SI245: Which CTA Should You Buy ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 27 May 2023
⏱️ 65 minutes
🧾️ Download transcript
Summary
Rob Carver is back to discuss the economic unpredictability that has defined this year so far and how Rob approaches backtesting his system, how to make a signal continuous in a discrete system and if there are ways to figuring out when is the right time to trend follow. We also unpack what Rob means by “you can’t eat sharpe ratio” and what he would change in his strategy if he had more resources available. We then turn to discuss the CTA industry and how to find out which CTA you should buy, why Niels is skeptical about predicting the performance of a strategy and why you need to know what you don’t know, the absurdity of the debt ceiling and much more.
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Episode TimeStamps:
00:52 - Update from Rob
07:13 - Calculating slippage and "midprice"
12:41 - Industry performance update
15:26 - Q1, David: About continuous trading signal construction
20:49 - Hidden Markov models - What and why?
27:34 - Q2.1, Elie: Is there value in relative vol targeting for traders who can't take on leverage?
32:37 - Q2.2, Elie: About alternative ways of rebalancing signals
37:49 - Q3, QuantLurk: What would more resources do to your strategies?
42:41 - Which CTA should you buy?
49:12 - Can you really predict the performance of a strategy?
56:08 - You need to know what you don't know
58:36 - The U.S debt ceiling
01:03:09 - Thanks...
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 and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:26.0 | Welcome, welcome back to this week's edition of the Systematic Investors series with Rob Carver and I, Neil's Castor Larsen, where each week we take the pulse of |
| 0:30.3 | the global market through the lens of a rules-based investor. Rob, great to be back with you this |
| 0:34.9 | week. So much continues to happen in between our conversations. |
| 0:38.7 | How are you doing today? |
| 0:40.5 | Yeah, well, obviously, it's Friday, which is good. |
| 0:43.5 | And as we were discussing before we came on hour, |
| 0:46.2 | I'm going to be taking some holiday soon. |
| 0:48.4 | So that's equally good. |
| 0:49.4 | So, yeah, all good. |
| 0:51.1 | Lots of things to look forward to just like today. |
| 0:53.8 | I hope people are looking forward to the lineup we have in terms of topics |
| 0:57.3 | and questions that we'll be tackling in today's episode. |
| 1:00.6 | But before we do that, let's do as we normally do and just kind of hear what's been on your |
| 1:05.5 | radar, what you've been focusing on since we last spoke a few weeks ago. |
| 1:10.9 | Yeah, I mean, in terms of performance, actually, it's been pretty good. |
| 1:14.2 | So I'm still in this kind of gradual, slow crawl out of the horrors of March, |
| 1:19.5 | which, although, to be fair, I wasn't hit too badly in March compared to a lot of people. |
| 1:25.4 | So I think in March March I lost like something like |
| 1:29.1 | four and a half percent or something like that. And given that I run a reasonably high vault |
| 1:33.6 | target, that's actually quite good. And then I think it's going to flatline for a while and actually |
... |
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