SI412: Portable Alpha: Asking the Questions That Matter ft. Harry Moore

Niels Kaastrup-Larsen and Harry Moore explore the latest developments in trend following, the AI investment boom and why diversification matters most when markets come under pressure. They discuss CTA performance, market dispersion, portable alpha, cash efficient portfolio construction and the role of trend following during major market drawdowns. The conversation also examines how artificial intelligence is transforming quantitative research, the practical challenges of portfolio implementation and new research linking classic Turtle Trading principles to modern portfolio theory.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Episode TimeStamps:

00:00 - Market headlines, AI investing and recent macro developments

09:32 - Trend following performance and July market review

18:42 - How market selection drives CTA performance

22:21 - The AI trade and why trend following provides portfolio resilience

30:36 - How AI is transforming quantitative research

36:07 - Portable alpha and why cash efficiency matters

46:14 - Cash buffers, margin management and implementation risks

56:33 - Correlation, diversification and building resilient portfolios

58:15 - The mathematics behind the Turtle Trading rules

01:08:54 - Why risk management has always been the core of trend following

01:11:28 - Understanding leverage in portable alpha strategies

01:18:32 - Listener questions and final thoughts

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