Get ready for an engaging conversation with Bruno Gmür, the Founder and CIO of Quantica Capital, as we explore their unique approach to systematic diversified trend following. Join us as we dive into the world of relative trend following and why volatility isn't always the right measure of risk. Bruno shares his insights on the challenges of estimating covariance matrices and expected returns during times of crisis, and how to create robust models to mitigate risk and prepare for market shocks. We'll also discuss why Quantica Capital no longer uses the term "crisis alpha" to promote their strategy and why trend following is much more complex than it may seem. Don't miss our discussion on the relationship between market liquidity and volatility as well as many more topics in this wide-ranging conversation.
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Learn more about Quantica Capital.
Episode Timestamps:
02:46 - Introduction to Quantica Capital
05:04 - Their investment philosophy
12:31 - What makes them unique?
17:09 - Reacting to trends
19:43 - Why not do it the easy way?
23:33 - Looking Sharpe
30:34 - When Correlations go to "1"
35:12 - Dealing with shocks
39:02 - The measurement methodologies
43:14 - The role of correlation
46:38 - Good research and potential pitfalls
53:09 - Important discoveries
55:26 - Making adjustments in a larger portfolio
59:11 - The time scale perspective
01:05:07 - The pros and cons of CTA replication
01:10:42 - Setting return expectations
01:14:14 - Trend following disagreements
01:15:45 - Expectations for 2023
01:19:22 - Thanks for listening
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