 - Moritz: How do you gain exposure to your chosen CTAs?38:44 - Niels: How has 2020 been for you so far?40:09 - Niels: What are some of the things you learned from Q1 2020?42:52 - Moritz: How has machine learning added value during Q1 2020?44:41 - Question 1; Michael: Have you ever considered creating a Trend Following ETF?48:49 - Niels: Would Trend Following ETFs be required to disclose the rules of the strategies?44:41 - Questions 2&3; Brian: Are Trend Following CTAs seeing an increase in investor interest, post the 2020 market crash? What non-USA or EU markets are CTAs currently interested in?53:31 - Performance recap Subscribe on:

Transcript

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0:00.0	You're about to join Jerry Parker, Maritz Siebert, and Niels Kostrup Larson on their raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:15.1	Welcome to the Systematic Investor podcast series.
0:22.9	Moritz Siebert and I, Niels Kastaflastner,
0:24.8	are back with this week's edition of the Systematic Investor Series,
0:27.6	which is our weekly ongoing raw exploration of the world of rules-based investing,
0:31.8	and of course where we also take some of your questions.
0:34.9	But today, we're going to deviate a little bit from our usual format
0:38.3	because we have a fantastic guest joining us, namely Rufus Ranking, who's the co-founder
0:42.9	of Amper San Investment Management. Rufus has been in our industry for a very long time, and I'm
0:48.9	sure you will agree. It's a great time to have him on, as lots of things are happening right now.
0:55.0	Now, before we turn to you rufus as we normally do morris and i is just going to run through a
1:03.1	few things that caught our attention this week so first of all welcome and nice to have you here,
1:11.6	and Moritz, nice to see you again as well, of course.
1:15.4	But if you have an extra sip of your morning coffee,
1:18.4	then Morris and I will do our little introduction
1:21.2	before we get into all the details we want to talk to you about.
1:24.4	Hope that sounds fine.
1:26.1	That's great.
1:27.1	Good stuff. Now, this week,
1:31.1	in one sense, not a lot happened that at least called my attention. Of course, we have the usual
1:36.9	things such as the Fed balance sheet that keeps growing significantly. We're up to $6.9 trillion
1:43.1	now, another $180 billion since the week before
	...

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