SI240: Trend Following... More Than Just Vol Scaling? ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 23 April 2023
⏱️ 71 minutes
🧾️ Download transcript
Summary
Join us for a compelling conversation with Nick Baltas on the topic of trend following, where we explore the rising appetite for institutions to buy-the-dip in fixed income markets and how the SVB event has impacted liquidity. Discover if you can time trend following by adding additional signals to your model, the academic sceptisism of timeseries momentum as a strategy and why trend following goes beyond volatility scaling. We also delve into the scientific versus practical approach to trend following, and compare narratives of different investment approaches and how we may have to come up with a better one for trend following. Don't miss out on this insightful 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:
02:21 - Looking back on the week
13:19 - Reflecting on the CTA series
19:23 - The impact of the SVB event
23:02 - Industry performance update
24:39 - Q1, Tim: Regarding backtest and timing trends
35:08 - Two Critical Views on Trend Following
40:15 - Time-series momentum: Is it there?
43:28 - Defending trend following
54:01 - The Role of Volatility...and what it predicts
57:06 - The trend following narrative
01:06:05 - Paper from Aspect Capital
01:09:34 - Thanks for listening
Resources discussed in this Episode:
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 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. |
| 0:28.2 | Welcome. Welcome and welcome back to this week's edition of the Systematic Investor series with Nick Bolters and I, Neil's Castlelarsen, where we each week take the pulse of the global |
| 0:33.0 | market through the lens of a rules-based investor. If you're new to the show, I hope today's episode will peak your interest and encourage |
| 0:40.3 | you to explore our back catalog, including my conversation with Andrew last week, where |
| 0:45.5 | we discussed some of the recent challenges that his CTA replication strategy has faced and |
| 0:51.1 | what surprised him about this recent period. |
| 0:54.4 | Also, I would encourage you to listen to the midweek episode where Stephen Roach, former |
| 0:58.1 | chief economist at Morgan Stanley and senior fellow at Yale, discussed the China-U.S. |
| 1:03.4 | relationship and his new book, Accidental Conflict, and where he offers a path towards |
| 1:09.2 | healthier economies and insights on how to repair the current, quote-unquote, rocky relationship. |
| 1:16.5 | And lastly, I am excited to invite you to enjoy the mini-CTA series that I've done with Alan, |
| 1:23.3 | where we speak to the top decision makers at the largest CTAs in the world |
| 1:27.1 | so that you can gain unique access to these industry leaders |
| 1:30.5 | who share valuable insights on pressing topics in the CTA space. |
| 1:35.4 | So head over and check them out after you're done listening to myself and Nick today. |
| 1:40.7 | Nick, it is wonderful to have you back this week. |
| 1:43.2 | It's been a little while. |
| 1:45.0 | How are you doing this Friday in April? |
| 1:47.0 | I'm doing well, Neil, it's good to be back. |
| 1:50.0 | I'm doing well, so post-Easter, it's a less travel-heavy schedule on my side. |
... |
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