SI109: Investing like a legend ft. Perry Kaufman
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 12 October 2020
⏱️ 90 minutes
🧾️ Download transcript
Summary
Systematic trading and Trend Following legend, Perry Kaufman, joins us on the show today to discuss the importance of being comfortable with risk, the benefits of continuously ranking & evaluating markets, the importance of ‘fat tails’ in Trend Following systems, why you might want to use equal risk with every trade, how to avoid being over-correlated, trading single stocks vs indices, opinions on profit targets, and why he generally prefers long trades vs short trades.
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Episode TimeStamps:
00:00 – Intro
01:25 – Weekly review of performance
06:08 – Niels: How does the content in your book, Trading Systems, inform your decisions when building a system, and what do they mean to you?
26:44 – Niels: How do you avoid overfitting your system to accommodate markets that may not perform well in the future?
29:28 – Niels: How do you avoid being over-correlated?
30:17 – Niels: How does your ranking system work when adding or removing markets from your trading universe?
44:19 – Niels: How do you feel about profit targets?
53:06 – Niels: Why do you believe Trend Following strategies will always be successful?
57:00 – Niels: Have you found in your research that long-sided trades tend work better than short trades, and if so, have any hypothesis as to why that is?
01:04:33 – Moritz: What are your thoughts on trading single stocks vs trading the indices?
01:09:54 – Niels question for Moritz: How have you incorporated yourself & Perry’s work on Volatility Targeting into your...
Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kastrup 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. |
| 0:23.0 | Mordi Seber and I, Niels Kassu Lassner, back with this week's edition of the Systematic Investor Series, |
| 0:27.7 | which is our weekly ongoing raw exploration of the world of rules-based investing. |
| 0:32.1 | And of course, where we also try and do some of your questions. |
| 0:35.4 | But today, we're going to deviate from our usual format |
| 0:38.5 | because we are delighted to be joined by a very special guest, namely Perry Kaufman, a true |
| 0:43.8 | trend following and systematic trading legend and a good friend of Moritz's as well. |
| 0:50.6 | So let me start by saying, welcome to the show, Perry. It's nice to have you. |
| 0:57.0 | Oh, thank you. It's just a pleasure to be here. Great. And good afternoon to you, Moritz. How are you doing? |
| 1:00.0 | Hey, good afternoon, Neil. |
| 1:01.0 | Hello, Perry. Very nice to have you on the show. I'm doing fine. |
| 1:04.0 | Sounds good. Now, of course, we will be spending as much time as possible with you, Perry, but Moritz and I would like to just spend a couple of more minutes |
| 1:13.2 | before we dive into all these wonderful topics, |
| 1:15.8 | just running through our normal market wrap, so to speak. |
| 1:20.0 | So if you don't mind, have an extra sip of your coffee while we just do that. |
| 1:24.7 | So, Moritz, how was your week this week? |
| 1:27.6 | You know, Niels, another one of these weeks. You know, repeatedly I've said on this show |
| 1:33.6 | that it's grinding down in my trend following trading system. And this past week has been no |
| 1:38.2 | different. I've lost 78 basis points, make that 80 basis points. It doesn't really matter. |
| 1:43.3 | I'm down about 7% year to date and had a couple of notable losing positions. Still short crude oil that didn't work that well in the past two days. Short lean hawks. I mean, this this lean hawks market looks like a freight train. It's just going higher and higher and very, very close to getting stopped out of that position. |
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