Today, we are joined by Marty Bergin, President of DUNN Capital Management, for a conversation on how and why they have continued to focus on Trend Following as their core investment strategy. We discuss the challenges of improving upon trend following and if it's possible to deliver it with a high Sharpe Ratio, what differentiates DUNN Capital from other trend followers and how they use research to stay well prepared. We also dig into their approach to trading futures and determining trends and where they see the weaknesses of trend following strategies, why they choose to look at the overall portfolio when managing the risk and why they think portfolio replication can be problematic. We also discuss how they manage risk and why they prefer to reside in the medium to long term when it comes to trend following, how they approach capacity and fees and why they choose to trade using a human touch rather than automated execution, what returns are achievable from trend following and much more.

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Learn more about DUNN Capital Management

Episode Timestamps:

02:31 - Introduction to DUNN Capital Management

05:02 - Why Trend Following?

07:35 - What differentiates DUNN Capital Management?

12:06 - Hitting the right balance

14:34 - Reflecting on the performance in 2022

18:43 - The speed of systems

22:28 - Their research process

25:36 - Trading futures and determining trends

28:08 - Weaknesses of trend following

29:12 - From individual markets to portfolios

31:23 - What is the right number of markets?

34:24 - The risk of CTA replication

35:57 - Dynamic vs. static position sizing

39:38 - Primary focus when managing risk

41:29 - What is the right lookback period?

43:10 - Their approach to capacity and fees

47:15 - Is the HQ Location an issue?

48:53 - Monitoring trades

53:09 - The role of trend in larger portfolios

59:02 - The cash management process

01:03:44 - Questions to ask a manager as an allocator

01:05:55 - Expectations for 2023

01:07:46 - Thanks for listening

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