Moritz Heiden & Moritz Seibert – Trend-Following Spreads (S7E25)

A few years ago, I sat down with Moritz Seibert and Moritz Heiden of Takahe Capital to talk about trend following at the edges of the futures markets: places where liquidity is thin, contracts are obscure, and capacity constraint is a feature, not a bug. Since then, despite strong performance, asset growth, and even winning industry awards, they made a very un-industry decision: they shut down their original fund. In its place, they launched a new Global Markets Fund built to stay small, so they can trade calendar and product spreads, niche agricultural markets, and other idiosyncratic contracts at equal risk to more standard markets. In this conversation, we unpack that decision, explore how you systematize trend on markets where liquidity does not exist on screen, and go deep on why spreads represent a fundamentally different opportunity set than outright futures. We also talk about what’s next: from prediction and event markets to new ways of thinking about macro trends and alternative data. I hope you enjoy my conversation with Moritz Seibert and Moritz Heiden. 0:00 Introduction and disclaimer 0:53 Background on Moritz Seibert and Moritz Heiden 1:33 Shutting down the original fund and catching up with the guests 4:28 Evolution of investment philosophy and strategy changes 7:22 Global quantitative fund closure and fund structures 12:34 Importance of capacity constraint and trading smaller markets 15:13 Systematic market identification and alternative markets inclusion 21:07 Liquidity and execution in new markets 25:30 Understanding and managing different types of spreads 33:44 Overfitting prevention and seasonality risks in spreads 40:29 Liquidity evaluation and spread preselection for trading systems 45:07 Comprehensive risk management in spreads 48:42 Modeling spread life cycles and managing outright beta 55:06 Exploring smaller markets and prediction markets 1:00:55 Applying economic models and case-based reasoning 1:04:55 Conclusion: Guest obsessions and closing remarks

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