SI15: Has too much Diversification hurt performance in recent years?

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 22 December 2018

⏱️ 90 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…not least by sending us questions that we can discuss.

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Episode TimeStamps:

00:00 – Intro

01:50 – Weekly review of performance

05:50 – Top tweets

19:30 – Question 1: Michael; Are trend followers relaxed (in terms of personality) in general?

23:00 – Question 2: Michael; Why does TF not work on stocks work?

28:30 – Question 3: Michael; How do you measure single stock correlation?

33:05 – Question 4: Nick; Do you ever front run your systems?

35:00 – Question 5: David; Have you ever been through a market similar to this year (2018) and how did it turn out/what did you learn?

38:45 – Question 6: Can you give us a proven TF strategy (ex. Donchian)?

43:05 – Question 7/8: Timothy; Has too much diversification hurt TF in the last decade? Should TF focus on markets that are trending?

52:10 – Question 9: Anish; How do you identify relative strength and accordingly allocate capital between different asset classes?

59:55 – Question 10: Does the intensity of trends change over time?

01:04:30 – Question...

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.
0:19.8	Jerry Parker and I, Niels Kostop Larson and I delighted to be back with you on this week's
0:24.9	edition of the Systematic Investor Series, which is our weekly open-ended and quite raw
0:30.7	exploration of the world, a rule-based investing, and where we also try and take some of your
0:36.2	questions.
0:37.9	Moritz is not able to join us this week,
0:40.2	as I think actually he's out skiing this weekend, if I remember correctly.
0:45.6	So it's just you and me, Jerry.
0:47.6	Good morning to you.
0:48.8	Good morning, Niels.
0:51.0	Now, end of another week, and what a week it's been with kind of the Fed-defying President Trump,
0:59.8	US equities heading to bare market territory, uncertainty and chaos when it comes to Brexit.
1:06.5	The list is pretty long this week, actually.
1:10.2	So that may give us some, you know, a little bit to talk about when it comes to
1:16.4	trend following and how we, how we fared this week and so on and so forth.
1:23.2	And the good news is we've got a lot of questions this week, which we will try to deal with as best we can.
1:32.3	So why don't we jump into it?
1:35.4	Do you want to start out with kind of a quick review from your point of view in terms of the trends we saw and how sort of trend following seen by the eyes of you, Fed?
1:51.9	Sure.
1:52.6	It was a great week for trends.
	...

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