INSIGHTS

 

What are the signs of a good trend-following manager? When should you fire a bad one? In the final episode of our Trend Setters series, we explore the practical side of allocating to trend.

Michael Turner, CEO at Man FRM and Man Solutions, joins the podcast to share his experience of the types of managers and strategies to consider, the red flags to watch out for, and how trend could be a powerful, permanent part of your portfolio.

Recording date: October 2022

Episode Transcript

Note: This transcription was generated using a combination of speech recognition software and human transcribers and may contain errors. As a part of this process, this transcript has also been edited for clarity.

Peter van Dooijeweert:

So I’m pleased to be joined today by Mike Turner, CEO of Man Solutions. Mike, thanks for coming in today.

Michael Turner:

Thank you, Peter.

Peter van Dooijeweert:

So you’ve looked at trend as an allocator and a portfolio manager from your fund-of-fund days and I’m curious if you think of trend as alpha or beta or maybe some element of both.

Michael Turner:

So I think it’s a lot more nuanced than thinking about alpha or beta and there’s always a recurring thought I’ve had for many years around what is alpha in hedge funds. It’s not like a long only fund, you can go do a regression and calculate the excess return because sometimes you don’t have that element of a benchmark. Alpha’s really about the additional source of value that is hard to find, I think is the simple way to put it. So when I look at trend, if you look at a lot of the cheaper allocations, the more beta-ish like allocations, they are largely what you’d have been able to buy back in 2001, at a different price. It’s actually really easy to go build those models in an Excel spreadsheet, to implement them. But the real core question is, what do you need to be successful?

And to be successful, you need many hidden skills around research, execution, data management and how to do that successfully is a real, real skill and I believe that’s a core source of alpha. So for the cheaper end of the product, the more vanilla end of the trend spectrum, you have this slightly bizarre combination of very relatively simple models combined with some highly technical skills which are a bit more alpha-like, hence we want to be there. And then when you move into the more alternative market space or the more advanced models, then that’s a different skill which brings how to find those markets, how to execute in them, the mechanics of how they work. That’s a real, real alpha skill. So the way I think about it is it’s more like a continuum. It’s hard to do, it’s hard to do successfully, it’s hard to do it to scale. So those combinations, it’s not beta, but some elements are a bit more beta-like but there’s definite alpha in being able to do this well at scale on a consistent basis.

Peter van Dooijeweert:

And so you’ve seen a lot of different managers over the years, what should investors look for in a trend manager and what makes a good manager?

Michael Turner:

I actually had four when I thought about the answer this and I’ve come up with a fifth one this morning, which I think is really important. Four areas, I’ll come onto fifth later, is research, platform, execution, transparency. And if at the start of the research, it is incredibly easy to go build any quant system in Excel on your desktop and I can guarantee within a space of a few minutes, you will have found something which makes money in every single market environment going. The point is we all know that’s an example of something being heavily overfitted, it’s fitted to the data as opposed to what you are thinking about what’s going to make money going forward. So that research process when you’ve got lots of data, lots of researchers, lots of signals you could go look at is tremendously important.

And the core thing you are trying to prevent is making sure you are not just overfitting to the data as in you’re picking up things which are going to make money just because you’ve tweaked a model somewhere to pick out a dip in a market. It’s really, really important. And one of the fundamental things I see when I’ve been meeting managers is that you can very quickly tell those who have a research process versus those who have really just gone and threw some data at a wall and found something that actually works. Important point there is that you are not looking for something that’s worked in history, you are looking for something that’s going to work on an ongoing forward looking basis. So how you organize your research process, how you handle data, how you sign off models, how you test them, how you evaluate them going forward, that’s actually one of the most important things to look at. The second area is platform, especially these days, again, I keep mentioning data, lots of data, lots of ways you can process it, that needs to be organized, it needs to be repeatable. The best shops, whatever language you are using, pythons are one everyone seems to use these days, it needs to be organized, it’s got to be scalable, it’s got to be robust because there’s just no way you can A, do the research, but more importantly, once you’ve got that research done, implement it.

And then the final one I think is often overlooked is execution. A lot of researchers when they’re starting out forget ultimately when you generate a signal or a trade, you are going to interact with the market, and that’s a real frictional cost to consider. And being able to execute efficiently, being able to hard your order flow from the markets, being able to make sure the markets aren’t able to see what you are doing and understand what you’re doing. It’s a thing that I think some people often overlook and if there’s one area I’m absolutely paranoid about, it’s actually execution because it’s just a way and it’s the way I’ve actually seeing even some of the very best funds have periods of difficulty because their execution’s just been incredibly weak for whatever reason. People see what they’re doing, how they’re doing it and it gets taken advantage of. So execution’s really important, it’s just something that if you don’t get that right there is no way you can actually trade or compete with the very best in the markets and it’s an area I’ve seen tremendous growth in over the past 20 years I’ve been involved in this space.

And then the final one I listed was evolution. If I look the period of how, the period I’ve been involved in the markets, starting 2001 where you executed that everything was done over the phone. It has now moved to, over time, you started to do more electronically, you started to do more using more direct connection to the banks. It’s just been, and that’s one example of how things have had to evolve. We’ve seen the evolution of alternative markets, we’ve seen the evolution of data platforms, that if you think you can sit on your laurels, you can run with what you were using back in 2001 and or when I started and it’s still going to be successful, you need to evolve, you need to constantly evolve, and that needs to be part of the mindset and that’s something I see in the best managers.

And the final one I threw in this morning was transparency. There’s often a mantra that it’s a quant manager so therefore we’re going to be secretive, we’re not going to tell you anything. No. There’s in fact an awful lot you can tell someone without telling anything about your models and I think it’s important you do that because, or manage to do that, is that it just helps you understand how they’re going to perform, when they’re going to perform, are they prepared to build a sense of partnership with you? And the reason I think it’s really important, because I think we may come onto this later on, is that when times are tough, how are they going to work with you?

Peter van Dooijeweert:

Yeah, exactly.

Michael Turner:

And that’s it.

Peter van Dooijeweert:

So there’s a lot there. I might jump into two things. One is the overfitting aspect of things. It’s easy to say you don’t want something to be overfitted, it’s a lot harder for an investor to tell that it’s being overfitted. What are the red flags, if any, that can jump out at you when you’re evaluating a manager?

Michael Turner:

It’s about, and I think when you are evaluating, it’s about asking, I like to talk through examples, actually is the best way. I had one example of a manager come in and said if they trade on Tuesdays and Thursdays the slippage is better than trading Mondays, Wednesdays and Friday. This is a true story by the way. And I just challenged him, I think is about 15 minutes of trying to get to why he thought that was right, what was going on. And if all you can refer to, oh, that’s what the data says, I think that’s a weak hypothesis. So there’s definitely something around, is there a hypothesis? Can you explain that hypothesis? Can you articulate why? What’s going on? And that’s why you often see, now sometimes it is hard to give a very precise reason, that’s what’s happened, but it’s the people who just go, “Oh, that’s what the data says.”

Peter van Dooijeweert:

Yeah, exactly.

Michael Turner:

That’s one red flag. The other big red flag, and it’s an even simpler one, is if someone just says, “You should give me some money, look at my back test.” If that’s all they can point to, then it needs to be more than that and I don’t think that’s…

Peter van Dooijeweert:

I think that’s right. One chart isn’t all that interesting. I do think that Tuesday, Wednesday, Thursday trading strategy would be interesting from a work from home perspective, but beyond that I’m not sure there’s going to be anything in it. The other thing that jumps out at me out of your list is all of it seems to suggest big is better. Is there no such thing as a niche trend manager in that universe? Is it easier to approach bigger because there’s economies of scale?

Michael Turner:

I think over time I’ve noticed there’s been a move to the bigger managers. When I start in the space, I’ve joined the company of 20 people, admittedly with a very good pedigree. I’ve seen other friends and colleagues start up smaller managers, but it is interesting, they’ve all got to a point where they’ve just struggled. They can’t get this scale of assets, they can’t get to… And these are very, very smart people by the way, the people I respect a lot. So I do think there’s been a move to size. And if I think around why that could be the case is that in the investment in infrastructure you need around trading, around data, around data management, the overall competitiveness of the entire market to think is increased over time. The fact that you can’t just pick up a phone and get a good fill or expect to get the best fills in FX, you need to have a really powerful infrastructure than an execution. So it does seem to lend itself more to bigger being better. Doesn’t mean to say that you can’t start small, it’s just going to be a lot, lot harder than it was 20, 25 years ago.

Peter van Dooijeweert:

Yeah, I think that’s even true with liquidity today. That’s probably the biggest story in 2022, the second half is lack of liquidity in all kinds of markets and how you can create liquidity seems to make a big difference. So shifting a bit, in terms of asset classes, we’ve seen some asset class specific like commodity only trend managers. We’ve seen multi-asset managers. Do you have a view?

Michael Turner:

So over my career I’ve seen very few single sector managers actually succeed. I’m aware of a couple of commodities, a couple of names spring to mind there, but broadly I don’t see much utility in single sector trend funds. And now there’s a possible reason for that because one of the things about trend is that a lot of the signals are incredibly weak. They do have some predictive power possibly, but actually the predictive power of a single trend signal is very, very poor indeed. But here is the secret. If you put all those together, lots of them together, different speeds, different sectors, possibly different types of trend, you actually get this really powerful diversification effect. So your very weak signals, I know across a hundred odd markets, across multiple timeframes, all of a sudden you get a strategy which is actually quite powerful.

So that’s one reason and there’s a second reason as well where I think it’s difficult to do single sectors that there have often been very, very prolonged periods where some sectors just don’t do anything and then all of a sudden, up they pop. Copper, I think, 2003 is one of the classics ones for years and years and years. No one made a money trading anything out of base metals. All of a sudden, I think huge demand from China popped up and all of a sudden you’re making a lot of money there. So having that degree of diversification means that wherever you go, no matter what’s going on in markets, there’s a chance you have an opportunity to make returns. That, you won’t know where that’s going to happen or when it’s going to happen, so being diversified for those two reasons I think is important. And as I’ve said, I’ve seen only maybe a couple of managers really, really succeed in trading single sectors, which seems to be commodities.

Peter van Dooijeweert:

Yeah, I think the weak signal thing is spot on because if you look at where profits come from, they don’t come from 70% of the best.

Michael Turner:

No.

Peter van Dooijeweert:

They come.

Michael Turner:

And that’s the thing, they come from a relatively small number of the bets that are happening, but you just don’t know where, you’ve just got be ready. And that’s another advantage of trend is you get that huge diversification, it’s actually incredibly cheap to run it on 100, 200 markets and then as long as you’re managing your profits and your risks on those 180, 190 which aren’t making money, it’s worth them being there.

Peter van Dooijeweert:

You mentioned speeds, we’ve talked about it in different episodes. I mean, what’s an investor to do? Should they pick one speed? Is it based on portfolio utility? Should you diversify? What’s the right answer if there is one?

Michael Turner:

So generally when I’ve approached this, I’ve always aimed to build a diverse set of speeds. And different speeds can have different utility, people often say, “Oh, let’s go with very, very fast managers because they get onto trends quicker.” The problem is they’re very, very fast and I’m talking less than five day holding period. It’s probably the hardest to trade. You need to have huge investment in, again, execution infrastructure of which I’m aware of very, very few people who really, really have that. I mean, maybe one or two, so it’s attractive but it’s a hard space to go. At the other end you can have maybe just slightly fast managers who get onto trends quicker, if there’s a modern sudden market event they can get onto those trends, they can generate profits, but then they risk the risk of being whip sword of those trends reversed and we saw that a lot in the mid 2010s.

And then you have the slower guys who just plod along. Any sort of market volatility, they just trade through it gently like that and then all of a sudden, if there’s a long prolonged trend they’ll get onto it. So there’s different utilities who had different types of managers. There are times when you want to be quick, there are times when you want to be slow. There are times when you want to be medium speed, we didn’t talk about those, but like this theme I’ve already mentioned, you don’t know which is going to be working best at any point in time. So this idea of having some sort of diversification across managers is important. And it’s interesting if I speak to different managers that they often have a preference for one type of speed that says some prefer to go fast, some prefer to go slow, and it’s not like it’s something they change week by week. They have been doing this for years or even decades as well. So I think there’s a benefit in different speeds, building a portfolio and putting them together.

Peter van Dooijeweert:

So that raises an interesting question for me. Cam Harvey on a different episode, mentioned the concept of dynamic speed modulation and the idea is to adjust the speed of trend depending on the economic or market environment. In other words, other factors feed into what speed you’re choosing. You might be faster in a certain environment, you might be slower in another environment. As a practical matter, have you seen funds doing this? Do you have any thoughts on it?

Michael Turner:

I’ve seen, I think, two funds try to research it and gave up in the end. And again, these are smart people, very smart people. But I think one of the reasons it’s so hard to do is ultimately, well, you’ve got economic environments or cycles, there are so few to actually build any sort of model upon that. So you always got this risk of, again, overfitting or building something which is just not going to make money going forward. So I’ve not seen many people try to do it. I’ve seen people try to adapt the strength of their allocation to markets depending on how strong they think a market’s trending but not really dynamically varying speed so much. The only other time I’ve seen some people do something similar was the concept of flipping between trend following and counter trend. So when markets are trending go trend, when the range bound go counter trend and mean reversion, that ended up being actually quite a disaster for them and actually wasn’t the timing mechanism themself, it’s just because they became so obvious what they were doing in the market that people started to pick them off.

And so I’m not a fan of the concept at all and it’s kind of one of those holy grails. If we could predict what’s going to work then we’d all be… Well, we wouldn’t be sat here for example. So I think it’s something I’m a little bit skeptical upon and I think if it was easy a lot of people would be doing it. Whether new techniques, machine learning comes in and helps, that’s interesting to think about, but I think it’s incredibly hard to do in practice.

Peter van Dooijeweert:

It has a feel that I’m looking for some extra alpha in a back fitted strategy. But on the other hand, the research has some interesting points to it. I guess for me the thought was a bit, you kind of rely on the track record of trend and how it normally runs, and if we introduce this really variable speed approach, then my thought process of this kind of purpose driven investment I have in trend gets kind of unwound.

Michael Turner:

But there’s always a thing in any hedge fund manager, what we really hate as allocator is surprises. And my favorite comment from a, I think it was a tail protect manager, it was the wrong type of market crash. And it kind of goes the same with trend, it was the wrong type of trend. So if you are expecting a manager in your portfolio that we expect this type of performance. Okay, it’s a very range band market, we don’t expect them to do well. Or it’s a very volatile market, we expect to get into trends, now we decided to go slow. That’s just a horrible position to be in as an allocator.

Peter van Dooijeweert:

You touched a little bit on carry strategies. What are trend managers doing in carry strategies, exactly?

Michael Turner:

I’ve seen it used in two ways. Some managers use carry-like signals to moderate their trend signals. So actually, this isn’t going to trend, there’s no carry there so why even think it’s going to trend? And I think that’s actually quite a clever way to do it. I’ve also seen other managers that there are periods when trend doesn’t work, so let’s add in some diversifying signals. So they add in more systematic macro-like signals or they add in some short term trading-like signals which, if you go do the analysis, are generally very diversifying to trend. So there’s often a driver to diversify their portfolio and hopefully building a better overall utility for the client. The challenge comes is when they all of a sudden move from maybe having 20% in non trend strategies to having 30%, 40%, 50%. What are you then getting? And one of the things I’ve often spoken about with those macro or short term strategies is, again, they’re very easy to do, but they’re also very easy to get wrong. And we’ve often seen that the managers who struggle are those who have moved so far away from trend to diversify that actually you are ending up with something else altogether and worse, those signals actually detract value from the overall portfolio.

Peter van Dooijeweert:

Yeah. I think we saw a couple big name managers move heavily into carry during the fed put years when trends were suppressed and they were loud about it, less loud probably this year.

Michael Turner:

Yeah, I agree.

Peter van Dooijeweert:

So I think I know the answer to my question but I assume that means you want more than one trend manager in your portfolio? And given that, how many? 100, 500?

Michael Turner:

You don’t need that many. They are highly correlated and on the whole I did do a quick check, most trend managers 0.7 to 0.8 correlated. The answer’s not one, and if for no other reason, even the very best managers have periods of under performance or the way they’ve set up their models, the speeds, the sector allocations is less than perfect for that particular choice of markets. So how many, I mean typically when we build baskets of trend managers, it’s three to four, certainly no more than six or seven. You could maybe get away with a couple. But if you are just doing one then that is a portfolio context, that can be a little bit risky because sometimes the market just aren’t suitable for the way you trade there. So there are certainly other people who have lots and lots and lots and lots, the problem is even if you’ve got managers which are highly correlated, if you put lots of managers together, you end up with a portfolio with anemic level of vol. Now, and there are ways around that using managed accounts, using clever use of margin movement, but that’s a very, very sophisticated set of that you need so probably not something for this podcast. But definitely not one, but definitely not 8, 9, 10, so somewhere in there, depending exactly what you want to produce.

Peter van Dooijeweert:

And you had some dead years in the 2010s.

Michael Turner:

Yep.

Peter van Dooijeweert:

So are you supposed to be tactical? You’re a fund to funds manager, you’re supposed to time all this?

Michael Turner:

Timing these things, so even the 2010s were some dead years, but there was the occasional year where, oh, well done you’ve just popped up 15, 20%. You didn’t really know at the start of the year which year it’s going to be. So I think there can be things around… First of all I think it’s at your allocation, you’ve got to accept it in your portfolio, it’s got to be part of it. But there may be times when you want to reduce it because you think there are better opportunities elsewhere. And I think that’s part of the game here which is, in any portfolio, where’s the opportunity? And there are times in other strategies where it’s easier to spot the opportunity. Our yields are looking great, let’s do something to credit. There’s a lot of M&A activity, let’s go into event managers. That’s where we want the money.

There are times when it’s less certain and you may want that protection that managed futures or trend managers can provide that. There have been times where some of the best periods for trend managers have come from really unexpected events so you probably want a little bit in there. There may be times when you want more, there may be times you want a little bit less, but I think if you’re going to have it in your portfolio, you should just have it in your portfolio.

And one of the things I think I always urge clients to do is that if you look at it in isolation, there are times when it may not look the most attractive strategy. But you’ve put it in your portfolio for a reason so judge on the overall portfolio utility as opposed to what this single line item’s doing there. And I think if you don’t do that and then it’s easy, oh, we must redeem them, they’ve not done well redeem. But then you’ve probably lost one of your most powerful diversifying strategies which at some point you are going to need. So I tend to advise, leave it in there, don’t play around with it too much. But there may be times and probably more in hedge fund portfolios where you’re able to move up and down a little bit, but that’s about other opportunities as opposed to trying to time the strategy.

Peter van Dooijeweert:

So given it’s a permanent allocation in your mind, what kind of return expectations should investors have? 2022 has been a great year and other years have been kind of flattish. What are the return expectations for?

Michael Turner:

This strategy has been around for a very long time. Think early two thousands was great, 2004 harder, 2008, 2009 more powerful, mid 2010s harder, and then all of a sudden trend is really back in vogue given the inflationary times. One of the perils of trend and the trend managers is the ability to adapt. That point I made earlier on about evolution, it’s important. So I think, I’m not going to make a return prediction, you should see that because I don’t think you can, but I think as a strategy it has been reversed and it remains robust. Maybe the slight nuance we have these days is there are certainly more risk free-like implementations of trend, everyone that used that phrase. Where maybe in tougher markets you won’t get as much return, but if they’re in your portfolio to provide some sort of crisis risk offset allocation, they have a real utility. And that’s what we’ve seen is that even the relatively simple implementation’s of trend, they’ve done tremendously well over the past couple of years. If you are looking for a more alpha like implementation going into the alternative markets or other types of techniques to diversify your trend allocation, then I think actually you can be confident there’s an incredibly robust return stream there.

So I think the point I made earlier on about evolution is really, really important. That managers have evolved, they continue to evolve. I don’t know where they’re going next. I think there’s lots of interesting things they can look at. And as long as you are in managers where they have that research process evolution, then I think there’s a real part in your portfolio for trend, which can be very, very powerful. There’ll be tough years, there’ll be better years, but year after year, time after time, trend has proved itself out to be a really very, very powerful strategy to have in your portfolio.

Peter van Dooijeweert:

So if I look at a crisis risk offset plan or a pension, what’s the right amount of trend? Is there an answer?

Michael Turner:

I think you need quite a lot, actually. And the way to think about it is if you’ve got a multi-billion dollar portfolio, you are not going to get away protecting your multi-billion dollar portfolio with a hundred million of trend, you’re going to need a lot of it. And I think if you look at those signals that when you get a market crisis, I do think actually trend is one of the most reliable things you can have in there, so a lot. I mean, I’ve seen 30%, 40%, 50, 60% in trend. It’s a substantial allocation with other things around it to react in different speeds in different ways. But it’s kind of one of those things where you’re in it or you’re not and if you’re believing in risk offset, you are going to have to be prepared to allocate a substantial amount of trend, which is what we generally see.

Peter van Dooijeweert:

So it sounds like this year investors are really catching up to the value of trend in their portfolio, especially given its multi-asset framework. Do you think this is going to be part of a broader shift to trend in systematic strategies going forward given the instability of 60/40?

Michael Turner:

There’s definitely been a shift, I’ve noticed over the years. Again, when I started out, it was all about the hedge funds, superstar hedge fund manager. And if you look across society, there’s been a societal effect or drift towards technology. Wherever you look, there’s some sort of technology being used or sophisticated algorithms to help you tell you what to do. So I think quant managers are just so much more accepted than they were 10, 15, 20 years ago, so I think that’s definitely been a shift and I definitely see people more interested in understanding the quant space, how it can help.

And I think there’s then another element as well about that shift towards systematic which there are some areas which maybe even five years ago you would not contemplate doing in a quant fashion, credit, structure credit, for example. As those data sets become more prevalent and actually being capable of being processed, it is not surprising to see more people or more managers move into some of those spaces which historically would’ve been the preserve of the discretionary manager because it was only discretion manager had the insight access to the data, access to the knowledge. So I do think it’s going to be a longer term trend and we’re already seeing it again. I mentioned credit is one space where people are moving into that, quant managers are starting to move into a space which was historically most definitely the domain of the discretionary manager.

Peter van Dooijeweert:

So when do you fire a manager?

Michael Turner:

Sometimes a manager does something which is so egregiously bad, it’s obvious.

Peter van Dooijeweert:

For example?

Michael Turner:

There are things like they’ve just lost a lot of money in a market they should not be trading or they’ve been dishonest or they’ve tried to hide what they’re doing away from you. So these are the type of things, when you see it, you know it. And I think that goes to any hedge fund strategy, but I have seen it in managed futures as well. More generally though, firing a manager is hard because sometimes there is an opportunity cost associated with it. Be that you’ve got good capacity, you’ve got good fees, or sometimes if you leave a very good manager they may not want you back in the future, if you leave at the wrong point in that. So there’s a really nuanced decision to be made around what you do.

And I think one of the things that I said about what makes a good manager, transparency. So when a manager’s in a bit of difficulty, it could well just be that the speed they’re trading at is not suited to the markets, they could have allocations which are more biased to one sector which is something you wanted. It could well be that part of the signals or strategies have failed for… The market’s caught up with them, they understand what’s going on, they’ve been manipulated. That happens, by the way. So one of the key things that transparency is how can they explain to you what’s going on? Are they open? Are they capable of demonstrating that they can evolve a process, how quickly they’re going to do it, how committed they are to do it? And I think if you get that balance, then actually it’s worth giving people a little bit more time. The flip side is if they try and obfuscate, if they try and hide things away from you, if they try and blatantly lie, then just get out. That’s it. But there’s definitely a period where try and understand, give them some space because of the good, one of the things you can do, better fees, better terms, better access, you name it, and give me a little bit of time.

Peter van Dooijeweert:

All right, great. Well with that, I think we’ll stop there. Thanks a lot for your perspectives. It’s been great.

Michael Turner:

Thank you, Peter. It’s been wonderful.

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