Portable Alpha, Trend Following & AI Investing ft. Harry Moore | Systematic Investor | Ep.412

Harry Moore joins Niels Kaastrup-Larsen to review recent trend‑following performance, explore the AI investment boom and its risks, and explain why trend following offers crucial portfolio resilience in the face of potential equity crises. The conversation also dives into the practical details of portable alpha structures and connects classic Turtle Trading rules to modern mathematical and risk‑management concepts. - July trend‑following performance showed wide dispersion due to the AI trade reversal and rallying energy markets. - Slower trend models outperformed faster ones in 2024 by holding onto long equity, energy, and short bond positions. - The AI boom is assessed through a balanced lens, highlighting both bubble parallels and transformative productivity potential. - Trend following is positioned as a left‑tail hedge that can go short equities and bonds when traditional diversifiers fail. - AI tools are radically increasing productivity in quantitative research, raising questions about skill development for future generations. - A new Man Group paper examines portable alpha implementation challenges, including cash buffers, rebalancing frequency, and swap versus futures usage. - A separate paper mathematically links the original Turtle Trading rules to modern decision theory, Kelly criterion, volatility estimation, and drawdown control.