TTU139: The Benefits of Alternative Markets ft. Simon Judes, Co-CIO at Winton

Today, we are joined by Simon Judes, Co-CIO at Winton for a conversation on how they use quantitative investment strategies and statistical research to generate alpha. We discuss how the characterization of Crisis Alpha has the potential to be misleading and why the speed of your trading should be determined by your objective, their process of discovering new ideas through research and the pitfalls of relying too heavily on automation. We also discuss how they stay diversified through alternative market selection, why it is important to look beyond volatility when assessing risk and much more.

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Learn more about Winton Group.

Episode Timestamps:

02:18 - Introduction to Winton

05:05 - Their investment philosophy

09:25 - Where does opportunities arise?

10:18 - What caused them to reduce emphasis on Trend a few years ago?

13:48 - Too concerned about Sharpe?

16:39 - The value of Crisis Alpha

20:09 - Changing the trend following narrative

22:41 - What about the non-trend?

25:22 - Need for speed?

27:49 - Their research process

31:19 - Accessing big events in markets

35:00 - The pros and cons of machine learning

38:16 - Trading and selecting parameters

42:23 - The risks of CTA replication

44:57 - More markets = better?

50:09 - Staying balanced

52:23 - The strategies in a broader perspective

54:18 - Working with clients

55:22 - Their approach to risk manangement

01:00:18 - The worst possible scenario

01:01:24 - Preparing for the worst?

01:02:37 - Question about capping the ability to go long stocks

01:03:59 - How many trend followers do you need?

01:05:14 - Setting return expectations

01:07:33 - Trend following disagreements

01:11:05 - Expectations for 2023

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