SI08: How to tell if you system has stopped working?

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 5 November 2018

⏱️ 67 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.

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Episode TimeStamps:

00:00 – Intro

00:50 – Weekly recap of performance

20:15 – Top tweets

38:50 – Question 1: Kyle; What’s the preferred method of dynamically adjusting/rebalancing a portfolio?

49:30 – Question 2: Dave; Please describe ways to reduce risk in drawdowns

52:50 – Question 3: Dimitry; What time frames do you consider too long to be effective (ex. quarterly)

57:45- Question 4: Dimitry; At what point in drawdown (%) do you say something is wrong with the system?

01:01:30 – Question 5: Robert; Do you typically trade the front month contract or use proprietary methods to select contracts?

01:04:30 – Benchmark performance update

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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 eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful.

Transcript

Click on a timestamp to play from that location

0:00.0	You're about to join Jerry Parker, Maritz Siebert, and Nealz Kastrup Larson on their raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:15.1	Welcome to the Systematic Investor podcast series.
0:19.6	Jerry Parker, Moritz Siebert, and I, Niels Kausbluson, are excited to be back with you on
0:24.5	this week's edition of the Systematic Investor Series, where we're going to discuss last
0:29.1	week's events in the world of rule-based investing and take some of your question.
0:34.1	So good morning, Jerry.
0:35.2	Good morning, Moritz.
0:35.8	How are you?
0:36.6	Good morning, Neil's.
0:43.1	Fine. How are you? Good morning. Thank you. Very well. I'm state side this week,
0:49.2	so I'm in the same time as Jerry, which really makes it a good morning at the time of this recording,
0:57.3	for sure. Interesting week, another interesting week, I think, both in the markets and certainly in sort of the trend following world.
1:01.4	So why don't we talk a little bit about it?
1:04.8	I think maybe if I just sort of start out from memory, on the week itself, not a lot of changed on our side in terms of returns, a little bit down,
1:16.2	but nothing too dramatic, but interweek, there certainly was a few interesting days,
1:22.9	bit of recovery in the beginning of the week.
1:24.8	And then as soon as we finished quote unquote red
1:28.4	October nicely coined by you Moritz and by the way if they haven't found that submarine we
1:36.8	definitely know where Red October was this year but no but November 1 Thursday was an interesting day where despite lots of diversification in our portfolio, there was no diversification to be seen.
1:53.3	And so maybe that's the theme.
1:54.4	We can talk a little bit about that.
1:58.3	So, yeah, so that's really sort of roughly what I remember from being, you know, outside my normal environment and not having necessarily all my reports at hand.
	...

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