Top Traders Unplugged

"It is important to have some tail hedges in the portfolio. We are basically long forward starting variance, again dealing with variance swaps, long six month variance swaps and short three month variance swaps. Basically what this leaves us with is a long Vega position. If markets collapse overnight, this position should generate a very positive P/L." - Roman Lutz (Tweet) How would it feel to identify trades no one else you know is looking for? Our guest is back and this interview is all about carry trades, mean reverting environments, merger arbitrage, volatility arbitrage, tail hedges and how to become the best trader possible. It's quite likely there is something in this interview which will help propel you forward as a hedge fund manager or in your research of managers. Welcome back to the second part of our interview with Chief Excutive Officer of Future Value Capital, Roman Lutz. Subscribe on iTunes, Stitcher Radio or TuneIn In This Episode, You'll Learn: Simple Models used by Future Value Capital to implement trend following How they utilize carry trades The third area of models: Tail Hedges Learn about how to carry potentially large value variance swaps while keeping the premium for holding them down "In a mean reverting environment as we have seen over the last couple of years, you lose on the momentum strategies, you lose." - Roman Lutz (Tweet) Where the variance exchange swaps derive from whether from OTC with counterparts or constructed using exchange listed products Learn about Credit Support Annex (CSA) Risk management procedures at Future Value Capital The purpose for tactical asset allocation meetings and the decisions that are made The common performance drivers and if there is a dominant part of the portfolio that is responsible for the performance How Roman translates the complex trading strategy of Future Value Capital to investors How Future Value Capital implements trades and why they consider it a key strength of their program "Most strategies have non-normal distributed returns. If they appear to have normally distributed returns, we've probably missed something." - Roman Lutz (Tweet) How much AUM would be optimal running the program or if the potential is unlimited How to create certainty around the risk Future Value Capital holds and how they define that risk What Roman Lutz considers to be one of the riskiest thing that could happen in the financial system What to expect in terms of returns and drawdown when investing in Future Value Capital How to realize when a model is no longer working Personal habits that contribute to Roman's success in managing a hedge fund Plus much, much more... "I actually take much more away from meetings where I get challenged." - Roman Lutz (Tweet) Sponsored by Swiss Financial Services and Saxo Bank: Connect with Future Value Capital: Visit the Website: www.futurevaluecapital.com Call Future Value Capital: +44 203 008 7292 E-Mail Future Value Capital: info@futurevaluecapital.com Follow Roman Lutz on Linkedin "Passion, common sense and patience are the key things for becoming a Top Trader." - Roman Lutz (Tweet)

"In 2008, during the financial crisis, I realized that the hedge fund industry had a significant problem. The problem was, and still is, many hedge funds don't deliver what the client expects them to deliver." - Roman Lutz (Tweet) Can you implement well established hedge fund strategies in a systematic way? Future Value Capital has been researching this for years, before they started trading. They are unique because of  how they simplify and automate complex Risk Premia. But we aren't the best at explaining their systems. Roman Lutz, the Chief Financial Officer of Future Value Capital will explain it all in the interview. Thank you for downloading the nineteenth episode of Top Traders Unplugged. Subscribe on iTunes, Stitcher Radio or TuneIn In This Episode, You'll Learn: About Merger Arbitrage and How investors can Profit What criteria they look for in mergers, such as Market Cap, Deal Size, Liquidity etc. What currency markets Future Value Capital enters The app. 15 strategies they use and how many sub strategies they may have "The whole CTA space embraces the concept of uncorrelated returns and liquid investments quite well. Then I thought, 'it's probably interesting to develop other alternative investment strategies besides trend following in a systematic way.' Then I basically discovered this whole world of alternative risk premiums." - Roman Lutz (Tweet) The origin stories of where the Future Value Capital strategy derived from. Understanding the typical way to build a derivative business Why the average correlation of a hedge fund with equities has shifted from 0.6 to 0.9 from the 1990's to today. How Scottish Whiskey tasting can kickstart long term business relationships "We just want to deliver clients what they expect from an alternative investment. That's what our passion is." - Roman Lutz (Tweet) The power of systematic trading: Taking the emotions out of investment decision making The power to trade a large number of different markets The capacity to test your systems for past market conditions Addressing the "Black Box" label that many systematic programs has What environment Future Value Capital's systems are best suited to operate within The business structure of Future Venture Capital and the alliance with Trium Capital "One thing which is very powerful about investments into systematic systems is it takes emotions out of the investment process. I think this is very important.." - Roman Lutz (Tweet) About the post Madoff and additional regulatory environment investors are operating in How Roman Lutz developed the shared business management and split the overhead cost with other emerging fund managers The negative side effects of sharing hedge fund management business practices with other firms A ballpark figure for the cost of being part of the Trium Manager Alliance and get the services required to be able to operate as a regulated and well run firm "We think implied volatilities are actually a very bad indicator for future realized volatilizes. But what it a much better predictor is realized intra-day volatility." - Roman Lutz (Tweet) How Roman and partners develop new plans in regards to where the economy is going and how to develop plans to manage funds going forward How merger arbitrage and volatility arbitrage connect implied and realized volatility How to buy realized volatility When to deploy and when not to deploy the realized volatility trades (when volatility starts to trend) Main categories from a strategy point of view - Trend Following for example

"For us, mean reversion is the key to the game." - Peter Kambolin  (Tweet) Imagine if your assets under management went from $721 million to $50 million.... Would you have the courage to stick with your system? Our next guest was able to weather that storm and come out even stronger. In fact, he gives credit to the fall in assets because it was an important component to improving their processes and efficiency today. We're excite to share with you, the second part of my interview with CEO of Systematic Alpha Management, Peter Kambolin. Subscribe on iTunes, Stitcher Radio or TuneIn In This Episode, You'll Learn: How many markets Peter trades and the number of different spreads The three points during a day in which volatility is elevated What triggers an exit from a trade when profit levels haven't been reached "If we hold positions for hours, it's extremely important to take into account intraday seasonality."  (Tweet) How Systematic Alpha Management makes decisions relating to sizing market positions The number of daily trades Systematic Alpha implements How much of the P/L comes from the hedge component of spread decisions "The best time to invest is not at the new high water mark. The best time to invest is during a drawdown if that manager has a long enough track record and has shown an ability to improve and recover."  (Tweet) What kind of Risk Budgets that Systematic Alpha Management runs How to drawdown profile has changed over the last few years Estimating and predicting Black Swan events "We strongly believe in our ability to recover and that is exactly what happened."  (Tweet) How Peter personally balances the challenging feelings of managing a portfolio in drawdown Exploring mean reversion and how the hedge ratios change daily On the value of being located in the heart of New York The biggest challenge for Peter in running Systematic Alpha Management "On one hand we try to be dynamic in how we hedge as we trade, on the other hand, if the changes are too strong we will ultimately cut the risk and stop trading."  (Tweet) Peter's opinion on why success in the CTA industry has shifted from the United States of America to Europe Why individuality is critical in success in the CTA industry Peter Kambilin's biggest failure and what he learned from it Some fun facts about Peter that you probably would never have guessed "To me investors are too focused and concerned with headline risk."  (Tweet) Sponsored by Swiss Financial Services and Saxo Bank: Connect with Systematic Alpha Management: Visit the Website: www.systematicalpha.com Call Systematic Alpha Management: +1 646 825 8075 E-Mail Systematic Alpha: info@systematicalpha.com Follow Peter Kambolin and Alexei Chekholov on LinkedIn "I would say it's more art than science. We would look at which countries are behaving normally, which ones are generating positive returns and we would re-leverage those first." (Tweet) Peter's questions for the next guest on Top Traders Unplugged: "What percentage of your gains come from cash returns?" (Tweet)  

"Sometimes it makes sense to have a 'common sense' guy next to a 'PHD' guy." - Peter Kambolin (Tweet) Peter Kambolin is the common sense CEO behind Systematic Alpha Management, an Award Winning CTA Firm which has come through the tremendous market forces of the past 10 years. Their staying power is a testament to their success as conscious, ruled based traders. This episode is about his hero's journey from immigrant origins in Moscow to founding a lasting, top financial service company headquartered in New York City. Thank you so much for joining us today, we really do hope you enjoy this episode. Subscribe on iTunes, Stitcher Radio or TuneIn In This Episode, You'll Learn: About the effect of the 2004 internet bubble and how Systematic Alpha created a "market neutral" CTA strategy in response What it's like to win global CTA awards yet still have to hunt new business due to capital flows towards large investment firms Peter's story of moving from Moscow to New York and how he entered the finance industry "What we're doing is very different from 99.9% of CTAs." - Peter Kambolin (Tweet) The surprising story of how Peter was inspired to start his own firm at 21 years of age How Peter and Alexi work together to maximize each others strengths, and control for each-other's weaknesses About the transition from long term to short term CTA strategies "Being a minority helps. If you're doing a good job, you could stand out. This is our goal, to stand out." - Peter Kambolin (Tweet) Why living in New York yet playing in Miami helps stoke Peter's creativity A brief overview of the programs Systematic Alpha Management runs today: when they started and levels of Assets Under Management (AUM): 2 Programs: 1. Original Systematic Alpha Futures Goal - Started trading in 2001. By 2004 AuM was 5-10 million. In 2005 the fund held 20 million, 2006 80 million & 2011 700 million in the program. 2. Systematic Alpha Multi Strategy Fund - A program with more diversification with 50% allocation to original program and 50% to a momentum model. 30-35 million in AUM is allocated to this fund. "One or two months would produce your total P/L for the year." (Tweet) The story of the dramatic period of March-August 2011 in which they experienced a drawdown that let to a drop in AuM from 721 million to 50 million due to investor redemptions. The effects of the coordination of global economic decisions by government on volatility and it's effect on the overall environment for Systematic Alpha Management's CTA programs. Five main functions of a fully in-house business operation: Research - Fully Automated Trading - Back Office Functions - Marketing - Compliance Why Peter considers Systematic Alpha to be a stronger firm after the steep drop in AUM they experienced in 2011. "I would say that our returns in 2012, which were very strong, primarily were due to the adjustments that were implemented [from 2011.]"  (Tweet) Where Systematic Alpha's value proposition is and the importance of a CTA position in diversification How to get out of losing trades when liquidity is a problem Plus, much much more... Resources & Links Mentioned in this Episode: Trend Logic Associates - The Initial Long Term CTA Firm Alexi Worked with to learn the CTA strategies See Systematic Alpha Management awards on CTA Intelligence US performance award 2014 See Systematic Alpha Management listed as a Pinnacle award recipient for Best Diversified CTA for 2013. See Systematic Alpha Management list as award recipients for 2009 & 2012 with HFM Week.

"I don't think that anything you can read in a book will work in the sort term trading space." - Karsten Schroeder (Tweet) Welcome back to Top Traders Unplugged. On this episode Karsten and I discuss the systems and implementation that has led Amplitude to such remarkable success. As the interview comes to a close, we learn about Karsten's philosophy of success and entrepreneurship. Despite being based outside the global financial hubs (i.e. New York, Chicago, London) Amplitude has experienced world class results. He provides a deep philosophy on achieving success in the CTA industry. Thank you for listening episode #016, where we continue our conversation with Karsten Schroeder of Amplitude Capital. In This Episode, You'll Learn: Allocation of capital from a stop-loss point of view when doing short term trading Amplitude Capital's systems for trade implementation Why high frequency trading is a very different strategy from that of Amplitude Capital's "We are running 5 days a week, 24 hours a day." - Karsten Schroeder (Tweet) Risk management strategies and the framework for embedding these principles into the Amplitude Capital operations Exploring the meaning of market correlation in short term CTA strategies Karsten Schroeder's philosophy on drawdowns "When you cut a drawdown you lock in the loss and you will limit yourself in the recovery." - Karsten Schroeder (Tweet) How managers can do a better job of explaining drawdowns The role of teamwork and processes in the research cycle The internal processes for validating implementation of strategies at Amplitude Captial "We have no interest what-so-ever in hot money." - Karsten Schroeder (Tweet) Karsten Schroeder's explanation for why Amplitude has experienced such success Do financial leaders need to live in financial hubs? How living outside of the financial hubs has impacted Amplitude Capital The difference between European CTA managers and US counterparts. Why has the market dominance shifted? "Stay entrepreneurial, don't become a manager." - Karsten Schroeder (Tweet) The philosophy of failure that empowers Karsten Schroeder's entrepreneurial journey What continues to inspire Karsten to keep running the business The question investors are not asking that they should be: "...spending more time asking where the money was made and how it was made." Sponsored by Swiss Financial Services and Saxo Bank: Connect with Amplitude Capital: Visit the Website: www.ampcap.com Call Amplitude Capital: ++41-41-747 15 00 E-Mail Amplitude Capital: z@ampcap.com Follow Karsten Schroeder on Linkedin "Nobody can tell you beforehand how big a drawdown is going to be. There are statistics where you can say, "well a drawdown should not be bigger than 1.5 times the volatility," but given the wrong market environment it can be bigger." - Karsten Schroeder (Tweet)

"When you build short term trading models, it's all green-field research." - Karsten Schroeder (Tweet) Through courage and vision, Karsten Schroeder co-founded Amplitude Capital as a pioneer in the CTA industry. Why pioneers? Because they focused on short term trading. In this episode of Top Traders Unplugged, Karsten and Niels discuss Amplitude Capital's scientific approach to Amplitude Dynamic and Amplitude Klassik. These are the two short-term rule based trading programs that Karsten and his team run to invest billions of dollars on behalf on a small group of institutional investors. Thank you very much for listening to this episode with the Executive Chairman of Amplitude Capital, Karsten Schroeder. In This Episode, You'll Learn: The founding story of Amplitude Capital About the motivation source for choosing short term trading On the essence of a great company: The Team "There is a negative notion to the word 'change', that's why we prefer the word upgrade. Upgrade means you do, more or less, the same that you were doing before but in a better way." - Karsten Schroeder (Tweet) Describing Amplitude Capitals' Trading Programs: Amplitude Dynamic - A two day holding period, short term CTA program that trades all asset classes (currently trading app. $1 billion.) Amplitude Klassik - 8 day holding period program, with less reversion models than Dynamic (currently trading app. $600 million.) The scientific processes guiding Amplitude's perception of the markets How Amplitude manages their in-house and outsourced business processes "As important for an investor to choose the right fund, as important it is for the fund to choose the right investors." - Karsten Schroeder (Tweet) Where the point of optimal capital under management is for Amplitude Capital A bird's eye view of their historical track record and their reaction to the market shift in 2009 On the effects of quantitative easing and other government interventions in market health "When you evaluate businesses today, I think it's so much more down to the team than to the original idea." - Karsten Schroeder (Tweet) Model decay and how to best deal with it The design structure of Amplitude Capital's Programs Market dynamics and where the Amplitude programs trade "Having markets that face interventions is not healthy." - Karsten Schroeder (Tweet) Differing philosophies: market specific models vs. models for all markets Comparing mean reversion models (counter trend models) vs. trend following models Plus much, much more... Resources & Links Mentioned in this Episode: Karsten's also participated in the Battle of the Quants   Sponsored by Swiss Financial Services and Saxo Bank: Connect with Amplitude Capital: Visit the Website: www.ampcap.com Call Amplitude Capital: ++41-41-747 15 00 E-Mail Amplitude Capital: z@ampcap.com Follow Karsten Schroeder on Linkedin "The first couple of years were really, really tough because I remember I was doing so many meetings pitching this to all types of investors around the globe." - Karsten Schroeder (Tweet)

"You're going to make a lot of money doing this so you should love everything about the system that's going to produce all those profits. All you have to do is have the confidence and the faith to keep going and do those trades. That's the only thing that stands between you and your best chance of achieving what you want to achieve." Today we will continue our conversation with Jerry Parker the founder of Chesapeake Capital and widely known as the most successful Turtle ever. After wrapping up his position with Richard J. Dennis as a famous "Turtle," he went on to start his own asset management firm, Chesapeake Capital Corporation. In this episode we discuss the evolving CTA industry and the story of Chesapeake. It's a powerful story from one of the most successful people in the industry. We really hope you enjoy it. Welcome to episode 14 of Top Traders Unplugged. In This Episode, You'll Learn: How the research and complexity of systems has a backwards effect to making money Challenges with entering stock markets with CTA strategies Why counting the trades and analyzing sample size is what most investors forget to ask when seeking fund managers "I think the biggest enough complaint that investors have about CTA firms is that there aren't enough stocks" Where the CTA managers have failed investors How Jerry Parker handles emotions during drawdowns Why markets have changed so that longer term focus has proven more successful Learn about the philosophy of "The Markets are the Heroes" "You sort of have to look at yourself as a martyr, being willing to suffer pain and do what most people find hard to do; stick to a game plan, even when it's not going well" Important lessons from a long, successful career in the CTA industry What is it that keeps investors from Turtle CTAs and choose larger financial organizations Why we see a skewed distribution towards profitability of long side trades and short side trades The key legacy traits left behind by the Turtles and if the experiment could be replicated now Why Jerry Parker's contribution to the CTA space will be that he sticks with the plan and be the last one going down with the trend following ship "That is really the essence of what we do. No one can predict what will happen. The trend following rules will put us in a good situation usually if something happens that's never happened before." Lessons for upcoming CTA managers from Jerry Parker Debunking trading cliches like, "you never go broke taking a profit" and "exits are more important than entries" Personal habits that have contributed to Jerry Parker's success How Jerry Parker would start if he were to start all over again Resources & Links Mentioned in this Episode: Ray Daliho - Bridgewater Capital Learn about Jerry Parker's Acting "Career" on his IMDB page Sponsored by Swiss Financial Services and Saxo Bank: Connect with Chesapeake Capital: Visit the Website: www.chesapeakecapital.com Call Chesapeake Capital: +1 804 836 1617 E-Mail Chesapeake Capital: clientservices@chesapeakecapital.com Follow Jerry Parker on Linkedin & Twitter  "To be successful, I believe you should commit yourself to a systematic approach"

"You're sort of tempted after a certain period of under performance to tinker with your systems and call up research. Then as soon as you implement the new research you find out, well the older systems would have performed better" Imagine you found an advertisement in the newspaper offering a position with a one sentence application process. Would you take it? What if it was for a position where you would learn a proprietary trading system in which you would trade solely for owner of the firm? What if that man was Richard Dennis? Our next guest took that position in 1983 and it changed his life forever, for the better. He found himself with what was to become a famous title, a Turtle. He was given the opportunity to manage a million dollar account with specific rules to follow. Rules that he would learn to love and perfect. Thank you for listening and I hope you enjoy the first part of this world exclusive conversation with the most successful Turtle of all times, Jerry Parker. In This Episode, You'll Learn: About the Turtles and how the unique experiment grew into the Managed Futures/CTA Industry How Wall Street Leaks inspired Jerry into understanding the industry How Jerry encountered trend following for the first time The One Sentence culture in Richard J. Dennis's office "The Turtle program was so amazing because our client understood trading unlike most clients and actually created those systems. He created the Turtles." How to excel at unprecedented tests from leading traders What it was like moving to Chicago to train as a Turtle What the Turtle training was like and the mindset provided in the training The most challenging thing about Trend Following when Jerry started with Richard Dennis "I probably trade the original system philosophy as much as humanly possible" About the transition from Turtle Trading to starting his own organization, Chesapeake Capital in 1998 The evolution of Chesapeake's strategy from day one after leaving Richard Dennis's program The early focus on diversification and adding new markets Issues with trying to improve the original Richard Dennis The shift in investor expectations with the growth of institutional investment organizations while operating on of the largest CTA firms in the industry Why it's best to take an optimal loss rather than a small loss On the meaningfulness of track records and what else investors should be encouraged to explore when choosing an investment management decision "Typical Rich (Richard Dennis) he was just very understanding and he just knew how to motivate people. He was a very kind person." The advertisement Jerry responded to in 1983: Richard J. Dennis and CD commodities is accepting applications for the position of Commodity Future Trader to expand his established group of traders. Mr. Dennis and his associate will train a small group of applicants in his proprietary trading concepts. Successful candidates will then trade solely for Mr. Dennis. They will not be allowed to trade futures for themselves or others. Traders will be paid a percentage of their trading profits and will be allowed a small draw. Prior experience will be considered, but is not necessary. Applicants should send a brief resume with one sentence giving their reason for applying. Resources & Links Mentioned in this Episode: The Barefoot Trader (Article about Richard Dennis in Wall Street Journal) Learn more about Richard J. Dennis the founder of the Turtle program "I would change in a heartbeat if I could improve, but I just haven't seen anything better than what we were taught.

"I think we are in a major, industrialization of the finance industry. The CTA industry is no exception" Welcome back to Top Traders Unplugged. In this episode we continue our conversation with Dr. Mathias Bucher the Co-Founder of AllMountainCapital. In this episode we go deep in the philosophy, habits and personal traits required to excel in the hedge fund industry. It's a pleasure to have you here and we hope you enjoy the episode. In This Episode, You'll Learn: About Stop Loss, Risk Management and overall Exit Strategies How the current drawdown is effecting current testing and research at AllMountainCapital How Mathias takes the stress of drawdowns and turns it into creative power "I always try to channel potentially negative emotion into some positive action. I think that is my personal way of dealing with the distress of drawdowns" The research cycles in the program and the company as a whole at AllMountain An example of a research idea developed and how it was implemented Current research interests in business development and market positioning as a CTA Why Dr. Mathias Bucher and Dr. Tilman Keese base their business in Wollerau rather than a major financial hub The threats and challenges involved in growing a young CTA firm "I strongly feel that there is a natural boundary to a reasonable leverage that you should take, as a manager, if you don't want to gamble your business" Dr. Mathias Bucher's perception on why the CTA industry excellence seems to be shifting to Europe Learn about the concept of the Industrialization of the Global Financial System The human traits needed to strive in the CTA industry The vision for the future of AllMountain "Research is a two sided sword. You can do to little and lose your innovation or you can do to much and end up losing the robustness of the model" Resources & Links Mentioned in this Episode: Larry Hite and ISAM Watch another interview with Dr. Mathias Bucher on Opalesque TV. "We want to be invested only in the 10-20 best markets at any time." Sponsored by Swiss Financial Services and Saxo Bank: Connect with AllMountain Capital: Visit the Website: www.allmountaincapital.com Call AllMountain Capital: +41 (0) 55 511 05 85 E-Mail AllMountain Capital: info@allmountaincapital.com Follow AllMountain Capital on Linkedin "Sitting in the countryside for me personally is a very good thing. I get a lot of creativity from nature and doing sports. I think I would feel less comfortable sitting in London, for example"

"We strive to have a selective portfolio of not very many positions. Essentially, picking the best trends out there and combining them into the portfolio in a way that provides an optimum de-correlation of these candidates" Our next show provides you with the opportunity to learn from a highly educated founder and fund manager. He Studied Economics at the Luzon Universidad de Carlos III de Madrid. He went on to earn a PhD in Quantitative Finance in Evolutionary Finance at University of Zurich. Upon graduating he agreed to a research position with Zurich Capital Bank. Horizon21 made an offer to have Mathias and his business partner Dr. Tilman Keese build a systematic trading program. In 2010 they left Horizon21 to go out as entrepreneurs with AllMountainCapital. Please give a warm welcome to, Dr. Mathias Bucher. In This Episode, You'll Learn: The story of founding AllMountainCapital and how much AUM they currently manage How they outsource all non-core aspects of the business so they can focus on Research, Trading & Client services On the changes in the CTA industry from 2007 to the present "On a positive note, a drawdown triggers a huge amount of creativity and research in many aspects" Why central bank actions are correlated with a drop in volatility since 2009 The nature of the AllMountain trading model and how it has coped during challenging times "So now all major central banks are doing the same thing which totally and fully killed volatility, especially since autumn 2011" About the Modules that make up the AllMountain trading program Sectors and markets that AllMountain trade How their different system works and why they use it the way they do How they quantify trend strength in a market "I actually discovered that finance is actually more interesting than they teach you in the college classroom" Resources & Links Mentioned in this Episode: Larry Hite and ISAM Watch another interview with Dr. Mathias Bucher on Opalesque TV. "We want to be invested only in the 10-20 best markets at any time." Sponsored by Swiss Financial Services and Saxo Bank: Connect with AllMountainCapital: Visit the Website: www.allmountaincapital.com Call AllMountainCapital: +41 (0) 55 511 05 85 E-Mail AllMountainCapital: info@allmountaincapital.com Follow AllMountainCapital on Linkedin "I also know that the low volatility state will not go on forever, and we have convincing evidence from many studies"

"If a trader was to not execute on one of the trades that the system generated, that would be the quickest way out the door at Dunn." What are you going to do to differentiate yourself from everyone else in the industry? That's the question Marty Bergin would ask the next guest on Top Traders Unplugged. Welcome back for the second part of our interview with, Marty Bergin. In This Episode, You'll Learn: How trade decisions are generated and executed at Dunn Capital Management The way Marty and Dunn manage the emotional challenges of trend following Why many CTA firms are giving allocations to long equities and the results of that decision "Portfolio development is a huge thing in our industry. I don't think it's appreciated as much as it should be." How significant drawdowns help to make firms stronger Dunn Capital Management's approach to research How Dunn Capital identifies and reacts to issues with external/strategic alliance situations Portfolio development and decision-making at Dunn Capital "Dunn is a democracy, but only one vote counts" On the importance for personal ownership in a CTA firm Learn about Michael Covel's interview with Harry Markowitz The importance (or lack of) of being located in a large financial hub Dunn Capital's investor focused fee structure Why European CTA's seem to be out growing the American firms What does it take to become a great CTA in today's environment Resources & Links Mentioned in this Episode: Listen to Michael Covel and Harry Markowitz Explore the resources at Dunn Capital's website Sponsored by Swiss Financial Services and Saxo Bank: Connect with Dunn Capital Management: Visit the Website: www.dunncapital.com Phone: +1 772 286 4777 E-Mail: info@dunncapital.com "There is a place for CTAs, even in today’s environment where we are not making a lot of money. We're comfortable because we're still making money in this environment. Even if the CTA's aren't making money as a whole, that risk protection or insurance that can be bought by an allocation to a CTA is significant. People with large portfolios need to understand that."  

”My comment to him [Bill Dunn] was that I had a really good thing going so I wasn’t sure that that would really be the right move to make, and his response to me was, 'that’s fine, I’m not sure you can really handle it.'” Our next guest is a partner in a firm that has enjoyed 40 years of trading success with a 30 year continues track record of their WMA program. The track record of the organization, Dunn Capital Management, is world-class. The legendary Bill Dunn offered partnership to our next guest and he replied, "I'm happy with where I am." Bill's response will make you laugh. We're grateful to have your ears for episode 009 with, Marty Bergin. In This Episode, You'll Learn: The Story of Dunn Capital and the Evolution of Dunn Capital Management How Marty began working with the firm and how he became a partner The company culture of Dunn Capital and why it's so important to their success An overview of the WMA program "It's only one number in the system, but I think, going forward, it's going to be significant in our returns" How the Value At Risk (VAR) approach separates Dunn Capital from other CTAs Why Dunn Capital manages all tasks in-house About the 30 year+ track record of Dunn Capital "We didn't make a lot of changes to the system for a number of years, and I think we kind of got behind" The big research upgrades taking place in 2006 About the change to using two separate "Algo Classes" About the adaptive risk profile (ARP) Dunn's approach to diversification across sectors (for example; 23% in agriculture and 13% currency allocation) "Basic trend following, you've got 2 parameters. Time and noise. Instead of taking one time variable and one noise variable for each market, now we're looking at hundreds of time frames and noise variables." Resources & Links Mentioned in this Episode: Learn about Dunn Capital's methodologies and awards. Q&A with Bill Dunn "When we look at the adaptive risk profile, what we're looking at is: is this a good environment for trend following or is it not. The better the environment the higher the targeting mechanism is, the lower that we determine the trendiness of the market to be, the lower we adjust our target." Sponsored by Swiss Financial Services and Saxo Bank: Connect with Dunn Capital Management: Visit the Website: www.dunncapital.com Phone: +1 772 286 4777 E-Mail: info@dunncapital.com "The whole concept is that everything is 100% statistical. We don't use any fundamental data in decision-making. It's all purely based on price data because there is no subjective knowledge in price data."  

"The shorter you go in your trading, the shorter the half-life of the models. The longer the models, the easier it is to see them as robust and not having to react." Today we rejoin the conversation with Martin Estlander the Founder and CEO of Estlander & Partners. If you missed the first part, feel free to listen to it here. In this episode we explore the evolution of the CTA industry, the skills required to run a successful business and finally the fun, less known facts of Martin's life outside of trading. Welcome to episode 008, the second part of our conversations with Martin Estlander. In This Episode, You'll Learn: The best rule of thumb to visualize risk in a traditional CTA portfolio What Martin has learned from being in drawdowns and the difference between drawdowns before and after 2009 The effect of volatility in the markets and how this impact CTA performance How Martin Estlander manages the emotional roller coaster "I would also look into how stable the organization is expected to be and where people find the inspiration to work: how driven they are by money, and how driven they are by other factors, and I think that this is something that is really underestimated today" Research processes and research cycles at Estlander & Partners How to identify and address systems that were working but now aren't The biggest challenge for Estlander & Partners going forward What are investors not asking that they should be asking when choosing a CTA Where the misunderstandings can happen for investors when trying to understand the CTA industry "This is the biggest difference from the past, when you analyze everything from this perspective, it doesn't look all that strange, and, in fact, the drawdown has been, believe it or not, a lot lower than what would have expected in this environment" How to become better at communicating with investors Martin's key traits to success in the CTA industry Personal habits that have contributed to the success of Martin Estlander "These strategies are in many ways not intuitive. On the contrary, they are a bit counter intuitive in how they work and when they work. That makes it difficult for investors to grasp." How Martin manages failures and improves from them The things Martin would do differently if he started over today Resources & Links Mentioned in this Episode: Learn about Commodities Corporation, the company behind some of the all-time great traders Sponsored by Swiss Financial Services and Saxo Bank: Connect with Estlander & Partners: Visit the Website: www.estlanderpartners.com Phone: +358 (0) 20 7613 300 E-mail: info@estlanderpartners.fi Follow Estlander & Partners on Facebook & Linkedin If you missed the first part of this interview, feel free to listen to it here.

"I spend a lot of time thinking about the philosophy behind what's driving the markets and what's driving our human minds." Estlander & Partners - The Oldest CTA firm in Scandinavia and one of the Longest Running CTA firms in the World.  Thank you for listening to episode 007 with its founder Martin Estlander. In This Episode, You'll Learn: How Martin got involved in the CTA Industry The Evolution of Estlander & Partners and Where They are Today Founding of an options trading business in Frankfurt in 1991 "It was great to be in the evolution of the derivatives market in Europe." About the inspiring time in which he was part of the Commodities Corp. team until 1998 when Goldman Sachs came in and bought CC About Jan Haraldsson's Alpha Trend Program and how they recently opened the Program for external investors The recreational activities that support Martin's trading philosophy. Skiing, Tennis, Sailing and Meditation "One of the big conclusions we've drawn is the fact that the volatility environment is so important in describing the returns and the return opportunities" An overview of the Main Programs Estlander & Partners run today - Alpha Trend, Freedom, Global Markets & Presto The business organization of a modern day CTA firm - What is "in-house" and what is outsourced How volatility is perceived in the Estlander & Partners portfolio "The options trading and market making history has dominated our DNA as traders to quite an extent." The structure of the Alpha Trend Program and why it is designed to trade 74 different instruments and how they mix together How Alpha Trend's pattern recognition differs from the traditional moving average crossover or price breakout Whether Alpha Trend is Intra-day, End-of-Day… or both What Alpha Trends' models are designed to capture How Alpha Trend manages stop loss and stop profits when entering a new market Particularly important key performance drivers of Alpha Trend The human intervention required to run the Alpha Trend model How Martin Estlander defines risk Achilles Risk and how Alpha Trend manages for it "There are many parallels between trading and the way the mind works. The way we are designed as human beings with our emotions and our reactions, our instincts, etc. actually is what drives the markets in a way which makes it possible for systematic strategies to make money." Resources & Links Mentioned in this Episode: Learn about Commodities Corporation, the company behind some of the all-time great traders Sponsored by Swiss Financial Services and Saxo Bank: Connect with Estlander & Partners: Visit the Website: www.estlanderpartners.com Phone: +358 (0) 20 7613 300 E-mail: info@estlanderpartners.fi Follow Estlander & Partners on Facebook & Linkedin

"The reason that we in the business is because we strongly believe that there is a need for investors to have this offset capability." We're back with the second part of our conversation with the Head of Research at Rho Asset Management. In this episode we discuss the details of Managing Equity Curves, Trade Length in CTA systems and how Rho achieves to get the optimal position size when entering new trades. Thank you for visiting, now let's continue the interview with Tushar Chande. In This Episode, You'll Learn: HowRho creates for algorithms to decide the size of a new position The difference between the models in terms of trade length The trade frequency Rho Asset Management About the design philosophy in creating the profile of the Altius Program "We live in the world of randomness." Discussing the research cycle and the research reviews Major findings that led to the creation of the Altius Program Why trend following systems make money over time How the CTA strategies will overcome challenges in the future The main thing investors should take away as a benefit of investing with CTAs "Leverage is a two edged sword so it's very easy to get knicked." Sponsored by Swiss Financial Services and Saxo Bank: "We have a breakout style system. It gives us a much better ability to manage open trade risk." Connect with Rho Asset Management: Visit the Website: Rho Asset Management E-Mail Rho Asset Management: investor@rhoam.ch