Simon Judes was interviewed by Niels Kaastrup-Larsen and Alan Dunne on this week’s Top Traders Unplugged podcast. Recorded at the beginning of March 2023, many of Simon’s comments on risk management proved prescient, particularly around the risks to CTA strategies of short fixed income and long equity positions.

Topics Covered

02:18 - Introduction to Winton

05:05 - Winton's investment philosophy

09:25 - Where are there opportunities?

10:18 - What caused Winton to reduce emphasis on trend following a few years ago?

13:48 - Too concerned about Sharpe ratio?

16:39 - The value of "Crisis Alpha"

20:09 - Changing the trend following narrative

22:41 - What about non-trend signals?

25:22 - Need for speed?

27:49 - Winton's 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 - Trend following in a broader perspective

54:18 - Working with clients

55:22 - Winton's 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