4.8 • 670 Ratings
🗓️ 2 April 2023
⏱️ 75 minutes
🧾️ Download transcript
Join us for an eye-opening conversation with Richard Brennan, as we explore the world of trend following and delve deep into the unusual moves in fixed income markets and its impact on trend following performance during a month of March Madness. Discover how the design of trend following strategies allow it to be “prepared” for unforeseen events without overcomplicating the investment approach, and find out why choosing the right strategy and manager is all about personal preference. Rich reveals the secrets behind "the lifting power" of trend following and shares insights on how to determine the right amount of trend following allocation. Plus, gain valuable knowledge on the protective properties of trend following, the best ways to evaluate strategies, and the risks of being a replicator versus being a manager. Don't miss out on this enlightening episode!
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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:
03:16 - What happened this week?
08:34 - Unusual moves
15:16 - Reviewing the March Madness
20:44 - Industry performance update
22:05 - Being prepared for unexpected events
27:17 - Keeping things simple
30:29 - Correlation in your portfolio
34:27 - Finding the right strategy and manager
38:11 - The Good, the Bad & the Ugly side of the Sharpe Ratio
49:27 - Tail hedge vs trend following allocation
55:19 - Who's Sharpe should we be improving?
01:02:39 - The Pros...
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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 |
0:06.1 | systematic investing and learn about the most dependable and consistent yet often overlooked |
0:11.2 | investment strategy. Welcome to the Systematic Investor Series. Welcome and welcome back to this week's edition of the Systematic Investor series |
0:26.1 | with Richard Brennan and I, Niels Karstrelasson, |
0:28.7 | where each week we take the polls of the global market through the lens of a rules-based investor. |
0:33.4 | Now, 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, like my conversation with Gem last week, where we discussed the reasons behind the unprecedented moves in the volatility space and how they're impacting different strategies, including trendfalling. |
0:53.0 | And Jim also shares his thoughts on the |
0:55.6 | critical importance of positioning and why volatility strategies have been facing some tougher times |
1:02.3 | in the last couple of years. So you don't want to miss that one for sure. Also, I would encourage |
1:07.0 | you to listen to the midweek episode where we had a thought-provoking conversation |
1:11.0 | with Rana Furoa, Global Business columnist and author of the book, Homecoming, The Path to |
1:16.8 | Prosperity in a Post-Global World, really a conversation that will no doubt make you think about |
1:22.2 | where we are heading as a planet. |
1:26.3 | Lastly, I am excited to invite you to enjoy the CTA miniseries where Alan and I have had |
1:31.6 | the privilege of speaking with the decision makers of most of the largest CTAs in the world. |
1:36.5 | We dive deep into the most pressing topics and have gained unprecedented access to these |
1:42.3 | industry leaders who share some exceptional insights to the CTA world. |
1:47.0 | So head over once you're done listening to Rich and I today |
1:49.7 | and check out some of those episodes. |
1:52.5 | Rich, it is wonderful to be back with you today. |
1:55.5 | Unexpected, I will say, |
1:56.9 | because of course there was someone else who were meant to be here today, |
... |
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