SI352: Trend Systems Under Strain ft. Nick Baltas

Episode Transcript
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(00:01):
You're about to join NielsKaastrup-Larsen on a raw and honest
journey into the world ofsystematic investing and learn about
the most dependable andconsistent, yet often overlooked
investment strategy. Welcometo the Systematic Investor Series.

(00:23):
Welcome and welcome back tothis week's edition of the Systematic
Investor series with NickBaltas and I, Niels Kaastrup-Larsen,
where each week we take thepulse of the global markets through
the lens of a rules basedinvestor. And let me also say, a
very warm welcome. If today isthe first time you're joining and
if someone who cares about youand your portfolio recommended that
you tune into the podcast, Iwould like to say a very big thank

(00:44):
you for sharing this episodewith your friends and colleagues.
It really does mean a lot tous. Nick, it is wonderful to be back
with you this week. It's beena little while. It feels like that
at least. How have you been?How are you doing?
Yeah, I'm glad I'm back. It'sbeen maybe like a couple of months
almost.
Yeah.
I think last time we caught upwas post this whole liberation situation

(01:07):
in April. I'm doing well. I'mdoing well. We're getting closer
to I guess the end of thefirst half, which is quite insane,
to be honest with you. I waskind of thinking that through. It's
already June. I'm doing well.I've done my fair share of my global
trips, being in all regions sofar, spending a bit more time with
the team now thinking aboutnew products, new ideas and researching,

(01:29):
but also looking forward to abreak. And it's going to come in,
I guess in five, six weeks orso. So.
Yeah.
How about you?
Yes, not too bad actually.Like you, not a lot of business travel
at the moment, so it's morerelaxing. And as you say, the, the
summer is here, although it'sbeen a bit wet in Switzerland and
but anyways, we'll see how thesummer turns out as usual. And there's

(01:54):
actually something that'salways interesting to ask you about
when we don't speak that oftenunder this what's been on your radar.
But I'm gonna let you go firstbecause I'm always interested to
hear kind of what's comeacross your desk that you, that we're
not going to be talking aboutbut that you find interesting at
the moment.
I was kind of thinking throughwhat, what should be the one, and

(02:14):
maybe the one that is catchinga bit more of my attention is this
whole proliferation of thosenew machine learning techniques in
the AI space and how it hasbeen evolving in terms of tools we
can use, but also in terms ofharvesting and extracting data. These
days, every other day I get anemail about a new data vendor that

(02:35):
simply came up with a newalgorithm that somehow tries to extract
sentiment or extract alpha orextract something that fundamental
data or more conventional datacannot allow us to get access to.
So I'm kind of witnessingthat. I'm not saying that I'm in
favor or against by anymeasure, so I don't want to be misread
in this regard, but there's somuch data that in itself is giving

(02:57):
rise to so much data. And thenbeing in a business whereby we build
systematic strategies, I'malways kind of questioning what's
the value add, but also how, Iguess, how perpetual that value can
be through time, and what arealso the best ways of assessing this
type of data and assessing thevalue that it can bring, or the alpha

(03:18):
that they can be used toextract and how that can decay through
time and what are themechanisms that it can decay through
time. So all this part is oneof the things that I guess keep me
up. Not at nights, butcertainly keep me up in daytime.
And maybe related to thatpart, there's a good amount of debate

(03:41):
right now, and I'm not evenclaiming that I'm an AI expert in
this regard. There's a lot ofdebate as to how plausible and truthful
the reaction of those LLMmodels is to the prompts that we
give them, which also can gothe other way around and make you
kind of doubt every answeryou're getting. And maybe that's

(04:04):
more like a philosophicaldiscussion, or maybe that's more
of a mental. A version that,you know, I start building, maybe
for the wrong reason, butevery time now go and kind of chat,
okay, let me ask one thing orthe other thing or the other thing.
I'm like, is that actuallytrue, or should I kind of start doubting
about it? And the minute youend up doubting so much, you're almost
kind of becoming averse to theuse of it. But I cannot argue that

(04:29):
it's like, it's extremelypowerful. So I guess in you know,
managing text and summarizingand doing all that stuff that, you
know, many people haveactually discussed, I think even
Rich mentioned that last week.It's extremely powerful. I remember
one day I kind of basicallyasked on purpose, okay, here's an
academic paper. I kind ofsummarize it. Pretty good job. And

(04:50):
I was like, okay, give me,like, the ten most important references
that I should go and read. Onthe back end of this paper, complete
disaster. Because I know thetopic, either it was mixing names
or was mixing titles, butobviously not being an expert. And
you read it through like, wow,These are the 10 references. Let
me try Google them. They'renowhere to be seen. Nowhere to be
seen. So I think, anyway, Idon't think I'm coming to some, I

(05:17):
guess, I don't know, outcomeof those considerations. But kind
of summarizing that part, allthis proliferation of tools and machines
and data has gotten me, maybebecause of my business activity,
to, I guess, doubting a bitmore what the outcome or the alpha
or the value that it is froman investment standpoint, but then

(05:38):
using it as an individual, Iend up doubting with the outcome,
but I don't want to go againstthe technology that I can actually
feel. It's so powerful. So I'mkind of trying to balance that part.
To put it this way. Does itmake sense?
It makes sense. And I think no.
So, yeah, it's on my mind.It's on my mind because I'm using
those tools more and more andI'm getting those new data more and
more and I'm asking the teamto test those data more and more

(06:00):
and more. So that's why it'skind of, I guess, part of my day.
It's clearly on your radar,that's for sure. I think we can tick
that box today. But I thinkyou bring up a few really important
points. Firstly, you bring upthis balance that we as managers
and other people in our spacealways have to deal with. It could

(06:22):
be, for example, the simpleone could be, should we be long term
or should we be short term.But the other one is, as you say,
the data, what kind of input.And of course, these narratives that
we've heard come, you know,become more and more changed over,
over the years, for example,with alternative data. Right. And.
And so on and so forth. So thequestion will always what should

(06:42):
we focus on? And what. And.And saying no to certain innovations
are as important as saying yesto the right innovations. So I fully
understand your, your thechallenge. And also, by the way,
this thing about notnecessarily that the ChatGPT can
give you correct facts, Ithink a lot of people say that you

(07:03):
should be really careful. Andit's interesting that you bring that
up because on my radar thisweek was a news story that I think
was in the FT or another paperthis, this week, and it basically
says that the United ArabEmirates is set to become the first
country in the world toprovide Free, free chat, GPT plus

(07:24):
access to all of its citizens.A move that can fundamentally transform
education. So you're, you'rekind of hitting on, on a really important
point and that is okay, yeah,it sounds great. You can have your
own personal education throughchat, GBT plus. But what if it's
giving you the wrong facts? Imean, it's interesting, right?

(07:49):
I think it is. I mean I didsee this piece of news and I was
like, wow, here's where we'regoing now. I guess governments and
governmental entities aredeciding upon the tools they provide
to the society and I guessthey're happy to pay a subscription
for these type of services.It's almost like social services

(08:09):
now that you're beyond healthand security. And that now is like
a premium access to judge epitome.
So what I also saw, or atleast I think I saw, I seem to remember
this, that is that there wasan article about students in, I think
it was China getting ready fortheir entry exams for universities.

(08:31):
And as far as I remember itsaid something about in the, in the,
in the article that actuallyChina was shutting down all of these
tools for, for one week whilethe students were taking their exams.
So they couldn't cheat, orlet's call it cheating, not cheating,
but they couldn't get anyhelp, let's call it that a very different
way of dealing with things. Right.

(08:52):
It's fascinating, right? I hadso my undergrad, I did that between
1999 and 2004. And I rememberat the time studied engineering.
Right. I remember at the timepast the first or the second year,
um, most of the courses wouldbe like an open book, open computer,
open laptop, whatever policieslike you. Basically the, the exam

(09:13):
was like bring whatever youneed as long as it doesn't breathe.
Right?
Right. So bring whatever youneed like new books, references,
papers, you know, yourcomputer, your laptop, whatever.
We don't actually care. Theseare the questions. You have all the
information you have in frontof you and accessible to you, just
go on and do it. And now youcan see precisely to your point how

(09:33):
completely the opposite routethis can potentially go because obviously
those tools can, can, canreplicate or replace guest cognition
in this regard. So yeah, I doremember those days. You had all
the information accessible.
Yeah. And still it was hard,of course, but now, of course the
difference is now you have allthe information and someone quote

(09:56):
unquote, who can do it for youif you were using these tool, the
AI tools during your exam.Right? So if you, it, it, it levels
the, or it, it it ups the game.
It doesn't breathe, by theway. And it doesn't breathe.
Not, not yet. But, but, butyou do think, I mean you do think,
well, maybe China is, maybeit's a proper approach saying, well

(10:17):
if, if you want to show whatyou can really do to get into this
university, you kind of needto do it on your own. Maybe that's
not a bad approaching.
For sure not.
Yeah, for sure. So my. It's alittle bit, it's a little bit political,
which is something I normallydon't talk about here. But since
I am spending this week inDenmark, I couldn't help notice that

(10:40):
once a year we have this eventwhere all the politicians and kind
of CEOs of companies, etc,etc, they get together with the people.
It's called like at thepeople's meeting, annual meeting
or something like that. Sothey get together for three days
and they discuss things, youknow, politics of course in particular.

(11:04):
But the reason I'm mentioningit is that what I do find is so refreshing
actually is to see, you know,a democracy like this where politicians,
they, yeah, they can disagreeon politics but they're also friends
and they can sit down and havea coffee and a beer afterwards and,

(11:25):
and they can intertwine with,you know, normal human beings, so
to speak, citizens and heartheir views point, et cetera, et
cetera. And you can trust thatwhat's going on right now in different
countries where we are headingin the complete opposite direction
and at a time where, you know,democracy is certainly changing and

(11:46):
is under, under pressure. So Ijust thought, you know, if there
was anything that shouldinspire people, it's just to see
how it's, it's being done for,for three days like this. It's actually
quite, yeah, I think it'squite optimistic when you see it
like that.
Interesting, interesting. Okay.
All right, let's move tosomething maybe not quite as optimistic

(12:10):
trend following performance review.
I'll let you around with that.
Well, actually June is not sobad. So June is a little bit kinder
to our style of investing forsure. Although I will say trends
are pretty scarce still. Thereare very, very few bright points
or bright spots in theportfolio. But those that are also
coming from slightly unusualplaces like the livestock sector,

(12:34):
which is like lean hogs and onlive cattle, they've actually had
some really good trends. I'msure many managers have enjoyed equities.
Of course. Here we are, I meanDax, at new all time highs, US markets
close to all time highs again.And this is of course a little Bit
unfortunate. We had liberationday because a lot of the long positions

(12:58):
got cut, you know, around thelow managers locked in losses, didn't
have a lot of exposure to, toenjoy the, the real liberation, so
to speak, the upside momentumthat came back. But, but I do think
this is, and, and this willalso open the debate a little bit
about, you know, time frame.But I generally think that long term

(13:22):
trend followers at leastprobably and thankfully didn't reverse
positions and go short onequities. That's not my impression
of course. Shorter termmanagers may have done so. So. But
generally speaking, a littlebit better environment before I go
through the performancenumbers. Obviously love to hear your

(13:43):
thoughts on where we are fromyour perspective and the kind of
strategies that you follow.
So I mean look, I would agreewith the fact that kind of April
was another V shape as the onewe saw last year with the dollar

(14:04):
yen and wind. And certainly aV shape is like two reversions one
after the other because thefirst one is when the market reverts
and then as it hits kind ofsome intermediate bottom, then it
bounces back again. So the tworeversions one after the other. So
obviously following trends.Yeah, that's exactly the recipe that
you're going to get hit twicespecifically if you're quite quick

(14:25):
responding. And that in itselfkind of crystallizes some losses.
So it is not a surprise thatboth last year in August and maybe
we can even go back to svb.Right, but that was a bit more isolated,
I would say in the fixedincome space. But anyway, those three
events, you know, one peryear, I'm not sure if the regime

(14:46):
is different and I think wehad this conversation a couple of
months ago. I'm not surewhether the markets are reacting
very different to information.I'm not sure if the information in
the market is a bit more shortlived and more noisy than what historically
was the case. I must say thatthe response, at least from the interactions
I have had from investors hasbeen yeah, we get it, it's a, it's

(15:07):
a V shape. You know, obviouslyif you're allocating into trend following,
you should not expect a Vshape to, to give you performance
specifically when over, overApril, every single asset class in
a way was incorrectlypositioned. You know, anywhere from
oil to rates to the dollar andobviously equities. So there's a,

(15:29):
I think a, I guess a notpositive but certainly a well understood
acknowledgment of what's goingon which has led to little activity
in terms of experiencingoutflows Actually none in this regard.
What is more important is toacknowledge the fact that maybe education,

(15:51):
maybe understanding, maybe theexperience so far has been pretty
much in line with expectationand the value that hopefully these
type of strategies bring in aprolonged downturn correction. To
your point, I don't think wehave seen a crisis year to date or
year on year that wouldsuggest that there is some crisis

(16:12):
alpha that is in need. So theyhave a specific role to play and
because the scenario has notmaterialized for that role to be
played, they still remain partof the portfolio. And also we get
more and more incomings andspecifically for this type of profiles.
So that is case number one interms of client interactions and

(16:34):
response to the event. I thinkthe one that certainly, and maybe
we'll discuss it a bit later,that certainly can raise some questions
and maybe we should notnecessarily react emotionally to
it, but more about study inmore detail is whether those V shaped
scenarios start becoming morefrequent and that frequency should
make us somehow rethink as tohow we design the strategies or maybe

(16:58):
how we manage risk or how wedistribute risk. I think we're going
to touch upon that later on.But that's maybe the second part
of my, of my response or my,my answer I guess to your question
in.
Terms of what's going on rightnow in the trend space. My own Trend
Barometer finished at 39 lastnight, so it's still a little bit
weak. But it's all on theother hand been relatively stable

(17:20):
the last few days since we'rerecording one day earlier than normal.
So these numbers that have isactually since Tuesday evening. And
the beta 50 index was up 1.17%for June, but still down 3.39% for
the year. SoC Gen CT index upabout 1% in June, down 7.6% for the

(17:44):
year. SoC gen trend up 1% aswell, down 10.4% for the year. And
the Short Term Traders Indexseeing a little bit of a reversal
of fortunes, down 64 basispoints and now it's down 3.32% for
the year, which again based onits low volatilities is, you know,
starting to be meaningful forthat index. MSCI World up 2% in June

(18:09):
as of last night, up 7% forthe year. The S&P US aggregated bond
index flat for June, but up2.31% for the year. And the S P 500
up 2.2% in June and up 3.29%so far this year. So we've got a

(18:32):
few key topics we wanted totalk about. But the first one, it's
kind of, you know,continuation of, of what we just
talked about. And that is thefact that, you know, people are certainly
who listen to this podcastfully aware that CTAs gone through
some, some challenging periodsthe last 12 to 14 months for most
managers, I would say. Butactually I was looking at the numbers.

(18:55):
Some managers are actuallysomewhat further away in time from
their all time highs. So I dosee some managers that made their
last all time high as as farback as 2022, although a lot of people
it's only been 12 to 14months. I will also say just to balance

(19:16):
the conversation that it'salso actually the fact for trend
replicators or CTA replicatingfunds, at least some of them are
in pretty long dated drawdownsby now. Maybe not, you know, they're
obviously off their lows, butthe, the drawdowns have been going
on for, for quite a while. Soit's not just the underlying managers,

(19:37):
it's also people, as it shouldbe, I guess, trying to replicate
these strategies. You kind ofmentioned that it ties into a conversation
we've had some time, some timeago where, where you were seeing
or, or thinking about sort ofstatic versus dynamic rebalancing.

(20:01):
And I have to be careful herebecause you're, you're thinking more
about sort of time varyingvolatility targets rather than position
sizing. So take us into thatworld and I may bring you back to,
to the old world, but let'stalk a little bit about what you're
observing.
Yes, so, and for the avoidanceof, of I guess, of any doubt to your

(20:23):
point, we're not going todiscuss how we think about positioning
at the individual markets andwhether that should be a static or
a dynamic allocation, dynamicscaling between them, for example.
I think both you and I agreethat there are benefits in this dynamic
risk scaling. So that's notpart of the conversation. Not that
we should be dogmatic, butit's not like the focus that I would

(20:45):
want to kind of bring here.It's more the fact that at the portfolio
level, building a strategywith some inputs in terms of signaling
some inputs in terms of risk,call it covariance structure or something
along those lines. Volatilityestimates, correlation estimates.
Ultimately you build aportfolio. We built a portfolio that

(21:06):
has some realized volatilityprofile and that realized volatility
profile more often than nottries to be within some ranges or
at times we even target acertain level of volatility. Just
because this also allows theend institutions to at least scale
the specific exposure in thisregard. Because if you know that

(21:27):
this portfolio is targeting orrealizes close to 10%, you know how
to scale it when you put itnext to your kind of 60, 40 portfolio.
So I think what I wanted tobring into the discussion is some
feedback I'm receiving from myconversations with investors whereby
there could be value inchanging dynamically through time

(21:48):
that level of volatility thatis targeted. And you know, you and
I have this discussion as towhether this is maybe var or maybe
realized volume of theportfolio. But broadly speaking,
if historically we have beenthinking more about a constant risk
or a constant portfoliovolatility, is there a scope for
that to be dynamic? And whywould it be dynamic? Because ultimately

(22:11):
reaching a certain level ofvolatility is a function of leverage,
which in itself is a functionof diversification or correlation
dynamics, which in itself isis a function of how directional
or mixed the positions are. Toyour point, if your barometer is
90%, then more likely than notyou have a lot of directional exposures,

(22:35):
maybe your long or equities oryour short or bonds. So the headline
risk there is pretty muchequity risk or interest rate risk.
But at times whereby thesignals are quite mixed, and let's
say your barometer is at 30,maybe you're like long half of the
equities and short the otherhalf. And in this regard, the portfolio

(22:55):
can be more diversified, butthis can have implications on the
overall correlation structure,on the overall leverage, and therefore
the overall portfolio level tobe hit in terms of volume. So that's
where I want to kind of tiltthe discussion. Let me make a pause
here in case you had anyremarks and then we can kind of continue
this discussion.
No, no, I do think it's veryinteresting and maybe the only thing,

(23:17):
again, just to maybe keepthings sort of clear, the way I see
it, and you and I just touchedon that briefly before we hit record,
is that you have kind of theschool of targeting Vol. There are
certainly definitely a lot ofmanagers doing that. You have the
school of people targetingvar, but where the volume actually

(23:41):
can fluctuate a fair bit. Butwhere you have a risk budget you
want adhere to. And then ofcourse you have people where not
to go into that direction.Right now at least is where they
say, okay, we just take aninitial risk and we let the volume
take care of itself. And ofcourse we've seen that in the last
year or so with some managersdoing that to an extreme where the

(24:04):
volatility of the portfoliohas gone like from 30 to 90 at times,
which is in my opinion a bitwild. But, but now I'm going to let
you continue and then we'll,we'll see where we go.
Okay, so maybe it's a bit ofan empirical observation. Maybe it's
a bit of, I guess, of anoutcome of my conversations. It,

(24:26):
it feels that over the lastyear or two or three, there has been
some attempt to move away froma static volatility target into something
that becomes a bit more of adynamic one. In other words, the
today I'm targeting 10%,tomorrow I'm going to target 8. The
day after I'm going to target12. Now why could that be relevant?
Because ultimately the levelof volatility, as just mentioned,

(24:51):
is purely and I guessmonotonically related to leverage.
The more leverage I have, themore Vol. I have, or to hit higher
level of volume, I need todeploy more leverage. That doesn't
necessarily make the strategymore defensive or less defensive.
You still have your trendsthat you somehow try to deploy. So
the question then becomes, isan uptick in the performance or a

(25:15):
downtick in the performancemagnified by higher level of leverage?
And is that the right time tohave it? Because you said already
right year to date, shorterterm or medium term, they're all
negative, some a bit more,some a bit less. That basically tells

(25:35):
us the following. Howeverquick or slow you are, the turning
point is a turning point. A Vshape is always a V shape. Maybe
you can benefit less if you'remedium term trend follower, but if
you're like quite slow, you'reprobably okay because you just get
the whole V shape and then youkind of move on with your life. If
you're super quick, maybe getsome of the turning point down and
some of the turning point up.So there are nuances on how performance

(25:59):
plays out. And I think whathappened in April is that, you know,
if you're super quick, youlose less in the beginning, but then
you don't recover as much. Ifyou're too slow, you're basically
going down with the market,but then you recover with it. So
the end point might be thesame, but the trajectory is quite
different. Getting you there.But all of them are kind of negative,

(26:19):
right? So said differently,there is no predictability of the
turning point. So the questionthen becomes how levered are you
entering into that point?Because if you're twice as levered
because you're going to be hitby the turning point, then you're
going to experience like a,you know, double the loss. You would
have Otherwise had, had younot increase the leverage? So here's
the question, or maybe theconsideration, or maybe the, I guess

(26:41):
the debate are those eventsthat, you know, we have gone through,
those V shape events we havegone through the last couple of years
hinting towards more frequentV shapes. And if those V shapes are
more frequent, and maybe I canquote Andrew here, speaking about
the signal to noise, which isextremely low in those environments,
are those environmentsinviting us to consider lower levels

(27:04):
of leverage? In other words,lower levels of volatility? Right,
that's, I think that's theconsideration here. Now, how can
somebody achieve that? I mean,it's hard, right? Because we can
probably say, okay, let's justreduce exposure when the performance
is negative. But then can youtime trend? I think it's hard, right?
Let alone the path dependencyit can create. Because if you start

(27:24):
reducing your exposure, thenwhat are you assessing yourself against?
The reduced exposure you justhave had or the ideal you should
have held but you decided tomove away from? So I don't think
it's an easy answer. But Ibelieve, and I feel, and even if
I look into the index itself,the soc gen trend index, it feels
that over the last year ortwo, the levels of realized vol are

(27:47):
slightly lower than whathistorically was the case. You know,
they maybe fluctuate between 7and 10 or 11, and historically you
can see values between 10 and12 or 13. So again, there's a lot
of averaging there, by theway. So it's hard to actually make
a case. But this is the pointthat I kind of wanted to bring. Right.
We know whether that level ofvolume is now as important to be
static or that should besomehow dynamic in a way that quantifies

(28:12):
or expresses the overallsignal to noise that exists out there.
That's basically the whole point.
Yeah. No, I certainly do feelthat I remember that there was for
a long period of time somemanagers who chose to target volatility
a certain level of volatilitycalled 15%. I do remember that. I

(28:35):
also think you're right insaying that there's probably been
a change. So that more andmore people, because I also seen
in the naming of programs theycall it dynamic something or whatever.
So I think you're right insaying that more managers today probably
have some kind of dynamicchanges, adjustments going on in

(28:58):
their either volume level orvar level. I think there are a couple
of interesting points relatingto that. One is why would they do
it, right? You know, why dothey? What's the motivation for doing
it? So of course we Would say,well it must be because then they
can maybe reduce some of thedrawdowns and maybe they can make,

(29:20):
you know, have more risk onwhen there are, you know, lots of
trends, maybe, ideally. So, sothat's one thing. And then of course
the other very interestingquestion, which we may not be able
to answer here, and that ishow do they do it? What drives the
decision to suddenly target ahigher volume or a lower volume?

(29:41):
Those are the interestingthings from your observations that
I would love to hear yourthoughts on.
So on the first part, whywould somebody do it? I think. Well,
I don't just think, I thinkeconomic theory suggests and I think
it has been proven by allsorts of social experiments that
investors and human beings areexposed to the so called disposition

(30:04):
effect. Said differently. Theyget or you know, you can call it
like the cumulative prospecttheory, we value less $1 of a gain
than the pain we experience ifwe lose $1. Right? So I don't know,
you give me a dollar, I becometwice as happy. I give you a dollar,
I become four times more sad.So on that basis, this asymmetry

(30:28):
of, of experiencing gains andlosses can eventually lead to a hypothesis
that says I'd rather be underlevered at the time that a drawdown
is happening because then Ican mitigate the loss even if I lose
some participation on theupside because I happen to have reduced

(30:48):
my exposure and then themarket kind of moved in that direction.
So yes, I mean, if I placemyself in 2022 and I do not deploy
as much those trends that wereprevailing at the not grossing up
the portfolio, yes, I wouldhave had a ramp up that would be
quite slower to the rest ofthe crowd. But you know what, in
a year that the rest do 20 andwe do 15, it's probably okay. But

(31:09):
a year where the rest do minus15 and we do minus 20, that's a bit
more harsh. So I think thatcan be the reason to, purely from
an investment standpoint andmanaging an allocation, the motivation,
at least to me, now you knowhow that can be done. That is hard,

(31:31):
right? Because to my earlierpoint, I'm sure that any type of
kind of past performanceadjustment will perhaps show us better
performance recently becauseguess what, we kind of know how it
went. You know, the marketwent down and a bit more down, a
bit more down. And thedrawdown kind of happened over the
course like a few days. Sodynamically reducing leverage through
that period for sure is goingto give you a better line. But you

(31:52):
know, if we go back and backtest It I'm pretty sure we're going
to find situations whereby notbeing as much allocated into prevailing,
sorry into emerging trendswould have gotten you into a worse
outcome. And it's now thistrade off that we have to kind of
acknowledge. I don't thinkthis is a perennial kind of structure
and that can allow tooutperform no matter what. So I think

(32:15):
there is this nuance here onhow this can be done or maybe there
is some aggregate signal tonoise that could be utilized. But
the counter I have to it isthat historically there is no association
between the overall trendinessor Eurobarometer to subsequent performance.

(32:35):
Except when this is too high,by the way, not too low. Here we're
talking about that being toolow. But the problem historically
has been when this has beentoo high, because if it's too high
it means that there are somany trends, but in reality there's
very few principal components.And if you have too few principal
components that are probablyhighly correlated, then one going
south, it's enough to take allthe rest with it. So underperformance

(32:57):
becomes more likely to happen.So it's quite interesting because
it's not even in the data.Like the data almost says the opposite.
It kind of says look, ifeverything is actually performing
quite well, maybe it's thetime to be a bit more humble to those
gains and start crystallizingsome of them. So I think it's hard
to get that. But I cannot notwitness the fact that those V shapes

(33:21):
have been happening now morefrequently and certainly they raise
some eyebrows when there is atrend of follower, I guess in scope.
And I'm not even going in thedirection of diversifying those signals
and bringing carry orreversion dynamics. We've discussed
it at length here in the pastand suffice it to say that year to

(33:43):
date all those othercomponents have actually been extremely,
extremely helpful, at leastfrom my perspective, to diversify
those trend exposures withoutreducing the overall correlation
profile to the benchmark. I'mpurely looking into the trend as
an entity and how thevolatility target in itself is a
means to magnify gains, butperhaps magnify losses too. So these

(34:08):
are the two kind of responsesto your question why? And then how.
Yeah, no, no, and, and ofcourse we, we don't know the, the
inner workings of, of howpeople do it. I know how we do it
at done and how we've alsointroduced kind of dynamic risk budgeting
more than 12 years ago now.And, and we from our point obviously

(34:28):
find it very Valuable, we seethat in the data. But I do agree
that's probably somethingthat's more industry wide. And of
course you're going to getcritics who would argue that that's
a little bit against sort oftrend following history, that you
start changing things if it'snot purely driven by signal changes,

(34:49):
you, you will, you're going toget that. But in order to do it,
you do need to introduce otherfactors, whether it's volatility,
whether it's correlations,etc. Etc. Actually, rich and I talked
about it about it a littlebit. Exactly. The correlation conscious
versus the, I can't rememberthe other word of it or kind of.

(35:10):
But certainly people who justlook at, at price as the only.
I think, I think we discussedthat as well in the past. The agnostic
disparity. Right, that'spretty much the same concept. Concept,
yeah.
Yeah. So of course if you canfind a way to somehow reduce your,
your downside and yourvolatility but maintain your returns,

(35:31):
of course, that's the holygrail. But easier said than done.
For what it's worth, Nick, Ido think the last 12 to 14 months,
it does reveal something new,something we, you know, some differences
between managers that we maynot have seen before because a lot
of times managers can lookquite highly correlated. So you kind

(35:54):
of think, well, all trendfollows are the same. But clearly
when you go through and youlook at what's been happening in
the last 12 and 14 months, notall trend followers are the same.
And so I do think there's, youknow, as much pain there's been.
There's also somethinginteresting and good and certainly
for the investors to look atwhen they do their analysis to see

(36:18):
how these models, how theseportfolios, different ways of taking
risk budgeting, etc. Etc. Howthat's turned out. Now we've got
a few other things we wantedto touch on, maybe not in quite as
much detail as this one, butthere were actually a few articles,
one in the latest Hedge Nordicpublication about systematic strategies

(36:45):
that I recommend people go anddownload and read always good stuff
that they publish. And thefirst one, it was an article and
we're not going to get intotoo much detail, but it was an article
written by Christoph Junger,who used to be the, the head of alternative
investments at one of theDanish pension funds. I had lunch

(37:08):
with Christoph not that longago. Super nice guy. And he wrote
an article recently, I think,about what he would do different,
if anything, if he had to runa portfolio where there were no constraints
Right. If you could ignore allthe rules, not no regulations, no
liquidity concerns, no careerrisk, which is a big one, and just

(37:30):
focus on the long termreturns, how or could you build a
better portfolio? Or maybe youjust would build one that's more
risky, so to speak. And sothat was kind of an interesting article.
I know both of us only sort ofbriefly read through it, but if you

(37:51):
were going to say a few wordsabout it and also maybe kind of wearing
the hat where you actuallydeal with a lot of institutional
investors facing these, facingthese constraints, what are your,
what are your experience?What's your kind of takeaways from
these things?
The article effectively saysthat basic asset allocation or policy

(38:13):
portfolios would typicallyhave something like 60, 40 equities
and bonds, or one example hereis like 60 equities and 30 fixed
income and 10 real assets justto get a bit of an inflation hedge.
And that could in principle bevery different if you start acknowledging
the value add that we can havefrom private credit and CDAs and

(38:35):
infrastructure and so on andso forth. So diversifying components.
And the point that the articleis trying to make, it's a bit more
like it's a thought piece.It's not quantitative in any form.
It's almost like a thoughtpiece that basically says, look,
in reality there's so manyconstraints in place. People try
to be sensitive to costs.Makes sense. They try to be conscious

(38:58):
about liquidity specificallywhen we have to fulfill certain obligations.
And I'm thinking about nowpensions and insurance companies
at times there are governancecomplexities at times that are kind
of horizon management.Technically we care about the long
term if we're talking about asovereign wealth fund. But in reality,

(39:20):
short term losses can raiseeyebrows. So how do you manage that?
Or the regulatory constraints?And that has to do perhaps with utilization
of leverage or there arecapacity constraints and some of
the investments are not liquidenough to allow for high allocations.

(39:40):
What else do they have here?I'm just going through like benchmark
constraints, you know, thatare in investors that we are who,
who are benchmarked againstsome ideal portfolio that is to be
held. And obviously andimportantly there's a reputation
risk as well. So the pointthat is, you know, he, he's making
here is that look, all thoseconstraints form, you know, a, I

(40:03):
guess a very constrainedsphere in this hypercube of possibilities
that allows and you know, amanager or an asset owner to simply
move in a very controlledfashion across all those dimensions.
And the question he kind ofposes is that look, if we had no
constraints how we would haveallocated. And it's no surprise that
obviously if you are nothaving those constraints, then probably

(40:26):
you'd have much more intoprivate equity and CTAs. And I'm
just kind of reading throughhere, I don't know, farmland or infrastructure
and so on and so forth. Andclearly there would have been historically
a benefit to it. I think thefew points that I would make here,
and by the way, I completelyagree with the fact that some of
those constraints are real tothe extent that they actually determine

(40:49):
substantially how investorsthink about those allocations. Maybe
I can quote one of ourconversations years back that we're
kind of discussing how weshould size trend following, right?
And you remember at the time Ibasically said, well, if you just
take a mean variance optimizerand you have a 6040 portfolio and
managed features, you shoulddo 100% managed features and 0,6,40

(41:12):
because managed futures givesyou the better return for the same
level of all. So it maximizessharp. That's the optimal allocation
from a mean variancestandpoint. What mean variance is
missing here is that it's notthe absolute risk that matters, is
the relative. And if you'reassessed versus 6040 portfolio, deviating
from it incorporates all thiskind of career risk and this benchmarking

(41:33):
risk and these constraintsthat unless we operate under, we
might end up even losing ourjobs. Right? So then the whole proposition
that you and I were discussingback then is that we should think
of a managed futures and anyalternative allocation under the
prism of there is a benchmarkand a tracking error that any active
decision will make us assessedagainst. So I totally get some of

(41:58):
the points. But I would alsomake the case that precisely because
of those constraints, someempirical patterns exist and otherwise
they wouldn't exist. Like forinstance, the fact that low beta
stocks outperform is largelydriven by the fact that we have capacity
or leverage constraints. If Iwere to tell you you're a pension

(42:19):
fund and you need to deliver10% return, then you should be agnostic
between using a 10% 10 voltstock or a 1% 1 volt stock that you
have to lever up 10 times. Butguess what? The latter is impossible
to happen because you haveleverage constraints. So from a sharp

(42:39):
ratio standpoint you should beagnostic. But from an access standpoint
you cannot lever up 10 times a1% return. 1% volume, you'd rather
go for a 10% 10 volume stock.And this increases the demand from
leverage investors. Leverageconstrained investors reduces overall
the expected return andtherefore makes the Assets that have

(43:01):
lower volume in this regardoutperform. And now how the beta
comes into play? Well, if youhave a benchmark versus which you
need to minimize the trackingerror, there is this tendency of
going for higher or closer tobeta of one assets and that obviously
in equilibrium increases thedemand, obviously reduce expected
returns, and then high betanames end up in equilibrium underperforming.

(43:24):
So those nuances and empiricalobservations are purely not the outcome
of behavioral biases, but arepurely coming from structural impediments,
as we call them typically inacademia. So some of the portfolios
or some of the alternativesthat the article puts forward are

(43:48):
there or have historicallydelivered high return because the
constraints are there in thefirst place. So there's a bit of
a chicken and egg. That's theone thing I would kind of flag. The
other one is that we cannottake for granted an expected return,
let's say, even for CTAs.Right. For the sake of argument,
let's just basically speakabout the stuff that we know well.
The fact that the allocationis maybe not at the level that would

(44:11):
have been the case had we hadless, I don't know. Governance complexity
is also giving rise to thehistorical returns of the levels.
We have seen them. And maybemore allocation would have led to
capacity issues. So it's kindof almost like a vicious circle.
It's not like let's replace Xfor Y and we expect the Y to behave
in the same way as it behavedin the absence of inflows. Right.

(44:34):
So these are the only fewthings that I would kind of flag.
So it's not a zero sum, it isa zero sum in this regard. So the
market has to clear andobviously demand will meet supply
and then that's where theprice is going to be determined.
Liquidity is obviously afunction of investor activity. So
it's not coming from anoutside world. It's almost endogenous

(44:56):
from the investment process.So long story short, it's a nice
thought piece because it kindof lays out all the constraints that
institutional investors haveto operate under. This hypercube
of options becomes much moreconstrained in a sphere of how little
can be done. And maybe byexposing those constraints, the purpose
of the article is to say maybewe should rethink a couple of those

(45:17):
things. Maybe we shouldrethink how we reward success. Maybe
we should think what is thetolerance for short term risky for
a long term investor? Maybe weshould think how we remunerate individuals.
So I think it tries to bringthat angle or I'm, I'm that's basically
what I got out of it. But puresubstitution of the historical allocations

(45:39):
to the alternatives. It's notjust one versus the other. I think,
I think to my earlier point,it's, it's, it's, it's a circle that
closes between them and, andthere would be consequences going
from one to the other and notexpect that it's going to perform
in the same way as it performson paper. That's the whole thing
about that.

(46:01):
And I also think, I mean, ofcourse, who gets to decide on these
constraints, so to speak,what's the motivation of these constraints?
And rarely are some of theseconstraints put in place to the benefit
of investors. I mean, broadlyspeaking, what I mean by that is

(46:22):
that there are certain thingsthat, you know, for example, lawmakers
can make very difficult forinvestors to get exposure to. But
actually, when you look atthe, the underlying investments,
they would probably benefitfrom that kind of diversification.
For example, if we go throughnow a time where we, I mean, and
this is pure speculation, ofcourse, but, you know, who's to say

(46:44):
that at some point we couldn'tsee maybe government dictating more
about what kind of assetspension funds should hold, should
they have lots of debt to, tosell, you know, who knows? But it
is an interesting conversationto have. And, and I think Christopher
did a good job in, in makingpeople aware of that.
Absolutely.

(47:04):
Let's briefly, I would say,turn to another paper, just very
briefly, but it is always funto read one of Cliff Essnes papers.
He writes some good stuff.And, and this time he put out a piece
where he kind of revisits oneof his old papers in a quite fun

(47:27):
way. But it's actually thereason why I just want to quickly
mention it. It's on a pointthat you often see being used. And
he actually lists eight verybig firms using this particular type
of company, kind of quote,unquote, marketing to keep people
invested in their funds, Iimagine. And it's this idea of, well,

(47:52):
you better stay invested,because what if you miss the 10 best
days of, of the S and P, yourreturns would be so much lower. And
just before we startedrecording here, we obviously were
thinking, well, actually itliterally just happened like a month
ago or a month and a half agowhere the tariff, quote, unquote,

(48:14):
pause caused the S and P tohave one of the best days for decades.
And of course, if you missedthat day, that would have hurt. But
I think what Cliff is sayingis, well, we have to be careful because
people would normally not Justmiss the worst days, so to speak,
or the best days, so to speak,but maybe also some of the worst

(48:38):
days and therefore the, the.It's a little bit disingenuous to
target investors, privateinvestors, with this, this kind of
scaremongering about, youknow, if you, if you're not staying
invested at all times, you,you might miss out big time. Anyways,
love to hear your thoughts onthat. But where I really wanted to
just go with this piece,people can read it themselves. But

(49:00):
it's just this idea thatactually thinking of our own industry
because our returns can bequite lumpy and because we focus
on monthly returns, not dailyreturns, then the question is, of
course, could this argument atall be relevant for, for people investing
in CTA's meaning should theyjust stay invested or should they

(49:22):
try and time it? My personalexperience and when I talk to people
who've been doing this for along time, as I have, it's impossible
to time trend following. Butanyways, I'd love to hear your thoughts
on this.
We have always had thisdiscussion as to whether we can time
those allocations, right? AndI think purely by claiming that these

(49:45):
are strategic allocations, wealmost implicitly argue that you
should not try to time them.We can make it very philosophical
and effectively say that thisis supposed to be some decorrelated
investment to help policyportfolios in prolonged corrections.
Then if it's indeed some sortof a statistical insurance, there's

(50:09):
clearly no way for anyone totime it and it has to be a strategic
decision. That's a veryphilosophical argument that somebody
can make. You don't buy carinsurance after you're crashing your
car. And thankfully there areregulations on purpose here to force
the allocation onto those,right? Or forcing I guess in car

(50:30):
insurance policy because it'simpossible to time it. And so in
the same way we can argue veryphilosophically that if the value
that it brings isdiversification, specifically at
the times that the morestandard to our previous discussion,
more like constrained policyportfolios have then have it as a

(50:55):
strategic allocation, maybesize it appropriately and then move
on. But also empirically,there's I think, enough evidence
that some form of pastperformance is not a good, if anything,
a weak predictor of futurereturns. So can we time it? Can we
kind of trend the trend? Weknow it's hard also empirically maybe.

(51:17):
The point I made earlier on,however, on the volatility targeting
kind of goes against it. And Ithink that's not the challenge. Because
if we claim that thevolatility target should Be dynamic
almost. We're saying I'mmoderating my exposure to it. Maybe
I'm not going in or out, butI'm moderating the amount of risk
I deploy. Right. But that initself almost goes against my earlier

(51:41):
point. But I don't necessarilythink that the two address the same
need at the end of the daybecause there is a need to strategically
allocate into some of thosealternative investments. Maybe because
of all the historicalstatistical properties, maybe in
the virtue of the article wejust discussed. So there's a variety

(52:02):
of reasons why that thatshould be the case, but the way to
respond or digest short termlosses and maybe moderating those
to my earlier point that theloss of a certain amount creates
more pain than a gain of thesame amount, maybe that's something
that could be at the marginachieved by this volume scaling that

(52:25):
I discussed. Right. But tothis day I haven't had any good predictor
of. Yeah, performance iscoming through in all fairness. Right.
We can even talk about, Ithink, who was it like last time?
Maybe we discussed it. Right.There was some nice analysis done
both by Kate and by man group,right. That suggested that most of

(52:48):
the outperforming periods oftrend following kind of started with
like a slowdown or someunderperformance because that was
the time that trends weresuffering themselves.
Yeah, right.
So being there and actuallyclaiming, oh, I need to get out now
is like the worst, the, youknow, the worst decision for someone
to make. Right.
The last or second lasttrading day of November 2021, just

(53:13):
after Thanksgiving or aroundThanksgiving, we saw a massive one
day loss for CTAs and trendfollowers. Like something that, you
know, even in, in my career, Ithought that that is very rare. We
see that. And so that, that isthe one example where you think,
ooh, this is not great to beinvested here. I should, you know,

(53:36):
you know, seek some protectionhere and get out. However, it really
was the beginning of probablyone of the strongest kind of 12 month
period that trend followersand CTAs had, which was of course
2000 turned out to be 2022, orat least most of 2022, a very, very

(53:56):
strong performance period. So,and this is what I mean from just
experience and also, even ifyou took a track record and you looked
at it, it's very hard to, topredict suddenly why, why is that
month so much better whenyou've had like a five months in
a row of losing, you know,returns. So I mean, I think, I think

(54:18):
it's very, it's certainly inmy experience I think looking at
trend as a strategicallocation for, for the reasons that
you say, kind of like I do,like the, actually the insurance,
car insurance example, youknow, just make it mandatory. People
should have a 10% allocationto trend.
Maybe. I mean, I think that'swhy sometimes the way that Cliff

(54:41):
is writing is going beyondjust investment. I think it's more
the culture of investing. Ithink that's what we're discussing
right now, like the culture,the approach to it, you know, setting
the right expectations andhaving ways of measuring it. And
you know, I think having atrend manager and assessing that
on a day to day basis is hard,right. To make a case in favor of

(55:02):
it. You know, there was thisother Hedge Nordic kind of article
speaking about SKU and lookinginto daily skew and I don't think
you can find daily SKU,positive daily SKU in trend following
strategies like, because theylook into longer term windows. So
it's more of an organizationalsetup that has a certain set of investment
rules in place and thediscipline is the one that eventually

(55:27):
leads to better economicoutcomes. Not because they're better
just by return, but it's alsobetter because the expectations,
as long as they're met or aslong as they can be allowed to be
understood, makes the overallorganization more mature in this
regard. Right. I mean, to myvery, very first point in today's
discussion, the fact that mostof the trend investors year to date

(55:49):
have not actually responded tothis V shape is partly an acknowledgment
that we know why it's there.We're not going to do much about
it because we know what wehave it for and that's precisely
the market regime that isgoing to do badly. How small or big?
That's another question. Butthe sign of it is very well understood,

(56:11):
like there's no debate upon it.
I do want to bring up onefinal point before we finish our
conversation today. It'sactually also inspired from something
from the Hedge NordicSystematic Strategies issue that
came out earlier this month.And it's actually something that
Cameron, the editor writes in,in his editorial where he kind of

(56:35):
raises the question about havethe markets changed, you know, have
the world stopped followingrules, so to speak, and, and maybe
our systems, you know, needsto, to be adapted somehow. Which
of course is a conversationthat we often get when, when things
are a little bit tough. Now ofcourse, if you just look at the world

(56:57):
right now and not think of itas a trend follower, you would probably
say, yeah, this looks a littlebit different. The, the, the things
that still taking place rightnow. The way, you know, markets are
moving just based on tweets orstatements, whatever. It feels different.
I'm sure that if one went backmany decades, there would be other

(57:20):
things where you could havesaid the same. But I think he does,
you know, he does raise a, youknow, at least a question that, that
will be debated. And, youknow, again, if we think of as trend
followers, you know, are thetraditional ways of doing trend following,
you know, are they breakingdown? Are they just on pause, you

(57:44):
know, and how do we, you know,can we be better at separating the
noise from the, from theactual signals and so on and so forth?
And I think he even mentions.But this is more from memory, you
know, do you need to add somekind of discretionary input or can
it, you know, matters can. Ofcourse, I think you know where I

(58:07):
stand on this, but I'd love tohear your maybe as a sort of final
point, this, this idea thatwhen we go through these periods
and people will challengemaybe some of the, the assumptions
we, we have as, as trendfollowers. Is there anything here
that you find interesting inthat debate or is it just the usual,

(58:30):
this is kind of how it works.You go through these periods before,
you know, it starts working again?
No, it resonates quite wellwith me and it goes quite in line
with what we have discussedlast time and this time, which is
all this reflection of how Iperceive information being produced,
consumed, and how investorsreact to it, but also how the broader

(58:57):
market responds to it. I thinkthis whole week that we have to go
through in April, it's notthat we've seen it in the past, and
at the time, being asystematic investor and claiming
that immediacy to informationis actually important, I don't think
it would have fared that wellin the sense that what was the signals

(59:17):
that could be consumedsystematically that will get you
better off beyond just luck,like to your earlier point, how would
we know that S and P wouldhave one of the three largest returns
in like 50 years on that postday? I mean, extremely impossible
to foresee, but also extremelyimpossible to argue that this is

(59:38):
genuine in this formation ofsystematic signals. So generally,
systematic investors aretrying to be on top of information
and on top of price andvolatility innovations and try to
be fast in a variety of ways.Not necessarily fast in rebalancing,
but fast in digesting thisinformation in their systematic signals.

(01:00:04):
But at the times that thosesignals are pretty much noisy, then
it is a genuine question.Should be more discretionary. I don't
think that is necessarily theanswer, but I cannot avoid the temptation
of acknowledging that this isa question to be asked more broadly
as to how we think systematicinvesting should respond to those
type of events. And that goesback to all the points we made about

(01:00:26):
the signal to noise, aboutscaling the overall volatility, about
maybe at times being slower inthe way that we react. I think we
discussed it last time thatthis year simply looking into macro
dynamics and looking into afalling growth and perhaps a relatively

(01:00:47):
range bound trajectory foryields and inflation, probably you'd
be out of equities and maybeyou'd be more into gold, or maybe
you'd look into some sort of asteepener. So there are investment
themes out there that actuallyplayed out quite well, but have been,
even in a systematic way, lessresponsive to this fast pace of noise

(01:01:08):
generation and less of singlegeneration. So in summary, I fully
relate with some of the pointsmade in the editorial, and I think
it quite nicely reflects myown views over the last few times
that we have discussed. Right.I think it's pretty much as in line
with those. I don't think welearn necessarily anything yet. I
don't think we shouldemotionally react.

(01:01:29):
Agree.
But I do not think we shouldbe dogmatic and just like okay, life,
like whatever, no, just leaveit away. Let's move on with our lives.
Yeah.
Because the market is evolving.
Yeah. And I think as we oftensay, I mean even if you've been doing
this for for decades, we'restill learning and it is a journey
of of constant, you know,small but constant innovation and

(01:01:51):
improvement. That's for sure.Nick, this was great. Appreciate
all your insights and yourthoughts and the time spent for preparing
for this conversation. And ofcourse to the audience, I can only
suggest and encourage you togo and show your appreciation for
Nick's work here by going toyour favorite podcast platform. Leave

(01:02:11):
a rating and review for thisepisode. We so appreciate that. Now
next week I will be joined byUAV Git he's back. So that is also
going to be, I'm sure a superinteresting conversation and see
what he has been thinkingabout and also writing about as he
does on LinkedIn. So if youhave any questions for you you can

(01:02:32):
send them to infotop tradersunplugged.com I'll do my best to
bring them up from Nick andme. Thanks ever so much for listening.
We look forward to being backwith you next week and until next
time, as usual, take care ofyourself and take care of each other.
Thanks for listening to thesystematic Investor Podcast series.
If you enjoy this series, goon over to itunes and leave an honest

(01:02:52):
rating and review. And be sureto listen to all all the other episodes
from Top Traders Unplugged. Ifyou have questions about systematic
investing, send us an emailwith the word question in the subject
line toinfooptoptradersunplugged.com and
we'll try to get it on theshow. And remember, all the discussion
that we have about investmentperformance is about the past, and
past performance does notguarantee or even infer anything

(01:03:14):
about future performance.Also, understand that there's a significant
risk of financial loss withall investment strategies, and you
need to request and understandthe specific risks from the investment
manager about their productsbefore you make investment decisions.
Thanks for spending some ofyour valuable time with us, and we'll
see you on the next episode ofthe Systematic Investor.

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.css-14f5ked{margin:0;word-break:break-word;display:-webkit-box;-webkit-box-orient:vertical;box-orient:vertical;-webkit-line-clamp:2;overflow:hidden;}SI352: Trend Systems Under Strain ft. Nick Baltas

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