SI258: Absolute Momentum in a Chaotic Environment ft. Richard Brennan

2023-08-26

Richard Brennan is back to discuss the lurking uncertainty in the economy and take a deep dive into absolute momentum. What is it, how is it used and how does it relate to trend following? How does complex systems really function and evolve over time and what role does correlation play in system design? And financial markets is in fact chaotic systems, then how do predictive modellers trade them? Is there an edge from price following techniques in their ability to trade in highly complex and sometimes chaotic environment? Why noise is not as random as it might occur, how risk should be calculated in complex systems and much...

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Episode TimeStamps:

02:31 - What has happened since last conversation?

08:04 - Industry perfomance update

14:08 - Q1, Correy: If an investor is heavily weighed equities, as most are, are they better off with trend following providers that don't include equities as one of the utilized asset classes?

20:06 - A deep dive into absolute momentum

30:30 - Different implementations, same results

45:47 - The role of correlation

50:56 - Calculating risk in complicated systems

01:14:10 - The weakness of the Sharpe Ratio

01:21:04 - Know your manager well

01:24:19 - Thanks for listening

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