Today, we explore what it means to invest in a world defined by volatility, uncertainty, complexity, and ambiguity (VUCA). We discuss why geopolitical shocks... especially supply-driven ones... are creating persistent trends across markets, and why trend-following strategies are thriving despite strong equity performance. The conversation dives into how investors process information (or fail to), the limits of central bank responses to supply shocks, and why markets may not be fully pricing in current risks. Mark also shares new research comparing hedge fund strategies under different volatility regimes, highlighting why managed futures stand out as a robust diversifier. The episode closes with a forward-looking discussion on AI, replication strategies, and the growing role of narrative versus data in investment decision-making.
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Episode TimeStamps:
00:00 – Introduction: Preparing for the unpredictable
00:36 – Entering a VUCA world: volatility, uncertainty, complexity, ambiguity
02:00 – “Uncharted territory” in markets and beyond
05:30 – Central banks, leadership changes, and policy uncertainty
07:16 – Oil markets, OPEC shifts, and geopolitical tension
10:16 – Trend-following performance update and market context
14:06 – Reverse engineering CTAs and the role of AI
18:42 – Replication strategies vs. true alpha
22:41 – Trend-following performance metrics (April update)
24:43 – Supply shocks and why they’re harder to manage
28:53 – Are markets underreacting to geopolitical risk?
31:53 – Information overload, ambiguity, and trend persistence
34:54 – Why more data doesn’t mean better decisions
38:34 – Government intervention vs. market-driven trends
40:30 – Pandemic policies and unintended inflation
43:00 – New research: hedge fund strategies vs. volatility regimes
47:16 – Why managed futures stand out as diversifiers
51:11 – Narrative vs. data in investment decisions
55:36 – AI, sentiment analysis, and the future of models
58:46 – Simplicity vs. complexity in strategy design
01:00:49 – Bundling vs. unbundling investment strategies
01:03:18 – Momentum crashes and new research directions
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