Moritz Heiden & Moritz Seibert – Trend-Following Spreads (S7E25)
A few years ago, I sat down with Moritz Seibert and Moritz Heiden of Takahe Capital to talk about trend following at the edges of the futures markets: places where liquidity is thin, contracts are obscure, and capacity constraint is a feature, not a bug. Since then, despite strong performance, asset growth, and even winning industry awards, they made a very un-industry decision: they shut down their original fund. In its place, they launched a new Global Markets Fund built to stay small, so they can trade calendar and product spreads, niche agricultural markets, and other idiosyncratic contracts at equal risk to more standard markets. In this conversation, we unpack that decision, explore how you systematize trend on markets where liquidity does not exist on screen, and go deep on why spreads represent a fundamentally different opportunity set than outright futures. We also talk about what’s next: from prediction and event markets to new ways of thinking about macro trends and alternative data.
Key Points
- Trend following in obscure markets like California carbon emissions and oats requires capacity constraints to ensure meaningful allocations and effective trading.
- Calendar spreads and product spreads offer fundamentally different opportunities than outright futures, allowing for unique risk management and diversification benefits in a systematic trading portfolio.
- The exploration of prediction and event markets, as well as economic trend models, highlights the importance of identifying uncorrelated opportunities and managing the complexities of alternative data in quantitative strategies.
Chapters
| 0:00 | |
| 0:53 | |
| 1:33 | |
| 4:28 | |
| 7:22 | |
| 12:34 | |
| 15:13 | |
| 21:07 | |
| 25:30 | |
| 33:44 | |
| 40:29 | |
| 45:07 | |
| 48:42 | |
| 55:06 | |
| 1:00:55 | |
| 1:04:55 |
Transcript
Loading transcript...