SI267: A Masterclass in Absolute vs Cross Sectional Momentum ft. Richard Brennan

In today’s episode, Richard Brennan takes us on a tour around the Australian economy and how the investment landscape is changing. We also discuss how different investment philosophies demand different interpretations and why the “one size fits all” approach does not exist, how cross-sectional momentum differs from absolute momentum. Lastly, we discuss why Richard uses an ensemble of trend following systems and why he always strives for maximum diversification, and why I feel we should not introduce divisiveness in the trend following industry and much more.

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Episode TimeStamps:

01:04 - What is happening in Australia at the moment?

07:53 - The investment landscape is changing

09:57 - Best UCITS Managed Futures Fund revealed

13:17 - Industry performance update

16:25 - Why does OJ keep rising?

19:54 - There is no "one size fits all" approaches

26:44 - How does cross-sectional momentum work?

31:12 - The importance of correlation

40:26 - Nuancing "treating all markets equally"

48:00 - The use of continuous signals

53:03 - How does absolute momentum works?

59:13 - Discussing sample size

01:01:30 - The principle of no selection bias

01:04:16 - Why Rich uses traditional risk measures

01:06:56 - Letting profits run to their conclusion

01:08:03 - Single asset level risk vs portfolio level risk

01:08:59 - Releasing the risk steam

01:10:37 - Using simple models

01:13:46 - Trend following - not so black and white?

01:22:45 - Thanks for hanging in there

01:24:11 - What's up for next week?

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