SI07: What is; alpha, smart beta, implied vol, crisis alpha and convexity?
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 29 October 2018
⏱️ 64 minutes
🧾️ Download transcript
Summary
Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of.
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Episode TimeStamps:
00:00 – Intro
01:15 – Weekly recap of performance
08:30 – Discussion of recent articles
21:30 – Top tweets
36:10 – Question 1: Mohit; Discuss moving averages as a TF device; position sizing; correlations
43:20 – Question 2; Paul; How many investors are out there who use TF but their AUM doesn’t show up in the official industry AUM #s
47:10 – Question 3: John; Asked about industry jargon and definitions: alpha; smart beta, implied vol, crisis alpha, convexity
51:30 – Question 4: Mohit; Is looking at correlations in the rearview mirror fallible?
52:50 – Question 5: Dave; What is the average time in trade of winners in a medium-term system?
57:10 – Question 6: What software do you use for backtesting/system management?
01:01:40 – Benchmark performance update
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Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Neil's Kostrup Larson on their |
| 0:06.3 | raw and honest journey into the world of systematic investing and learn about the most |
| 0:11.1 | dependable and consistent yet often overlooked investment strategy. |
| 0:15.1 | Welcome to the Systematic Investor podcast series. |
| 0:19.3 | Hey everyone and welcome to another edition of this systematic investor series, where |
| 0:24.1 | each week we discuss and debate what's going on in the world of rule-based investing right |
| 0:29.3 | now. |
| 0:29.9 | My name is Niels Kastu Larson, and I am, as usual, very excited to welcome Jerry Parker |
| 0:35.5 | and Moritz-Zibert to another round of discussions after a |
| 0:40.1 | what can only be described as another challenging week in the world of trend following, |
| 0:47.3 | but of course also a challenging week, I think for a number of alternative investment strategies |
| 0:53.3 | and of course a challenging week |
| 0:55.4 | for the long only investor in equity. |
| 1:00.0 | So quite a few things happening right now. |
| 1:05.0 | Why don't we just jump into it and talk a little bit about what were some of the return |
| 1:10.4 | drivers and potential changes in trend |
| 1:14.3 | that we observed this week in the various strategies that we are involved with. |
| 1:22.7 | Who wants to go first and hi, by the way. |
| 1:25.3 | It's good to have you here. |
| 1:26.4 | Hi, Neals. |
| 1:27.4 | Hello. Hey. so what happened on |
| 1:30.2 | on your side this week jerry we always start with moritz so why don't we change that up this week |
... |
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