SI205: Trend Following...What Really Matters ft. Richard Brennan

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 14 August 2022

⏱️ 68 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Today, Richard Brennan joins us to discuss what really matters within Trend Following, as well as an update on the reaction to the latest CPI data. We also address questions from listeners regarding how to achieve a robust portfolio by avoiding recency bias and using a slow adaptive process, how sample size is most optimally used in Trend Following and the advantages of using a simplistic approach in your trading system. Lastly, we discuss the concept of warehousing risk and how it should be taking into account as part of the risk management. We analyse an article by Morgan Housel about long tails and how it drives every system with exceptional performance, and much more.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Episode TimeStamps:

00:00 - Intro

02:36 - Review of the market action post CPI data?

07:27 - Industry performance update

11:35 - Q1, Gareth: Emphasising recent performance vs. over optimisation

21:13 - Q2, Antonio: Why not use a smaller sample size?

41:45 - What does warehousing risk mean?

50:52 - Tails, you win - Analysis of Morgan Housel article

56:50 - Top 3 things that matter the most in Trend Following

01:05:58 - Thanks for listening

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Transcript

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0:00.0	You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic
0:06.7	investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:13.2	Welcome to the Systematic Investor Series.
0:27.2	Welcome and welcome back to this week's edition of the Systematic Investor series with Richard Brennan and I, Neil's Castlelarsen, where each week we take the pulse of the global
0:31.3	markets through the lens of a rules-based investor. If you're newer to the show, I hope that
0:36.8	today's episode will trigger your curiosity enough
0:39.3	to check out the back catalog and listen to the past episodes that you may have missed.
0:43.5	Like my conversation with Alan last week, where we not only touched on some of the market
0:49.0	instability issues we are seeing in the last few weeks, but we also debated the pros and
0:53.8	the cons of replication strategies
0:56.1	from the eye of an allocator like Alan used to be,
0:59.9	and then we had a few really good articles that we also dug into.
1:05.2	And I also really want to encourage you to listen to the midweek episode
1:09.5	that we published only a few days ago
1:12.0	where Kevin Caldine spoke to perhaps the most, I would say the world's leading financial
1:18.3	historian, Edward Chancellor, who is an author, he's a journalist, but he's also worked with
1:24.5	some of the best hedge fund managers out there. And they discussed Edward's latest book, The Price of Time, The Real Story of Interest,
1:32.2	and this really is a must listen to conversation.
1:36.7	So head over, check them out as soon as you're done, listening to Me and Rich today.
1:42.2	Rich, it is wonderful to see you again. How are you doing?
1:46.8	How are things down under? All good, Neil. It's always great pleasure to be on here.
1:51.1	But yeah, it's a bit drier than we're used to at the moment. And slowly we're getting a bit of
	...

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