SI186: Crisis Alpha & My Trend Following Thesis ft. Richard Brennan
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 3 April 2022
⏱️ 85 minutes
🧾️ Download transcript
Summary
Today, Rich and I discuss the Q1 Trend Following performance and how it turned out to be one of the best calendar quarters for the SG Trend and SG CTA indices. We also dive into my own "thesis" about trend following in a De-Globalized world and why I believe that we may be returning to the golden era of trend following, like in the 1970s, 80s and 90s. As usual we debated a few great questions from our community, relating to Volatility Targeting and how to manage your Stop-Loss. A lively episode for sure!
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In this episode, we discuss:
- Interest Rates and the current Bear Market in Bonds
- Our slighltly different definitions of the term "Crisis Alpha"
- The concern's Rich has for the World, and what that means for Trend Following
- The impact on Trend Following of a De-Globalization of the World
- The difference between initial and trailling stops, and when to use them
- What software to use to backtest your systems
- Whether dynamically adjusting your position size during a trade is better or worse than keeping it static
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Episode TimeStamps:
00:00 – Intro
03:09 – Weekly recap from Niels
05:22 - Update on Rich's Battleship
15:35 - Crisis Alpha...yes but much more
21:40 - My Trend Following Thesis
37:24 - Q1, Andrew: Could you all define the use of a trailing vs initial stop in systems you use?
52:25 - Q2, Nicolas: Do you know any affordable back testing systems, other than Excel?
56:45 – Q3, Brian: If you Vol adjust your positions...when, if ever, do you re-establish your full position if volatility collapses?
01:21:26 – Industry Performance Update
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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:26.6 | Welcome and welcome back to this week's edition of the Systematic Investor Series with Richard Brennan and I, Niels Karstablasten, where each week we take the pulse of the global |
| 0:31.0 | market through the lens of a rules-based investor. |
| 0:33.8 | If you're new to the show, I hope that today's episode will trigger your curiosity enough to check out the back catalog and listen to the past episodes that you may have missed. |
| 0:42.1 | Like my conversation with Mark last week, where we discussed strategies for rebalancing your portfolio, |
| 0:47.8 | my thesis on de-globalization and its impact on trend following, and the hedger's dilemma |
| 0:53.2 | and how the LME may have lost the trust of its clients. |
| 0:57.4 | And we could not help discussing a term that Mark |
| 1:00.0 | actually wrote about all the way back in the late 1990s, |
| 1:03.4 | namely divergence and how it might cause disruption in the markets. |
| 1:08.7 | If you miss that episode, |
| 1:10.2 | I certainly invite you to go back and check it out. |
| 1:14.0 | As you know, the aim of the podcast is to inspire you as an investor. |
| 1:17.8 | We want to be prerogative, but without being polarizing, |
| 1:21.1 | and we want to challenge consensus narratives |
| 1:23.2 | and to advocate how to think critically about investing in an uncertain world |
| 1:27.9 | and to provide you with a framework and mindset that we believe is truly robust. |
| 1:33.3 | And if you want to help us achieve our goal, all we ask of you is that if you can comment, |
| 1:38.0 | if you can continue to send us your questions, if you can share these episodes with your |
| 1:42.2 | friends and not least, if you can rate and review them in iTunes and Spotify, we would greatly appreciate it because this is the best way for us to see that you're getting some value from our time and dedication each week to create these episodes. |
| 1:54.1 | And as long as that continues, we will continue to do them. |
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