Maybe this is just what normal markets look like
Updated: Sep 8
In this episode of Top Traders Unplugged Systematic Investor series, Alan Dunne is tasked with examining how a changing macro regime is reshaping markets and the role of trend following.
Interviewed by host and founder of Top Traders Unplugged Neils Niels Kaastrup-Larsen, they discuss unusual U.S. intervention in the yen, mounting sensitivity around Treasury yields, and questions surrounding Kevin Warsh’s communication and the Fed’s credibility.
Hear:
-What the unusual decision for the US to buy Yen might mean
-Why, despite reversals in the yen, bonds, the dollar, and gold, August was relatively positive for trend followers.
Alan identifies three fractures defining the new economic regime: persistent inflation, growing debt sustainability concerns, and the erosion of institutional norms. They also explore why trend following has performed differently this decade, particularly during periods of bond market stress, before comparing AQR and GMO’s strikingly different long-term return assumptions and what they imply for portfolio construction.
Listen to the podcast to hear:
-Why short-term trend following has become more difficult -Why medium and long-term trend does not appear to be have dramatically shifted
-Why CTA positioning can diverge from the macro narrative
-And why investors should not be overanalysing what CTAs are about to buy and sell
