TTU138: Need for Speed in Trendfollowing ft. Matt Dorsten, Portfolio Manager at PIMCO
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 13 March 2023
⏱️ 63 minutes
🧾️ Download transcript
Summary
Today, we are joined by Matt Dorsten, Portfolio Manager within the Quantitative Strategies group at PIMCO, for a conversation how they manage 60 billion dollars through different quant strategies, of which app. $5bn is in Trend Following. We discuss their process of constructing portfolios using a defensive approach and how they manage to simultaneously maintain a high Sharpe, keep a balance between long and short trades and how they use tail "hedging" in their design of the strategy. We also discuss why they believe having a broad universe of markets is key and why they see a big potential in exotic markets, why they believe it is better to trade faster as a trend follower when markets are liquid enough, their process of measuring the expected returns and much more.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode Timestamps:
02:28 - Introduction to PIMCO
05:11 - Their investment philosophy
11:11 - Too concerned about the Sharpe?
14:53 - A different Speed of trend following
18:13 - Building a defence against equity drawdowns
22:32 - Balancing the opposing forces
25:45 - A different approach to volatility correlation?
27:06 - Using machine learning
28:04 - The role of bonds
31:34 - The larger portfolio perspective
33:07 - Their research process
36:53 - Number of markets
39:01 - Their view on CTA replication
42:10 - Need for speed?
44:28 - Different models for different markets?
45:50 - Hitting the gas?
48:02 - Cap the equities?
49:14 - Adding non-priced based signals
50:31 - How many strategies do you actually need?
51:17 - What is second best Tail Hedge?
52:15 - Framing the expected outcomes
54:04 - Their sense on liquidity
55:38 - Trend following disagreements
57:05 - Expectations for 2023
59:49 - Running trend following in a bond shop
01:01:29 - Thanks for listening
Copyright © 2025 – CMC AG – All Rights Reserved
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2. Daily Trend Barometer and Market Score
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And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Transcript
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| 0:00.0 | The most important thing I would mention, aside from the defensive profile of trend falling |
| 0:11.3 | is just the universe. That's one thing I think people should really focus on making sure when |
| 0:16.9 | they're investing in trend falling that they're getting material exposure to a very broad |
| 0:21.0 | universe because as I mentioned trends being relatively rare your best chance of success is having |
| 0:26.7 | exposure to these strange corners of the market and I don't mean just having them in the portfolio |
| 0:31.0 | in some token amount but having material exposure to things like European power or or Hungarian interest rates when trends pop up |
| 0:39.6 | there. So I think that's a very important thing to keep in mind. Imagine spending an hour with |
| 0:45.9 | the world's greatest traders. Imagine learning from their experiences, their successes, |
| 0:50.7 | their successes, and their failures. Imagine no more. Welcome to Top Traders Unplugged, the place where |
| 0:57.4 | you can learn from the best hedge fund managers in the world so you can take your manager, |
| 1:01.8 | due diligence, or investment career to the next level. Before we begin today's conversation, |
| 1:07.0 | remember to keep two things in mind. All the discussion we'll have about investment performance is about the past, |
| 1:12.8 | and past performance does not guarantee or even infer anything about future performance. |
| 1:17.8 | Also understand that there's a significant risk of financial loss with all investment strategies, |
| 1:22.4 | and you need to request and understand the specific risks from the investment manager about their product before you make investment decisions. |
| 1:29.9 | Here's your host, veteran hedge fund manager, Niels Kostrup Larson. |
| 1:38.9 | Hey everyone and welcome to another edition of Top Traders on Plot, where today, Alan Don and I, I joined by Matt Dawson, portfolio manager within quantitative strategies at PIMCO, as part of our mini-series focusing on the one investment strategy that beat everything else in 2022, namely trend following and managed futures more broadly. |
| 1:56.7 | So first of, Matt, it is great to have you on the podcast. |
| 1:59.8 | Thanks so much for joining us today. |
| 2:01.6 | We really have been looking forward to our conversation. |
| 2:04.2 | I hope you're doing well on the West Coast. |
| 2:06.8 | Yeah, thanks for having me. |
... |
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