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Today, we are joined by Matt Dorsten, Portfolio Manager within the Quantitative Strategies group at PIMCO, for a conversation how they manage 60 billion dollars through different quant strategies, of which app. $5bn is in Trend Following. We discuss their process of constructing portfolios using a defensive approach and how they manage to simultaneously maintain a high Sharpe, keep a balance between long and short trades and how they use tail "hedging" in their design of the strategy. We also discuss why they believe having a broad universe of markets is key and why they see a big potential in exotic markets, why they believe it is better to trade faster as a trend follower when markets are liquid enough, their process of measuring the expected returns and much more.
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Episode Timestamps:
02:28 - Introduction to PIMCO\\t
05:11 - Their investment philosophy\\t
11:11 - Too concerned about the Sharpe?\\t
14:53 - A different Speed of trend following\\t
18:13 - Building a defence against equity drawdowns
22:32 - Balancing the opposing forces\\t
25:45 - A different approach to volatility correlation?\\t
27:06 - Using machine learning\\t
28:04 - The role of bonds\\t
31:34 - The larger portfolio perspective
33:07 - Their research process\\t
36:53 - Number of markets\\t
39:01 -...'