Otto van Hemert - Seasonality Everywhere (S7E6)
Corey Hoffstein and Otto van Hemert delve into Otto's background in macro strategies and insights from the financial crisis. They discuss the role of behavioral signals versus value models in trading and the significance of calendar patterns in systematic trading. Otto shares his journey in starting a systematic macro fund and provides an overview of his paper on strategies for inflationary times. The conversation covers portfolio construction for varying inflation scenarios, seasonality, and trend following in research. They explore the overlap of seasonality with carry trades and how strategy design is influenced by research. Otto highlights the strengths of systematic investing, risk management, and the potential of generative AI in finance.
In today’s episode I speak with Otto van Hemert, Director of Core Strategies at Man AHL.
After briefly touching upon Otto’s background, we dive into one of his most popular papers: The Best Strategies for Inflationary Times. Otto shares the inspiration for the research as well as some of what he feels were the less obvious results.
Trend strategies, which were a standout winner in the inflation resilience horse race, serve as the bridge to a discussion on seasonality. Interestingly, Otto’s research suggests that long-term trend signals are actually capturing seasonality effects!
Otto shares his thoughts on different approaches to measuring seasonality, why he believes seasonality emerges in both commodities and financial markets, and how to think about combining trend and seasonality in a single portfolio.
Please enjoy my conversation with Otto van Hemert.
Chapters
| 0:00 | |
| 1:23 | |
| 2:26 | |
| 5:25 | |
| 8:02 | |
| 10:24 | |
| 12:46 | |
| 18:00 | |
| 22:25 | |
| 26:27 | |
| 30:16 | |
| 35:19 | |
| 37:29 | |
| 38:21 | |
| 42:30 | |
| 45:03 | |
| 46:53 |
Transcript
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