TTU132: Trend Following Evolution ft. Ed Tricker, CIO of Quant Strategies at Graham Capital Management
Today, we are joined by Dr. Edward Tricker, Chief Investment Officer of Quantitative Strategies at Graham Capital Management, joined Top Traders Unplugged for a discussion on Graham's approach to quantitative macro investing. The discussion touches on a variety of interesting topics including the evolution of trend-following, diversification, portfolio optimization, and "crisis alpha." Dr. Tricker also discusses how Graham partners with investors to help them solve for their specific portfolio needs, as well as why collaboration is critical in his team’s research process and the firm's risk management philosophy.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.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.comAnd 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 Alan on Twitter.Learn more about Graham Capital Management.Episode Timestamps:02:16 - Introduction to Graham Capital Management04:00 - Their investment philosophy09:35 - The art of modelling12:33 - Too concerned about Sharpe?17:14 - Working together with clients20:17 - The "real" objective23:22 - Commodities - A saver in crises?27:32 - What strategies to add in a 60/40?32:54 - Their research process37:28 - Evaluating managers and strategies40:20 - Regime shifts and changes in markets44:11 - Recalibrating parameter selection48:34 - Their approach to look-back and signal generation54:01 -...