SI104: Inconvenient truths about Trend Following ft. Roberto Osorio

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 7 September 2020

⏱️ 60 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Today, we’re delighted to welcome Roberto Osorio, Vice President, Trading Systems at DUNN Capital, onto the show. Niels pitches Roberto some of our most fiercely debated topics so far, such as the optimal amount of markets to trade, diversification in all of its forms, the pros & cons of Volatility Targeting, how to accurately recognise model decay, Black Swan strategies and why they maintain popularity regardless of performance, the best look-back period for Trend Following strategies, and if today’s speed of information flow has led to stock market crashes & fast recoveries being the new normal. Check out previous episodes with Niels & Roberto (featuring Alex Greyserman & Katy Kaminski) here, and here. If you would like to leave us a voicemail to play on the show, you can do so here. Learn more about the Trend Barometer here. IT's TRUE - most CIO's read 50+ books each year - get your copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to [email protected] Follow Niels on Twitter: @TopTradersLive And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro3:07 - Macro recap from Niels8:49 - Weekly review of returns9:26 - Interview with Roberto Osorio12:03 - Niels: Can you help settle the debate of how many markets are optimal to trade?19:00 - Niels: What are your thoughts on Volatility-targeting?30:41 - Niels: How do you recognise model decay?36:23 - Niels: What do you think is the best look-back period for Trend Following models?44:40 - Niels: What is your view on the most effective ‘type’ of Trend Following model?50:43 - Niels: What makes DUNN Capital so unique?55:52 - Performance recap Subscribe on:

Transcript

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0:00.0	You're about to join Jerry Parker, Maritz Siebert, and Nealz Kostrup Larson on their raw and honest
0:07.3	journey into the world of systematic investing and learn about the most dependable and consistent
0:12.3	yet often overlooked investment strategy. Welcome to the Systematic Investor podcast series.
0:22.6	Welcome all welcome back to this week's edition of the Systematic Investor series
0:26.1	with me, Niels Kastel Larsen, where each week we take the pulse of the global market
0:30.6	through the lens of a rules-based investor.
0:33.6	And yes, you heard me correct.
0:35.0	This is, in fact, my first solo episode with any of my usual co-hosts.
0:39.5	For those of you who are regular listeners, our conversations are intended to keep you focused and inspired to continue your rules-based investing journey.
0:48.1	And if you're new to the show, we hope that today's episode will trigger your curiosity to check out our back catalog and listen
0:56.0	to the past episodes that you may have missed. Now, firstly, let me just say another really big
1:02.1	thank you to those of you who took time out to leave a rating and review this week in iTunes.
1:07.2	I noticed people like Stefan and Snow 28 and messed off leaving some great reviews in the US iTunes store as well as Zach in the Canadian store, just to name a few.
1:18.0	But my thanks really go out to all of you who took time out this week.
1:22.3	This is something we really do appreciate.
1:24.7	It's something that we read and pay attention to and these reviews not only help
1:30.5	more investors discover the podcast they actually also help you as a current listener as the more
1:36.5	we can grow the podcast the easy it becomes for us to attract the best minds in finance to join
1:43.0	our conversation so hopefully a win-win situation.
1:47.0	So for those of you who have not yet left the rating and review,
1:50.6	we would love if you would take out five minutes of your time
1:53.5	and you can do it now by hitting pause
	...

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