SI130: Volatility-Targeting: The Big Debate ft. Jerry Parker & Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 7 March 2021
⏱️ 83 minutes
🧾️ Download transcript
Summary
We have a special episode for you today featuring Turtle Trading legend Jerry Parker and renown Systematic Investor Robert Carver, who debate the topic of Volatility Targeting and how actively one should manage open trade equity risk. We also discuss the benefits of ‘Hybrid Trend Following’ versus classical Trend Following, breakouts & moving averages versus other trend indicators, whether the 2020 market crash should have caused systematic investors to update their strategies, and if short positions should still have a place in today’s Trend Following portfolios.
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In this episode, we discuss:
- The level of active-management that should be involved in controlling open trade equity risk
- The benefits and drawbacks of volatility-targeting
- Modern Trend Following methods compared to classical Trend Following
- The 2020 ‘Covid Crash’ and its possible long-term effects on systematic investing
- How important are short positions in a rules-based portfolio?
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Episode TimeStamps:
00:00 – Intro
01:45 – Macro recap from Niels
03:33 – Weekly review of performance
10:10 – Jerry Parker vs Rob Carver debate
53:13 – Q1; Michael: Why do you prefer breakouts & moving average cross-overs to other signals?
56:58 – Q2; Rene: Do have preferred methods for measuring trend strength?
01:05:14 – Q3, Q4, Q5 & Q6: Doogie; How can retail investors in the UK gain access to different CTA funds? Do you trade pair spreads? Why doesn’t Rob trade Bitcoin futures yet? Are Trend Following & Market Making returns correlated?
01:09:44 – Q7, Q8 & Q9: Gustavo; How do you manage to transition from an old system to a new system? With a non-binary system, how do you reduce multi-month futures contracts? Do you adjust moving average signals according to recent volatility?
01:15:39 – Benchmark performance update
01:12:25 – Recommended listening or reading this week: The Anatomy of Bond ETF Arbitrage by the Bank of International Settlements, Pfizer's Abusive Vaccine Deals & Michael Goldstein on ‘Controlling The Bitcoin Rhetoric’
Copyright © 2025 – CMC AG – All Rights Reserved
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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 |
| 0:11.0 | dependable and consistent yet often overlooked investment strategy. |
| 0:15.1 | Welcome to the Systematic Investor podcast series. |
| 0:23.0 | Welcome or welcome back to this week's edition of the Systematic Investor series |
| 0:26.6 | with Jerry Parker, Rob Carver and me, Nils Castell Larsen, where each week we take the pulse |
| 0:31.7 | of the global market through the lens of a rules-based investor. |
| 0:35.8 | If you're new to the show, let me start by saying welcome, with hope that today's episode |
| 0:40.0 | will trigger your curiosity and hunger for learning, enough to check out the back catalog |
| 0:44.6 | and listen to the past episodes that you may have missed, like my conversation last week |
| 0:49.9 | with Mark, where we discussed topics like inflation, behavioral finance, and how firms need to |
| 0:56.0 | retool for the AI revolution. A fascinating conversation that I hope you will check out if you |
| 1:03.1 | have missed it. Good morning, Jerry. Good afternoon, Rob. Great to be back with you this week. How are you |
| 1:09.1 | guys doing? How are things where you are? It's nice here in |
| 1:12.0 | Florida. It's early. I'm drinking my coffee. So I get in trouble tweeting late at night with the red |
| 1:18.9 | wine, but I can still get in trouble with coffee as well. So we'll see what happens. Yeah, I got in |
| 1:23.7 | trouble for drinking touch coffee on an earlier episode as well, so I'm trying to |
| 1:27.7 | ration myself. But it's really, really good to be here and on with Jerry as well, as this is the |
| 1:31.7 | first time we've done it with the three of us. So I'm really excited. Yes, it's the first time, |
| 1:36.6 | and it's something that I think a lot of people have been waiting for with anticipation. So yes, |
| 1:43.1 | I'm looking forward to this as well. In terms of a quick |
| 1:46.8 | market wrap, the week as a whole again was driven by Fed News in the bond markets. Powell once |
... |
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