SI07: What is; alpha, smart beta, implied vol, crisis alpha and convexity?

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 29 October 2018

⏱️ 64 minutes

🔗️ Recording | iTunes | RSS

🧾️ 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.

-----

50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

-----

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.

Learn more about the Trend Barometer here.

Send your questions to [email protected]

And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.

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

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my...

Transcript

Click on a timestamp to play from that location

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
	...

Please login to see the full transcript.

Previous episode | Next episode

Disclaimer: The podcast and artwork embedded on this page are from Niels Kaastrup-Larsen, and are the property of its owner and not affiliated with or endorsed by Tapesearch.

Generated transcripts are the property of Niels Kaastrup-Larsen and are distributed freely under the Fair Use doctrine. Transcripts generated by Tapesearch are not guaranteed to be accurate.