TTU132: Trend Following Evolution ft. Ed Tricker, CIO of Quant Strategies at Graham Capital Management
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 17 February 2023
⏱️ 76 minutes
🧾️ Download transcript
Summary
Today, we are joined by Dr. Edward Tricker, Chief Investment Officer of Quantitative Strategies at Graham Capital Management, joined Top Traders Unplugged for a discussion on Graham's approach to quantitative macro investing. The discussion touches on a variety of interesting topics including the evolution of trend-following, diversification, portfolio optimization, and "crisis alpha." Dr. Tricker also discusses how Graham partners with investors to help them solve for their specific portfolio needs, as well as why collaboration is critical in his team’s research process and the firm's risk management philosophy.
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Episode Timestamps:
02:16 - Introduction to Graham Capital Management
04:00 - Their investment philosophy
09:35 - The art of modelling
12:33 - Too concerned about Sharpe?
17:14 - Working together with clients
20:17 - The "real" objective
23:22 - Commodities - A saver in crises?
27:32 - What strategies to add in a 60/40?
32:54 - Their research process
37:28 - Evaluating managers and strategies
40:20 - Regime shifts and changes in markets
44:11 - Recalibrating parameter selection
48:34 - Their approach to look-back and signal generation
54:01 -...
Transcript
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| 0:00.0 | We are masters of our own destiny. |
| 0:09.0 | We don't need to cross our fingers on hope for the best. |
| 0:12.0 | Systematic strategies can to an extent make their own reality. |
| 0:15.0 | And I think that means that we can create things that people will find increasingly helpful as a lot of their traditional |
| 0:22.5 | outlets for offsetting diversifying risk are starting to diminish. |
| 0:27.1 | So I think the outlook looks very, very positive from a research perspective and also from |
| 0:33.1 | our ability to raise assets and to play an important role of people's portfolios. |
| 0:38.6 | Imagine spending an hour with the world's greatest traders. |
| 0:42.5 | Imagine learning from their experiences, their successes, and their failures. |
| 0:47.0 | Imagine no more. |
| 0:48.9 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund |
| 0:53.7 | managers in the world so you can take your the best hedge fund managers in the world, |
| 0:55.1 | so you can take your manager, due diligence, or investment career to the next level. |
| 0:59.7 | Before we begin today's conversation, remember to keep two things in mind. |
| 1:03.7 | All the discussion we'll have about investment performance is about the past, |
| 1:07.1 | and past performance does not guarantee or even infer anything about future performance. |
| 1:12.4 | Also understand that there's a significant risk of financial loss with all investment strategies, |
| 1:16.6 | and you need to request and understand the specific risks from the investment manager |
| 1:21.2 | about their product before you make investment decisions. |
| 1:24.5 | Here's your host, veteran hedge fund manager, Niels Kostrup Larson. |
| 1:33.8 | Hey everyone and welcome to another edition of Top Traders on Plog, where today, Alan Dunn and I are |
| 1:38.7 | joined by Ed Tricker, chief investment officer of quantitative strategies at Graham Capital |
... |
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