TTU143: How to stay Sharpe ft. Guillaume Jamet, Co-CIO at Metori Capital Management
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 17 April 2023
⏱️ 64 minutes
🧾️ Download transcript
Summary
Guillaume Jamet, Co-CIO at Metori Capital Management joins us for a conversation on how pivoting to a rigorous scientific approach uncovered ways of better capturing trends in markets. We discuss his "alternative" view on Sharpe and why being a trend following CTA is not as easy as it might seem and how they break down conventional rules in markets to fix what is not working. We also uncover how Guillaume would approach manager selection if he was on the other side of the table and the pros and cons of trading alternative markets in China, how they make investors embrace trend following in their portfolio and much more.
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Episode Timestamps:
02:17 - Introduction to Metori Capital Management
04:08 - Their investment philosophy
09:47 - An alternative view on Sharpe
18:44 - Adding value to a trend following program
21:08 - Signal filtering and embedding correlations
24:46 - The better technique and right timeframe
27:35 - Selecting and changing parameters
30:18 - Their view on replication
32:50 - Advice on evaluating and selecting managers
35:48 - Benefiting from alternative markets
39:30 - The risk of alternative markets
41:29 - Looking beyond China
42:18 - Incorporating ESGs with alternative markets
45:20 - Overcoming investors' trend following barriers
49:39 - The role of trend in a multi-asset portfolio
53:47 - Are risk mitigation strategies going out of fashion?
55:49 - Too much money in trend following?
58:57 - Trend following disagreements
01:00:56 - Expectations for 2023
01:02:55 - Thanks for listening
Copyright © 2025 – CMC AG – All Rights Reserved
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Transcript
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| 0:00.0 | This is clearly an environment where lots of things might change in the coming months or on the year. |
| 0:14.0 | And actually, I think that the benefits of a strategy like CTAs is you're going to, they're going to adapt. |
| 0:21.6 | They have no bias or constraints that force them away from those potential opportunities. |
| 0:28.6 | That's the great thing about our strategies. |
| 0:31.6 | You know, if you're only equity manager, their situation where there's nowhere to hide. |
| 0:36.6 | On the opposite, CTAs might be much more |
| 0:40.4 | flexible and able to navigate. Imagine spending an hour with the world's greatest traders. |
| 0:50.6 | Imagine learning from their experiences, their successes, and their failures. |
| 0:55.0 | Imagine no more. |
| 0:56.9 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund managers in the world, |
| 1:03.1 | so you can take your manager due diligence or investment career to the next level. |
| 1:07.7 | Before we begin today's conversation, remember to keep two things in mind. All the |
| 1:12.0 | discussion we'll have about investment performance is about the past, and past performance does |
| 1:16.6 | not guarantee or even infer anything about future performance. Also understand that there's a |
| 1:21.6 | significant risk of financial loss with all investment strategies, and you need to request and |
| 1:26.4 | understand the specific risks from |
| 1:28.3 | the investment manager about their product before you make investment decisions. |
| 1:32.5 | Here's your host, veteran hedge fund manager, Nealz Kostrup Larson. |
| 1:41.8 | Hey everyone, and welcome to another edition of Top Traders on Block, where today Alan Don |
| 1:46.0 | and I are joined by Guillaume Jermay, co-founder and co-CIO at Metori Capital Management |
| 1:51.1 | as part of our mini-series focusing on the one investment strategy that beat everything else in |
| 1:55.9 | 2022, namely trend following and managed futures more broadly. |
... |
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