Simon Judes was a guest 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.
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