Top Traders Unplugged TTU143: How to stay Sharpe ft. Guillaume Jamet, Co-CIO at Metori Capital Management
Market Selection
- A larger investment universe is beneficial if markets are uncorrelated.
- However, high correlation among markets reduces this benefit, making market selection crucial.
Benefits of More Markets
- More markets are only beneficial if they capture new risk factors without adding specific risks or costs.
- Consider operational costs, liquidity risks, and data quality.
Market Risk Assessment
- When considering specific market risks, avoid general rules.
- Incorporate these risks into the model and price them accordingly, acknowledging differences across markets.
Guillaume Jamet, Co-CIO at Metori Capital Management joins us for a conversation on how pivoting to a rigorous scientific approach uncovered ways of better capturing trends in markets. We discuss his "alternative" view on Sharpe and why being a trend following CTA is not as easy as it might seem and how they break down conventional rules in markets to fix what is not working. We also uncover how Guillaume would approach manager selection if he was on the other side of the table and the pros and cons of trading alternative markets in China, how they make investors embrace trend following in their portfolio and much more.
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Learn more about Metori Capital Management.
Episode Timestamps:
02:17 - Introduction to Metori Capital Management
04:08 - Their investment philosophy
09:47 - An alternative view on Sharpe
18:44 - Adding value to a trend following program
21:08 - Signal filtering and embedding correlations
24:46 - The better technique and right timeframe
27:35 - Selecting and changing parameters
30:18 - Their view on replication
32:50 - Advice on evaluating and selecting managers
35:48 - Benefiting from alternative markets
39:30 - The risk of alternative markets
41:29 - Looking beyond China
42:18 - Incorporating ESGs with alternative markets
45:20 - Overcoming investors' trend following barriers
49:39 - The role of trend in a multi-asset portfolio
53:47 - Are risk mitigation strategies going out of fashion?
55:49 - Too much money in trend following?
58:57 - Trend following disagreements
01:00:56 - Expectations for 2023
01:02:55 - Thanks for listening
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