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Riding the momentum. Trials and joys of setting up a systematic trading shop

Published in Automated Trader Magazine Issue 34 Q3 2014

Since starting in the securities industry almost 20 years ago, Lars Wind has seen a number of crises come and go - the Asian crisis, dot.com bust and the global financial crisis notably. He's worked all over the world developing bespoke strategies, ultimately coming to London to start up his own fund QLO Capital.

Lars Wind

Lars Wind

Chief Investment Officer

Automated Trader talks to Lars Wind and his team about the bumps along the way, details about the strategies and why he thinks CTAs are set for an upswing.

Lars Wind: I started out in the securities industry in 1996, one year before the Asian crisis broke out and that was my first interesting macro event. It started shaping my thinking about how we should approach markets because it was a major dislocation. I moved on, covering the TMT (telecom, media, technology) sector in 2000, which was another very interesting, not macro event as such, but an event where you have the crowd herd behaviour dominating markets more than fundamental behaviour. In 2002, I moved to the buy side for ATP, the Danish government pension fund and joined the equity strategy team. I built ATP's equity derivatives business in 2002, there was a lot of hedging activity going on in the life and pension section and then I gradually progressed through the system, doing equities strategies and TAA (tactical asset allocation) and was promoted to head of TAA in 2004. Back then, it was a very traditional pension fund approach. We would go into a boardroom and have a debate about our views of the world, it was a very inefficient way of making decisions and there was no way of tracking the real value added of the various people around the table.

Automated Trader: Why do you think this was inefficient?

Lars Wind: It was the lack of transparency. Essentially, people from the equity division inside ATP, the fixed income division, and we would argue to try and reach some form of consensus decision involving the CIO, even people in the back and middle office would join in. We really had no transparency of what the overall strategy was. We weren't really making any very good decisions, so I suggested that we completely restructure in an overlay approach using the derivatives that we now had. I got a mandate to launch the TAA macro fund internally, which I did in 2005 with a team of four people. Instead of people meeting from different divisions it was a dedicated team responsible for implementation.

"…the correlation has dropped tremendously and that is helping…..in effect the market has gone back to where it was prior to 2006."

Automated Trader: What did your trading strategies look like then?

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