TTU61: CTAs as Portfolio Diversifiers ft Peter Kambolin of Systematic Alpha Management
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 20 January 2015
⏱️ 37 minutes
🧾️ Download transcript
Summary
Peter Kambolin comes from the short term CTA space, and thus has a different perspective than some of our previous guests for our Year in Review theme this month. He discusses how the events in Crimea and Russia shaped markets, how divergence played a role, and how his firm made small changes to models and even added a new product line in 2014.
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In This Episode, You’ll Learn:
- How the year went for Peter and his two different strategies that his firm trades.
- Why it was a challenging year for mean-reversion type strategies.
- What markets did well in his portfolio.
- What he learned from 2014 and what he would do differently.
- The minor adjustment they made to the model in October.
- How they adjusted or reacted to world events in 2014.
- Why they don’t trade certain markets because most trades are not made by humans.
- What would divergence do for his trading models.
- How they improved their backtesting in 2014.
- How to avoid an inflow of capital that will only leave a year or two later.
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Resources & Links Mentioned in this Episode:
Listen to 2 hour-long episodes with Peter on this podcast here and here.
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
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And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Peter Kambolin on LinkedIn.
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Transcript
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| 0:00.0 | I think investors this time around will be a lot more careful from the standpoint of their |
| 0:07.8 | allocations. |
| 0:08.8 | I don't think it's smart to give all your money to similar CTAs that have 65, 70% correlation |
| 0:15.6 | for one and other. |
| 0:16.6 | I think this time around investors will have a lot more diversified CTA portfolios with some short-term |
| 0:22.7 | guys, with some mean reversion, momentum guys. |
| 0:26.3 | And it will be good for them and it will be good for the industry because unlikely that |
| 0:30.5 | portfolio diversified CTAs will have the same drawdown as some of the longer-term CTAs |
| 0:36.1 | had back in 2010 and 11. |
| 0:38.3 | Well, this is Peter Cambodlin, founder and CEO of Systematic Alpha Management in New York, |
| 0:50.3 | and you're listening to my year-in review on Top Traders Unplugged. |
| 0:54.9 | Imagine spending an hour with the world's greatest traders. |
| 0:58.7 | Imagine learning from their experiences, their successes, and their failures. |
| 1:03.1 | Imagine no more. |
| 1:05.0 | Welcome to Top Traders Unplugged, the place where you can learn from the best hedge fund managers in the world, |
| 1:10.7 | so you can take your manager due diligence or investment career to the next level. |
| 1:15.7 | Here's your host, veteran hedge fund manager, Niels Kastrop Larson. |
| 1:27.4 | Welcome back, Peter, for this review of 2014, where we look at the big events from the point of view of your trading strategies. |
| 1:36.1 | I want to explore both the ups and the downs as well as the big takeaway from what can only be described as an interesting year for systematic trading strategies in |
| 1:45.1 | general. But as we know, just because you're systematic in your trading, it doesn't mean that |
| 1:50.6 | your strategy deals with market events in a similar way. So I want to just jump right in really |
| 1:56.5 | and talk to me about 2014 from your perspective and how the year evolved and both from, |
... |
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