Today, we are joined by Marty Lueck, Co-Founder of Aspect Capital, for a conversation on their systematic investment process, with a primary focus on research. We discuss why bias is a core element of Aspect Capitals investment philosophy, the essence of trend and why trend strategies work, as well as how they work together with their investors to create the most optimal portfolio for them. We also explore Lueck's analogy of trend as "medicine" and why it is important to give the medicine time to do its work. We continue with topics such as how trend following as a strategy has evolved over time and how they feel about the newest CTA replication products, their reasoning for being cautious about using machine learning and, why they chose not to dwell too much on fees, how they guide their clients when it comes to return expectations and much more.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode Timestamps:
02:57 - Introduction to Aspect Capital
06:54 - Their Investment Philosophy
09:56 - Why does trend strategies work?
13:12 - A less uncertain period
15:44 - Too concerned about the sharpe?
20:38 - Which trends are most popular?
23:01 - Costumization - is there a limit?
28:58 - Staying diversified and improving models
34:33 - The research process
37:29 - A change in models?
40:15 - CTA Replication - good or bad idea?
46:01 - Their perspective on machine learning
49:33 - The risks of trend following
51:45 - Manipulated markets
53:04 - Their perspective on capacity and fees
56:26 - Setting expectations
59:05 - Simple vs. sophisticated
01:00:03 - Trend following disagreements
01:01:34 - Last words
01:04:01 - Thanks for listening
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