Podcast appearances and mentions of alex greyserman

Today, we’re delighted to welcome Roberto Osorio, Vice President, Trading Systems at DUNN Capital, onto the show. Niels pitches Roberto some of our most fiercely debated topics so far, such as the optimal amount of markets to trade, diversification in all of its forms, the pros & cons of Volatility Targeting, how to accurately recognise model decay, Black Swan strategies and why they maintain popularity regardless of performance, the best look-back period for Trend Following strategies, and if today’s speed of information flow has led to stock market crashes & fast recoveries being the new normal. Check out previous episodes with Niels & Roberto (featuring Alex Greyserman & Katy Kaminski) here, and here. If you would like to leave us a voicemail to play on the show, you can do so here. Learn more about the Trend Barometer here. IT's TRUE - most CIO's read 50+ books each year - get your copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to info@toptradersunplugged.com Follow Niels on Twitter: @TopTradersLive And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.   Episode Summary 0:00 - Intro3:07 - Macro recap from Niels8:49 - Weekly review of returns9:26 - Interview with Roberto Osorio12:03 - Niels: Can you help settle the debate of how many markets are optimal to trade?19:00 - Niels: What are your thoughts on Volatility-targeting?30:41 - Niels: How do you recognise model decay?36:23 - Niels: What do you think is the best look-back period for Trend Following models?44:40 - Niels: What is your view on the most effective ‘type’ of Trend Following model?50:43 - Niels: What makes DUNN Capital so unique?55:52 - Performance recap Subscribe on:

I often see the press write that too much money is chasing the same trends, and this being the reason that Trend Following strategies have been performing a little under par in the last few years.  So who better to ask if this really is true, than my friend Kathryn Kaminski, who of course co-wrote the bible on Trend Following with Alex Greyserman… as well as a book with me, that you can find on my website.  We also discussed how they conducted their research for their book, where they went back a very long time to test if Trend Following models really do work over centuries of data… so I think you will find this part of particular interest.  I hope you enjoy these unique takeaways from my conversation with Kathryn and if you would like to listen to the full conversation, just go to Top Traders Unplugged Episode 41 & Episode 42. Return of the Trend: 'It's all about Correlation' Niels:  I had a question the other day from someone here based in Switzerland, Roman, in fact, and he asked about people's perception about Trend Following that perhaps it's performed poorly in the last couple of years because there's been too much money chasing Trend Following after the great year of 2008. When you hear something like that, what comes to mind? Katy:  Well, I actually just wrote an article which is coming out for Eurex on this exact topic, and I call it Return of the Trend: It's All About Correlation. I'll just give you a view on this. If you look at a Trend Following system, any portfolio system in general, we depend on correlation. We depend on the diversification across markets, and regardless of looking at the capacity in the industry, not even thinking about that, if you take a graph of correlations pre in the last twenty years, it almost looks like a step function. So up until 2008 the correlations are pretty low across all futures markets, and they just shot through the roof in 2008 and they stayed there until earlier this year, or until late 2013. If you think about portfolio construction, the returns of Trend Following is driven by divergence and we've had some divergence over this period of time: quantitative easing, all sorts of events like the nuclear meltdown in Japan, those are diversion events, but in this sharp ratio is also the diversification and the risk. When you construct a portfolio, it's not only the volatility, which has been low, but also the correlation across assets that allows you to have proper diversification. Correlation being high means diversification is low, which means that even though there maybe some trends, there's a lot of risk because it's sort of like a one trade world. If you look at that, that coincides with a period that has been difficult for Trend Following strategies. So they do have profits in some areas, but there was just not enough diversification across their portfolio I think to support their performance as consistent with history. Niels:  Sure, sure. The next area I want to talk about is what usually is the trading program, but today, in our conversation it will be about the trading strategy or the model, however  you phrase it, that you've used in your study that really represents the performance over this long period. Tell me about how you and Alex constructed this and feel free to go into as much detail as you want. Katy:  OK, yeah, this is a very important and good question, Niels. One of the chapters of our book that I'm most excited about is actually chapter 3, and this is one called Systematic Trend Following Basics. I found that when I looked at most other books on trend following, and those sort of descriptions, it's very hard to find a specific formula that you could use as "this is the formula" for Trend Following.  So what we did, instead, is we tried to create a framework with one formula. '..we focus on creating one formula for Position Sizing, which is a function of several key variables." This one formula obviously,

The concept of Trend Following has been around for a long time, but it wasn’t until a few years back, that the Bible on Trend Following was written by Kathryn Kaminski and Alex Greyserman.  Today, I am delighted to share some of the interesting lessons, insights, and key things that Kathryn Kaminski took away from the long road to publishing this book. I hope you enjoy reading this, and if you would like to listen to the full conversation, just go to Top Traders Unplugged Episode 41 and Episode 42. Examples of Trend Following from 800 Years of Historical Data Katy:  I think if I go back, for just a second, this concept of Trend Following is something that has been passed on throughout the ages. I think we start our book by saying find a trend and follow it, is a common adage that has been passed on throughout the centuries. This is quite, sort of, one of the points that we begin the book with, is that people have been using and following the curve, following the crowd for as long as anybody ever has imagined. Essentially trend following is simply following a trend that you may see. If you look across history, this particular approach, if done the right way, can actually be very stable over time. That's what we see in the beginning of the book, is there's an 800 year analysis. Granted that any of these analysis are not empirically hardcore research, but they give us some perspective on, "wait a minute, is this something that I could have done throughout the ages?" I think if you take that, and you think about what trend following is about: trend following is about following something that looks like it's going up and cutting your losses when you think it's not. It's very simple. Granted the way that we do it today is much more sophisticated, and much more systematic and sophisticated, but the concept is really simple. Niels:  Sure. I think that, in a sense, that's quite interesting to me because I think sometimes managers over complicate the message of trend following because they want to sound like that what they do is really sophisticated, but in reality it's not that hard. Katy:  Definitely not. I think I spent a lot of my research time thinking about stop loss, and why do people use stopping rules, for example? There's a lot of behavioral reasons for this, and trend following is exactly the same. You create some systematic rules to help you control your behavior - to help you make decisions. So for something like stop loss, as an example, we use a stop loss because we know that we may not be able to get ourselves to stop the loss without making the decision a priority. Trend following strategies, and the concept of trend following is about creating a simple set of rules - a simple heuristic for how do you actually profit from moves - up or down? If they exist, how do you handle them? So when we started our book, actually, one of the interesting graphs... the first graph that we have is actually performance of the S&P 500 for the last twenty odd years, and then performance of trend following. If you just look at that graph, there clearly are trends. Long trends that exist in history and different markets. So if we have that approach, there may be some ways to develop heuristics to help us to handle the ups and the downs over time. "What if I was the type of person that just said: if I see things that are going up in the last 12 months, I buy.  If I see things are going down, I sell.  Modern day Trend Following is much more complicated, but the concepts are the same." Niels:  I want to try and stay with the theme of the history and trend following and just ask you how did you find evidence of trend following taking place going back so many years? We obviously, many of us remember the last five, ten, twenty years, but once you get past that and for most investors we're not in the markets fifty years ago, or a hundred years ago, how did you observe or identify signs of trend following back then?

"We evolve over time to survive - we are constantly trying to find better ways to do what we do." - Katy Kaminski (Tweet) Thanks for tuning in to the second part of our roundtable conversation with three of the leading voices in the trend following industry today. In this episode, we discuss how the industry has evolved, what the future looks like, and how to educate investors on the merits of trend following. Thanks for listening and please welcome back Katy Kaminski, Alex Greyserman & Roberto Osorio. Subscribe on: In This Episode, You'll Learn: How has trend following evolved in the past decade The different kinds of diversification and how important they are The concept of divergent strategies "People get into analysis paralysis mode." - Alex Greyserman (Tweet) Different ways of generating signals Why entries are the least important How to figure out what are the most robust parameters to use Why you should try to debunk any new trading ideas "Trend following matches nicely with so many of the more fundamental trading approaches out there." - Katy Kaminski (Tweet) How trend following CTAs perform risk control How to educate investors on trend following firms and methods How many trend following managers should you invest in Resources & Links Mentioned in this Episode: Trend Following with Managed Futures: The Search for Crisis Alpha Return Dispersion, Counterintuitive Correlation (PDF) This episode was sponsored by BarclayHedge:   Connect with our guests: Follow Katy Kaminski on Linkedin Follow Alex Greyserman on Linkedin Follow Roberto Osorio on Linkedin "The details of the strategy make up the difference." - Roberto Osorio (Tweet)

"This game is a number’s game, you are losing a lot and winning bigger sometimes." - Katy Kaminski (Tweet) Thanks for tuning back into our show, we know it has been a while since we've published an episode. However, you are in for a real treat: this is the first episode where we have a roundtable of guests, representing some of the most prominent firms in the trend following space. Our guests have a combined 100 years of track record, and we'll explore it all in this episode. We discuss the history of trend following, what it takes to practice trend following, and the human biases that effect our trading. Thanks for listening and please welcome Katy Kaminski, Alex Greyserman and Roberto Osorio. Subscribe on: In This Episode, You'll Learn: The history of trend-following "Trend following is not going to go away anytime soon." - Roberto Osorio (Tweet) The phenomenon of momentum When the concept of trend following that we know today came about Why Katy & Alex gathered data from hundreds of years ago Katy talks about their book on Trend Following Why markets are not getting more efficient "In trend following, you are trying to capture divergence, movements across markets." - Katy Kaminski (Tweet) Why  the edge in Trend Following is "knowing what you don’t know" How long it took for Alex to start believing in trend following Roberto’s first exposure to trend following Why humility is necessary to practice trend following "The edge is knowing what we don’t know." - Alex Greyserman (Tweet) The importance of taking the human emotion out of the decision process Katy’s voodoo finance and heuristics Are all CTA’s trend-followers? "The way you follow a trade after you get in defines whether you are a trend follower or not." - Alex Greyserman  (Tweet) Alex’s Random Entry System that uses coin flips The three decisions that are involved in a trade The fact and fiction of how difficult it is to do trend-following "If liquidity is high like in trend following, I really see every moment as a decision point." - Roberto Osorio (Tweet) Why humans suffer from representative bias The factor of simplicity when making a trend following system Resources & Links Mentioned in this Episode: Trend Following with Managed Futures: The Search for Crisis Alpha Market Wizards Tulip mania David Ricardo Lake Wobegon syndrome This episode was sponsored by BarclayHedge:   Connect with our guests: Follow Katy Kaminski on Linkedin Follow Alex Greyserman on Linkedin Follow Roberto Osorio on Linkedin "The three guests represent a combined track record of more than 100 years." - Niels Kaastrup-Larsen (Tweet)

Our next guest is different than any guest we've had before, as she is not a fund manager but has spent much of her life's work researching and writing about the topic of trend following. She is a true thought leader in the managed futures industry and you'll learn a lot from the animated discussion we have regarding the history of trend following and how she co-authored her latest book on the subject.-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder ToolIn This Episode, You'll Learn:About Kathryn's upbringing in Nashville, Tennessee.About her time at MIT where she went for electrical engineering.How her internship at a bank in France got her on the path to work in the financial industry.About her teaching financial engineering with Andrew Lo.Through her teaching and research, she became interested in technical analysis and trend following.How Kathryn went to the Stockholm School of Economics.When she left academia and joined RPM in Sweden.How she met Alex Greyserman and how she came to write a book with him.The history of trend following as she lays it out in her book.How trend following at its core is quite simple.What Kathryn likes to do outside of work.Her work life balance and her life in Sweden.Her view on the building blocks of trend following.Her quest for acceptance of trend following in the academic community.Where the term Crisis Alpha came from and what it is.About Convergent and Divergent strategies.About the Adaptive Market Hypothesis that she writes about in the book.What the CTA Smile is and what it really means.What she would look for when building or critiquing a research team.-----ATTENTION TTU TRIBE : SIGN-UP for Rick Rule's Symposium: Once in a life-time natural resource insights from the BEST investors in the world via a first-class livestream or Live event!Resources & Links Mentioned in this Episode:Kathryn's book is: Trend Following with Managed Futures.Learn more about Andrew Lo and MIT.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 “The Many Flavors of Trend Following” here.Learn...

My guest today is Alex Greyserman, Chief Scientist at managed futures firm ISAM. He is also a professor at Columbia University. He is a member of the ISAM Systematic Investment Committee. He has 25 years of experience in the Managed Futures industry, having starting initially as Research Director at Mint Investment Management Co. The topic is Trend Following. In this episode of Trend Following Radio we discuss: Idea of young college graduates writing articles about the death of trend following while firms like Greyserman's continue to have tremendous success Alternatives to thinking only ‘long stocks' Greyserman's first meeting with Larry Hite and how they have come to have such a career together Why trend following is about more than getting on the right side of the S&P trade The difference between cross-sectional momentum and time series momentum The phrase “crisis alpha” and why trend following does well in times of crisis The cost of not having trend following in your portfolio Benchmarking and diversification Why the worst thing you can do is “trend follow a trend follower” The science of trend following Speculation Trend following your life–not just the markets Dispersion among trend following traders Effect of a higher rate environment Jump in! --- I'm MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I'm proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show. To start? I'd like to give you a great piece of advice you can use in your life and trading journey… cut your losses! You will find much more about that philosophy here: https://www.trendfollowing.com/trend/ You can watch a free video here: https://www.trendfollowing.com/video/ Can't get enough of this episode? You can choose from my thousand plus episodes here: https://www.trendfollowing.com/podcast My social media platforms: Twitter: @covel Facebook: @trendfollowing LinkedIn: @covel Instagram: @mikecovel Hope you enjoy my never-ending podcast conversation!

Michael Covel speaks with Alex Greyserman. Greyserman is Chief Scientist at managed futures firm ISAM. He is also a professor at Columbia University. Greyserman’s new book with previous podcast guest Kathryn Kaminski is titled Trend Following With Managed Futures. Covel and Greyserman discuss the idea of young college graduates writing articles about the death of trend following while firms like Greyserman’s continue to have tremendous success; alternatives to thinking only 'long stocks'; Greyserman’s first meeting with Larry Hite and how they have come to have such a career together; why trend following is about more than getting on the right side of the S&P trade; the difference between cross-sectional momentum and time series momentum; the phrase “crisis alpha” and why trend following does well in times of crisis; the cost of not having trend following in your portfolio; benchmarking and diversification; why the worst thing you can do is “trend follow a trend follower”; the science of trend following; speculation; trend following your life--not just the markets; dispersion among trend following traders; and the effect of a higher rate environment. For more information on Alex Greyserman, go to isam.com or visit Amazon to find his book with Kathryn Kaminski, Trend Following with Managed Futures. Want a free trend following DVD? Go to trendfollowing.com/win.

My guest today is Kathryn Kaminski, the deputy managing director the institute for financial research (SIFR) Stockholm Sweden. She's also a contributor to CME Group. She earned her PhD at the MIT Sloan School of Management. At the MIT Laboratory for Financial Engineering, she conducted research on financial heuristics in collaboration with Professor Andrew W. Lo. Her new book, with Alex Greyserman, is “Trend Following with Managed Futures: The Search for Crisis Alpha.” The topic is Trend Following. In this episode of Trend Following Radio we discuss: Survivorship bias Kaminski's background and upbringing Convergent risk-taking strategies and divergent risk-taking strategies Social networking as an example of risk Apple as an example of convergent/divergent The importance of failure The efficient market hypothesis, the idea that trend following is “voodoo”, and the lack of transparency in trend following Critics of trend following Kaminski's “ah-ha” moment with trend following Why trend following works in times of crisis The adaptive markets hypothesis Looking at markets like ecologies Divergence and “punctured equilibrium” The process of going back 800 years analyzing trend following The idea of black boxes The acceptance of trend following Jump in! --- I'm MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I'm proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show. To start? I'd like to give you a great piece of advice you can use in your life and trading journey… cut your losses! You will find much more about that philosophy here: https://www.trendfollowing.com/trend/ You can watch a free video here: https://www.trendfollowing.com/video/ Can't get enough of this episode? You can choose from my thousand plus episodes here: https://www.trendfollowing.com/podcast My social media platforms: Twitter: @covel Facebook: @trendfollowing LinkedIn: @covel Instagram: @mikecovel Hope you enjoy my never-ending podcast conversation!

Michael Covel speaks with Kathryn Kaminski on today’s podcast. Kaminski is deputy managing director the institute for financial research (SIFR) Stockholm Sweden. She’s also a contributor to CME Group. She earned her PhD at the MIT Sloan School of Management. At the MIT Laboratory for Financial Engineering, she conducted research on financial heuristics in collaboration with Professor Andrew W. Lo. Her new book, with Alex Greyserman, is "Trend Following with Managed Futures: The Search for Crisis Alpha.". Covel and Kaminski discuss survivorship bias; Kaminski’s background and upbringing; convergent risk-taking strategies and divergent risk-taking strategies; social networking as an example of risk; Apple as an example of convergent/divergent; the importance of failure; the efficient market hypothesis, the idea that trend following is “voodoo”, and the lack of transparency in trend following; critics of trend following; Kaminski’s “ah-ha” moment with trend following; why trend following works in times of crisis; the adaptive markets hypothesis; looking at markets like ecologies; divergence and “punctured equilibrium”; the process of going back 800 years analyzing trend following; the idea of black boxes; and the acceptance of trend following. Want a free trend following DVD? Go to trendfollowing.com/win.

My guests today are Larry Hite and Alex Greyserman.  Hite is a hedge fund manager and is one of the forefathers of system trading. He was famously featured in the Market Wizards book. A few years ago he started ISAM with Stanley Fink. Greyserman has 25 years of experience in the CTA industry, and was originally hired by Larry Hite at Mint. Greyserman is Chief Scientist at ISAM (PhD in Statistics). He is also a professor at Columbia University. The topic is Trend Following. In this episode of Trend Following Radio we discuss: Singapore, and Covel's recent excursions in Asia How the game has stayed the same despite zero interest rate policy What people are missing when they say “trend following is dead” How you'll never get perfection Their 800 year study, the premise, and what was found out Measuring human nature The difference between divergent and convergent strategies Risk management Having “perfect” knowledge Using long trends and getting whipsawed in shorter trends The asset class of trend following compared to the NASDAQ buy and hold, etc. What's changed about human nature through all the booms and busts Insurance, hedging your risk, and the risk transference process Asymmetrical leverage Adjusting to new environments How those that survive are the most adaptable to the environment How trend following automatically adjusts to what's happening Jump in! --- I'm MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I'm proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show. To start? I'd like to give you a great piece of advice you can use in your life and trading journey… cut your losses! You will find much more about that philosophy here: https://www.trendfollowing.com/trend/ You can watch a free video here: https://www.trendfollowing.com/video/ Can't get enough of this episode? You can choose from my thousand plus episodes here: https://www.trendfollowing.com/podcast My social media platforms: Twitter: @covel Facebook: @trendfollowing LinkedIn: @covel Instagram: @mikecovel Hope you enjoy my never-ending podcast conversation!

Michael Covel speaks with Larry Hite and Alex Greyserman today on the podcast. Hite is a hedge fund manager and is one of the forefathers of system trading. He was famously featured in the Market Wizards book. A few years ago he started ISAM with Stanley Fink. Greyserman has 25 years of experience in the CTA industry, and was originally hired by Larry Hite at Mint. Greyserman is Chief Scientist at ISAM (PhD in Statistics). He is also a professor at Columbia University. Covel, Hite, and Greyserman discuss Singapore, and Covel’s recent excursions in Asia; how the game has stayed the same despite zero interest rate policy; what people are missing when they say “trend following is dead”; how you’ll never get perfection; their 800 year study, the premise, and what was found out; measuring human nature; the difference between divergent and convergent strategies; risk management; having “perfect” knowledge; using long trends and getting whipsawed in shorter trends; the asset class of trend following compared to the NASDAQ buy and hold, etc.; what’s changed about human nature through all the booms and busts; insurance, hedging your risk, and the risk transference process; asymmetrical leverage; adjusting to new environments; how those that survive are the most adaptable to the environment; and how trend following automatically adjusts to what’s happening. More: www.isam.com. Want a free trend following DVD? Go to trendfollowing.com/win.