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.
#toptraders #investing #trendfollowing #cta
Episode Summary
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 of 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?
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
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iTunes: https://itunes.apple.com/us/podcast/top-traders-unplugged-niels-kaastrup-larsen-engaging/id888420325?mt=2
Spotify: https://open.spotify.com/show/2OnOvLbIV3AttbFLxuoaBW
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PIMCO: https://www.pimco.com/
#toptraders #investing #trendfollowing #cta
Episode Summary
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 of 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?
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
===
Subscribe to our podcast:
iTunes: https://itunes.apple.com/us/podcast/top-traders-unplugged-niels-kaastrup-larsen-engaging/id888420325?mt=2
Spotify: https://open.spotify.com/show/2OnOvLbIV3AttbFLxuoaBW
Follow us on social media:
TWITTER: https://twitter.com/TopTradersLive (@TopTradersLive)
FACEBOOK: https://www.facebook.com/toptradersunplugged
INSTAGRAM: https://www.instagram.com/toptradersunplugged
SOUNDCLOUD: https://soundcloud.com/toptradersunplugged-com
PIMCO: https://www.pimco.com/
