SI217: Finding the Optimal Trend Following Allocation ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 6 November 2022
⏱️ 69 minutes
🧾️ Download transcript
Summary
Today, Rob Carver joins us for our weekly conversation on Trend Following, where we also address this week's press conference held by Chairman Powell. We discuss the most optimal time period for trend following and how trend following differ from short-term trading. Then we explain the challenges in the UCITS space and how regulation affects these products, and why it is important to correctly distinguish asset classes and trading strategies from each other. We also discuss Rob’s approach to building mean reversion systems, the importance of analyzing trading costs and if it is worth learning how to trade futures, if you have a small account. Lastly, we discuss hedge fund replication and how Rob approaches it, and how to decide, how much you should allocate to Trend Following 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
02:58 - The biggest takeaways from the week?
11:36 - Industry performance update
13:27 - Status on Rob’s book
14:38 - Q1, Simon: What is the shortest term that Rob has looked at in trend following / momentum?
25:26 - Q2, Matthew: Relationship between UCITS funds's lower vol and Trend Following allocation? & Advice for small investors
32:20 - Comment, Mark: Confusing asset classes and trading strategies
39:22 - Q3, Toby: About building mean reversing systems
40:58 - Q4, Zach: How to approach holding periods and rolling costs?
43:22 - Q5, Anis: Cash equities vs. futures for trend following?
46.29 - Rob’s take on hedge fund replication
01:00:18 - Trend Following - How much is enough?
01:06:42 - Announcement
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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 |
| 0:07.2 | and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:26.0 | Welcome all welcome back to this week's edition of the Systematic Investor series with Rob Carver and I, Neil's Castra Blaston, where each week we take the pulse of the global markets |
| 0:30.2 | through the lens of a rules-based investor. |
| 0:33.2 | If you're new to the show, I hope that today's episode will trigger your curiosity enough |
| 0:36.9 | to check out the back catalogue and listen to past episodes that you may have missed. |
| 0:41.0 | Like my conversation with Alan last week, where we discussed how to approach asset allocation |
| 0:46.0 | when adding trend following to your portfolio, how to find the optimal allocation, |
| 0:50.8 | and why trend following is often the most consistent part of the portfolio, a topic that |
| 0:55.1 | we may return to today. Also, if you missed our Wednesday episode, I really would encourage |
| 1:00.2 | you to listen to the conversation with William White, economist, policy advisor and policymaker, |
| 1:07.6 | who worked at the OECD, the BIS, Bank of Canada, and who is perhaps best known for |
| 1:13.2 | warning the central banks about their failed policies after the great financial crisis. |
| 1:18.1 | This was a really important conversation on monetary policy and how it can negatively |
| 1:23.0 | impact the economy. So, I would really encourage you to go and check out these episodes if you missed them this |
| 1:29.1 | week, but of course not until you finished listening to Rob and I today. |
| 1:33.2 | Rob, always a pleasure to be back with you. |
| 1:36.0 | How are things with you? |
| 1:37.2 | How is the UK government? |
| 1:39.1 | Is this still there? |
| 1:41.3 | Last time I checked, but I haven't looked at the internet for about 35 minutes, so Prime Minister could be different now. You never know. Yeah, it's kind of, it feels like we've gone from summer to winter in about a week here. We've gone from kind of way above average temperatures to kind of wet and cold, sort of normal weather for this time of year. So, yeah, I'm, I'm, the viewers |
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