TTU123: Trend Following Master Class ft. Russell Korgaonkar, CIO at Man AHL
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 16 January 2023
⏱️ 67 minutes
🧾️ Download transcript
Summary
In this first episode of the new mini series with the largest and most successful trend followers in the world, we are joined by Russell Korgaonkar, CIO at Man AHL, for a conversation on how Man AHL uses trend following in their trading strategy. We discuss the philosophy behind their work and why they believe trend following is a great strategy, as well as what makes Man AHL stand out to investors and how they make trend following more digestible while maintaining "crisis alpha". We also discuss Korgaonkar’s view on CTA replication and their process of improving their trend following system and models, why having a good execution system is important for enabling different sources of alpha and why they use dynamic position sizing to maximize their returns, how they overcome periods of drawdowns and how you price your work as a CTA, how much you should allocate to trend and much more.
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Episode Timestamps:
00:00 - Intro
02:22 - Introduction to Man AHL
03:45 - Their trading strategy
06:18 - Why does trend following work?
10:11 - A unique type of trend following?
15:46 - A trade-off in the objectives
19:14 - The effect of adding carry
21:13 - Picking from the strategy menu?
22:46 - Too much focus on Sharpe?
24:33 - Replication - yay or nay?
29:54 - Have...
Transcript
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| 0:00.0 | We always think clearly as investors ourselves, what's most likely to work going forward? |
| 0:13.0 | And if you take a very basic model from 20 years ago, is it likely to work as well going forward as models that have been |
| 0:23.4 | refined and have had new features added and where you've changed your execution profile, |
| 0:28.2 | all these different improvements? And the answer is that it's easy to replicate the past. |
| 0:35.4 | It's quite difficult to replicate, you know, relatively |
| 0:38.7 | sophisticated strategies going forward. |
| 0:42.5 | Imagine spending an hour with the world's greatest traders. |
| 0:46.3 | Imagine learning from their experiences, their successes, and their failures. |
| 0:50.8 | Imagine no more. |
| 0:52.7 | Welcome to Top Traders Unplugged, the place where you can learn from the |
| 0:56.8 | best hedge fund managers in the world so you can take your manager, due diligence, or investment |
| 1:01.6 | career to the next level. Before we begin today's conversation, remember to keep two things in |
| 1:06.9 | mind. All the discussion we'll have about investment performance is about the past, |
| 1:11.3 | and past performance does not guarantee or even infer anything about future performance. |
| 1:16.3 | Also understand that there's a significant risk of financial loss with all investment strategies, |
| 1:20.5 | and you need to request and understand the specific risks from the investment manager |
| 1:25.1 | about their product before you make investment decisions. |
| 1:28.4 | Here's your host, veteran hedge fund manager, Nealz Kostrup Larson. |
| 1:36.9 | Hey everyone and welcome back to another edition of Top Traders on Plug, where today, Alan Don |
| 1:41.7 | and I are joined by Russell Koganka, who is the chief investment |
| 1:45.1 | officer at Mann-A-HL as part of our miniseries focusing on the one investment strategy |
| 1:49.4 | that beat everything else in 2022, namely trend following and managed futures more broadly. |
... |
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