Today, we are joined by David Gorton, CIO at DG Partners, for a conversation on how they use trend following to achieve a multi-billion dollar portfolio. We discuss how to become a better trend follower by understanding the weaknesses of the strategy and their approach to produce positive alpha, the challenge of timing trend following and how they focus on the conceptual trend without giving up the skew and how the "dark" 10-year period has affected their approach to volatility. We also discuss how they manage risk in an uncertain environment and the state of liquidity, whether trend following has a limit in terms of capacity and much more.

DG Partners LLP is authorised and regulated by the FCA and only provides services to professional clients as defined under the FCA rules.

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Learn more about DG Partners.

Episode Timestamps:

02:08 - Introduction to DG Partners

03:38 - Their road to trend following

12:13 - The weaknesses of trend following

16:00 - Too concerned about Sharpe?

19:10 - The dual mandate

22:51 - The trend following narrative

27:19 - Capturing the meat of trend following

30:24 - Need for speed?

38:13 - How many markets do they trade?

40:16 - Rethinking volatility?

43:01 - Their execution process

44:00 - Their view on CTA replication

47:39 - Risk management

51:36 - The state of liquidity

59:36 - The absence of pain

01:00:40 - Trend following in a broader portfolio

01:02:58 - Capacity in trend following

01:05:26 - Trend following disagreements

01:06:50 - Expectations for 2023

01:08:17 - Thanks for listening

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