Insights into Quantitative Macro Investing | feat. Ed Tricker | Top Traders Unplugged 132

Описание: 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.

#toptraders #investing #trendfollowing #cta

Episode Summary
02:16 - Introduction to Graham Capital Management
04:00 - Their investment philosophy
09:35 - The art of modeling
12:33 - Too concerned about sharpe?
17:14 - Working together with clients
20:17 - The "real" objective
23:22 - Commodities - A saver in crises?
27:32 - What strategies to add in a 60/40?
32:54 - Their research process
37:28 - Evaluating managers and strategies
40:20 - Regime shifts and changes in markets
44:11 - Recalibrating parameter selection
48:34 - Their approach to lookback and signal generation
54:01 - Static vs. dynamic position sizing
59:03 - Liquidity in markets
01:02:17 - Reacting to changes in markets
01:06:34 - Discretionary interventions in markets
01:10:14 - Trend following disagreements
01:11:35 - Expectations for 2023

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Graham Capital: https://www.grahamcapital.com/