4.8 • 670 Ratings
🗓️ 8 April 2023
⏱️ 73 minutes
🧾️ Download transcript
Join us for an engaging conversation with Rob Carver, where we delve into the world of systematic trend following. We explore topics like how to forecast future market volatility and the pros and cons of using a Value at Risk methodology. We also discuss the benefits and drawbacks of tail risk hedging, and whether percentage or price differences are better for estimating standard deviation. As a surprise twist, we also explore the reasons why you should NOT be a trend follower. Tune in for a fun and thought-provoking discussion with Rob.
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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:
02:40 - What happened since last time?
09:42 - Industry performance update
10:38 - Q1, Ricardo: When are you writing a book on backtesting with Python?
13:28 - Q2, Bruno: How to best forecast volatility?
20:49 - Q3, Skip: How is overall portfolio affected by not being pure trend?
25:41 - Libor Futures being replaced
30:41 - Blogpost about estimating standard deviation
38:01 - Article by Man-AHL on trend following performance following a sharp correction
43:37 - Bloomberg article about tail risk hedging
56:22 - Reasons Not to trend follow
01:09:50 - Thanks for listening
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1. eBooks that cover key topics...
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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 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. |
0:26.4 | Welcome, welcome back to this week's edition of the Systematic Investor series with Rob Carver and I, Neil's Castel Larsen, where each week we take the pulse of the global |
0:30.1 | market through the lens of a rules-based investor. |
0:32.9 | If you're new to the show, I hope that today's episode will trigger your curiosity enough |
0:37.3 | to check out the back catalog and listen to past episodes that you may have missed, like my you're new to the show, I hope that today's episode will trigger your curiosity enough to |
0:37.5 | check out the back catalog and listen to past episodes that you may have missed. |
0:41.0 | Like my conversation with Rich last week, where we discussed the March Madness that we just |
0:46.4 | experienced as well as how the design of trend following strategies allow it to be, quote, |
0:51.1 | unquote, prepared for unforeseen events without over-complicating the investment |
0:55.9 | process. Also, if you missed the Wednesday episode, I would encourage you to listen to that one. |
1:01.1 | It was a thought-provoking conversation with Barry Eicheng Green, Professor of Economic and Political |
1:06.1 | Science at University of California about what we can learn from economic history in the current volatile |
1:12.1 | global macro environment. |
1:14.6 | And lastly, of course, I'm excited to invite you to enjoy the CTA mini-series where Alan and I |
1:19.8 | have had the privilege of speaking with many of the decision makers of most of the largest |
1:25.2 | CTAs in the world. |
1:26.9 | And we dive deep into the most pressing |
1:28.7 | topics and have gained unprecedented access to these industry leaders who share some |
1:34.2 | exceptional insights really to the CTA world. So head over and check it out after you've done |
1:39.3 | listening to Rob and me today. Rob, it is great to have you back this week. |
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