Feb 27 2019 56 mins 9
In Episode 144 we welcome Marty Bergin. Marty begins by going through his background, the history of Dunn Capital and the relationship he had with Bill Dunn, the founder of Dunn Capital. That relationship opened the door for Marty to ultimately work or Bill, and to later become the owner of the firm as part of a transition plan. Next, Meb asks Marty to describe trend following as it relates to Dunn. Marty describes that trend following is pretty basic, but there’s magic in how you develop a portfolio with the strategy. At Dunn, Marty and his team rely on an adaptive trend-following system. From a portfolio management perspective, they look for markets with enough volume to trade in 55 markets across commodities, currencies, interest rates, bonds, equities, and volatility with an equal allocation of risk buckets for each market they trade. Meb follows that with a question about how it all fits together on a high level. Marty explains the program is not restricted in any way, and multiple methods are used for determining noise. He adds that when looking at possibilities, they are looking at a few days all the way out to a couple of years, and update weekly, yet he doesn’t believe there would be a major drift in performance if it were updated on a 12 or 18 month basis. The program gets into positions slowly, and is designed to get out quickly to protect downside. The conversation then transitions into how the system has evolved over time. Marty walks through the core tweaks Dunn has undergone to adapt and improve the trading system, from looking at trading from a market-by-market basis, to applying the same techniques to every market, to taking a fresh approach to risk. Meb then asks about what Dunn’s strategy looks like during various environments. Marty goes on to talk about how a trend follower is looking for directional volatility that is consistently applied, and the difficulty of environments like 2018 when trend followers can become overweight and get caught in corrections that can lead to aggressive reversals. He follows that with some insight into thinking about the current environment through the lens of Dunn Capital, and talks about risk metrics setting up to look conducive for trend following. Meb and Marty wind down with a chat about how Dunn is very focused on education. They also touch on Dunn’s unique fee structure, and the place for a strategy like Dunn’s in investment portfolios. All this and more in episode 144.
