SI122: Quant vs Discretionary Investing ft. Robert Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 10 January 2021
⏱️ 82 minutes
🧾️ Download transcript
Summary
We’re joined today by Rob Carver to discuss how quant managers compared to discretionary managers in 2020, Winton Capital’s underperformance and resulting loss of AUM, the pressure for successful Trend Following firms to expand into different investment styles, why March & December 2020 were generally the best for Trend Followers despite being so different, how a portfolio combining a few historically successful Trend Following firms has proven to be a very potent investment strategy, navigating negative interest rate environments, how to look at Sharpe Ratios effectively, and how to calculate the ‘Serenity Ratio’ of various strategies.
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Episode TimeStamps:
00:00 – Intro
03:07 – Macro recap from Niels
03:59 – Weekly review of performance
47:20 – Q1; Michael: How many truly diversifying instruments are there, globally?
54:42 – Q2; Bruno: As a futures trader, how do you recommend I manage the cash part of my portfolio?
01:02:30 – Q3; Kyle: What are your thoughts on scaling in and out of positions?
01:08:46 – Q4; Craig: How can Trend Following take advantage of a ‘risk aversion’ environment?
01:14:37 – Benchmark performance update
01:08:45 – Recommended listening or reading this week: Matt Levine’s articles Bloomberg,
Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Seabert, 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. |
| 0:23.4 | Welcome and welcome back to this week's edition of the systematic investor series with Robert |
| 0:27.4 | Carver and me, Niels Karstall Larsen, where each week we take the pulse of the global |
| 0:31.1 | market through the lens of a rules-based investor. |
| 0:34.4 | For those of you who are regular listeners, our conversations are intended to keep you focused |
| 0:38.7 | and inspired to continue your rules-based investing journey. |
| 0:42.2 | And if you're new to the show, we hope that today's episode will trigger your curiosity to |
| 0:46.8 | check out the back catalog and listen to the past episodes that you may have missed. |
| 0:50.8 | Like the two solo episodes I did over the holidays where I went into a lot of details |
| 0:56.0 | in terms of how you think or can think about |
| 0:58.9 | designing your trend following program |
| 1:00.8 | and what that would have meant |
| 1:02.9 | in terms of performance in the last 25 years. |
| 1:06.7 | As you may know, |
| 1:07.9 | the aim of the podcast is to democratize |
| 1:10.6 | the hedge fund, CTA or quant investment world, |
| 1:13.8 | whatever you prefer to call it. |
| 1:15.8 | And if you want to be a part of this journey, what we ask of you is that if you can comment, |
| 1:22.4 | if you can share these episodes, if you can rate and review them in iTunes, |
| 1:26.7 | we greatly appreciate it. And this way, |
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