Adding Spreads and Options to Trend Following, with Moritz Seibert

The Derivative

We’re back in the trend space this week, diving into the pros and cons of classic trend following, as well as exploring new methods of trend, including building new “markets” with calendar spread data and trying to reduce the infamous trend open trade give backs with some option trades. Not to mention some talk on how investors have gone soft in their desire for low vol.

Jeff sits down with Moritz Seibert, the CEO of Takahē Capital, to talk about the rise of conditional payouts and payments, the peak of exotic structures in 2007 and 2008, and how to build a robust, diversified portfolio that can weather any storm (hint: trend following). Jeff and Moritz debate the importance of a systematic manager having an opinion on markets, whether a small market like OJ can actually make a different in a large, diversified portfolio of markets, and why the best trade entries are often times the painful ones. SEND IT!

Chapters:

00:00-01:45=Intro

1:46-4:58= No snow for Europeans

4:59-20:31= Exotic risks, trading options & quantitative strategies

20:32-31:22= Adding liquidity & getting maximum exposure to outlier markets

31:23-50:55= Launching Takahe Capital: Resilience, diversifying your portfolio & finding spreads in trend markets

50:56-01:00:03= Factors causing spread moves, buying the high & the inconvenient trade

01:00:04-01:12:25= This is what trading is & the value of Trend following

01:12:26-01:17:01= Skiing Arosa

Follow along with Moritz on Twitter @moritzseibert & Takahe Capital @TakaheCapital and check out his website takahecapital, and his free newsletter twoquants for more information!

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