TTU136: Trend Following... C'est la vie ft. Philip Seager, Head of Absolute Return at Capital Fund Management
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 3 March 2023
⏱️ 70 minutes
🧾️ Download transcript
Summary
Today, we are joined by Philip Seager, Head of Absolute Return at Capital Fund Management (CFM), for a conversation on how they incorporate trend following in their investment strategy. We discuss their research on how trend following has performed historically and how they use the data in their trading and the role trend following play in their portfolio construction. We also discuss the right way of doing research when it comes to quant based strategies and how they differentiate themselves from other trend followers, how they keep risk stable and forecast gaps in markets, how you should use trend following in a multi-asset portfolio and how they estimate capacity, the risk of investing in a replicator strategy and much more.
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Episode Timestamps:
02:05 - Introduction to Capital Fund Management
05:32 - Their investment philosophy
12:27 - Periods of under-performance
19:13 - Trend following - a small piece?
24:58 - Do Trend Followers have a dual mandate?
31:32 - Their research process
36:22 - Enhancing a trend program
37:46 - Using machine learning
40:47 - Different types of trend followers
46:56 - Controlling the risk
51:20 - Dealing with drawdowns
54:44 - Achieving convexity
57:03...
Transcript
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| 0:00.0 | And I think that it was a much faster move that with our, you know, convexity product, we managed to capture some of that. |
| 0:18.0 | But because it was a short-lived move, or even like February 2018 as well, |
| 0:24.7 | you know, that's really too quick to be caught by most CTAs. So you just have to be careful of |
| 0:32.5 | that. There is protection, but it's a certain type of protection. |
| 0:38.7 | 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, |
| 0:51.4 | the place where you can learn from the best hedge fund managers in the world, |
| 0:55.2 | so you can take your manager, due diligence, or investment career to the next level. |
| 0:59.8 | 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, |
| 1:07.4 | and past performance does not guarantee or even infer anything about future performance. |
| 1:12.5 | Also understand that there's a significant risk of financial loss with all investment strategies, |
| 1:16.7 | and you need to request and understand the specific risks from the investment manager |
| 1:21.3 | about their product before you make investment decisions. |
| 1:24.6 | Here's your host, veteran hedge fund manager, Niels Kostrup Larson. |
| 1:33.6 | Hey everyone and welcome to another edition of TopTraders on Block, where today Alan Dunn and I |
| 1:38.0 | are joined by Philip Seeger, head of absolute return at Capital Fund Management, as part |
| 1:42.5 | of our mini-series focusing on the one investment |
| 1:44.9 | strategy that beat everything else in 2022, namely trend following and managed futures more broadly. |
| 1:50.4 | First off, Phil, it's great to have you on the podcast. Thanks so much for joining us today. |
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