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.
Supporting Materials for Download
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.