Portable Alpha Risks and Cash Management

Markets rarely offer clarity when it matters most. In this episode, together with Katy Kaminski and Harry Moore, we reflect on a first quarter defined by sharp reversals, energy shocks, and rising dispersion across strategies. They explain how trend following adapted as leadership flipped across asset classes, and why results varied more than many expected. The conversation moves beyond performance to examine portfolio construction, from market selection and speed to the growing relevance of portable alpha. Along the way, they revisit periods of drawdown, investor behavior, and the role of liquidity in crisis environments, offering a grounded perspective on how systematic strategies respond when conditions change quickly.

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Episode TimeStamps:

00:00 - Introduction and episode framing

01:38 - Market backdrop and Q1 volatility

07:29 - Trend following performance through Q1

09:36 - Diversification vs equities and bonds

11:21 - Dispersion across managers explained

14:32 - Trend vs non trend strategies

18:40 - A month that tested every component of trend

21:17 - Optimal market mix and research insights

30:00 - Macro factors and what trend captures

35:57 - Portable alpha and cash efficiency

42:23 - Risks in portable alpha construction

49:04 - Drawdowns and investor behavior

53:37 - Why trend recovers after shocks

01:00:51 - Measuring alpha in macro strategies

01:06:51 - Geopolitics and future opportunities

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