BO93: Increasingly Short-Term Expectations

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 5 June 2020

⏱️ 3 minutes

🔗️ Recording | iTunes | RSS

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Summary

Can you really be hedged from 2-3pm?

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Transcript

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0:00.0	I've had some interesting things here to talk about.
0:09.0	Just briefly, I would say I retweeted a quote from a, or a chart from an old AQR study about time series momentum during the 10 worst drawdowns for 60-40.
0:27.2	A lot of interest in this.
0:29.5	And it just made me think that, yes, this is exactly how we used to look at it.
0:34.6	In the 90s, when I started trading, how did CTAs do over a bad
0:43.3	period for stocks, for stocks and bonds, you know, at one or two or three year period.
0:48.0	This is how we kind of added value and this is what happens to your portfolio.
0:53.5	The return risk improves if you add 10 or 20% CTAs to your stocks and bonds.
0:59.2	And I thought how unfortunate we have gone from that to crisis alpha.
1:04.3	Right, right.
1:05.6	Today in October and February.
1:09.0	And after a big huge trend, we laughed last week. Well, where was that crisis?
1:15.3	It was a crisis for a few days, but CTAs really did and can add value to what is a real crisis.
1:23.3	Big drawdowns in the stocks and bonds that last over a few years, but we'll leave the short-term
1:32.0	traders to take care of the daily crises.
1:38.2	Yeah.
1:39.3	Yeah.
1:40.0	Yeah.
1:41.3	So I agree.
1:42.4	It's an important point. And it's how it's really what, to me,
1:47.8	that's how the narrative has changed, right? I mean, and I don't know whether it's because we,
1:53.3	in the 90s, we hardly had internet and information flow was, you know, slow. So, so maybe we didn't focus so much on these short-term time frames, but nowadays,
	...

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