Erik Townsend welcomes Niels Kaastrup-Larsen to MacroVoices Spotlight. Erik and Niels discuss:
- Algorithmic trading: History, and who the players are including Statistical Arbitrage and HFT
- The Trend Following strategy and its history
- Richard Dennis’ “Turtles”
- Benefits of de-correlation and conditional correlation
- Performance of trend-following CTAs
We strongly recommend that you download the chart book that accompanies this interview, as Erik and Niels will refer to it throughout the interview.
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Niels Kaastrup-Larsen Slide Deck
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Niels Kaastrup-Larsen is Managing Director of DUNN Capital (Europe). DUNN Capital (Europe) is a Swiss entity with which DUNN Capital Management has an exclusive consulting agreement to perform business development for DUNN’s programs in Europe and Asia. Mr. Kaastrup-Larsen has been in the managed futures business since 1990, holding management positions at several leading CTAs, two of which he co-founded. Mr. Kaastrup-Larsen is the founder and host of the world’s leading podcast within the Quant & CTA community, www.toptradersunplugged.com as well as the host of CME Group’s podcast on Managed Futures.