TTU143: How to stay Sharpe ft. Guillaume Jamet, Co-CIO at Metori Capital Management

2023-04-17

Guillaume Jamet, Co-CIO at Metori Capital Management joins us for a conversation on how pivoting to a rigorous scientific approach uncovered ways of better capturing trends in markets. We discuss his "alternative" view on Sharpe and why being a trend following CTA is not as easy as it might seem and how they break down conventional rules in markets to fix what is not working. We also uncover how Guillaume would approach manager selection if he was on the other side of the table and the pros and cons of trading alternative markets in China, how they make investors embrace trend following in their portfolio and much...

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Learn more about Metori Capital Management.

Episode Timestamps:

02:17 - Introduction to Metori Capital Management

04:08 - Their investment philosophy

09:47 - An alternative view on Sharpe

18:44 - Adding value to a trend following program

21:08 - Signal filtering and embedding correlations

24:46 - The better technique and right timeframe

27:35 - Selecting and changing parameters

30:18 - Their view on replication

32:50 - Advice on evaluating and selecting managers

35:48 - Benefiting from alternative markets

39:30 - The risk of alternative markets

41:29 - Looking beyond China

42:18 - Incorporating ESGs with alternative markets

45:20 - Overcoming investors' trend following barriers

49:39 - The role of trend in a multi-asset portfolio

53:47 - Are risk mitigation strategies going out of fashion?

55:49 - Too much money in trend following?

58:57 - Trend following disagreements

01:00:56 - Expectations for 2023

01:02:55 - Thanks for listening

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