Is trend following dead?

I get asked this question at least once a week. As those of you that have met me IRL ('in real life') will know I have li…

Is maths in portfolio construction bad?

First an apology. It's been quite a few months since my last blog post. I've been in book writing mode and trying to mini…

Vol Targeting and Trend Following

We are long. The price jumps up. Good. But this means the risk goes up So cut our position, just as we're finally making seri…

CTA allocations, QE, meta-prediction, and conditional return distributions

As most of you know my last proper job ( part time  lecturing and occasional consulting gigs do not count) was managing the fixed…