SI247: What is Smart Diversification? ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 10 June 2023
⏱️ 70 minutes
🧾️ Download transcript
Summary
Today, Nick Baltas return to the show for a look at some recent published research papers by our friends over at Quantica and AQR. Despite our technical difficulties with my audio and notes...we discuss the timing and speed of executing trades and the pros and cons of trend following compared to stocks and bonds, how to achieve the best protection whilst maximizing returns during times of trouble in equities or higher interest rates and why short term strategies does not necessarily give you better protection, nor better returns. We also discuss the similarities and differences between trend following and economic trend and the importance of luck, why you get what you pay for in terms of manager performance and much more.
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Episode TimeStamps:
01:10 - What happened this week?
03:24 - Industry performance update
05:07 - Q1, David: About the speed of execution
10:43 - Q2, Oliver: Trend following vs. stocks and bonds
16:08 - A discussion on smart diversification
22:21 - Shorter term strategies = more protection?
25:22 - The role of lookback
29:07 - Paper on economic trend
36:16 - Trend following vs. economic trend
45:18 - Withstanding the pain of long term trend following
54:16 - Capping equity exposure
56:08 - Is fee reduction alpha?
01:02:01 - Does CTA replication models = single manager risk?
01:04:04 - The problems with managed futures indexes
01:07:54 - Thanks for listening
Copyright © 2025 – CMC AG – All Rights Reserved
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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 and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:27.3 | Welcome and welcome back to this week's edition of the Systematic Investor series with Nick Baltus and I, Neil's Castro Blasen, where each week we take the polls of the global market |
| 0:31.2 | through the lens of a rules-based investor. Nick, it's great to be back with you this week. |
| 0:36.5 | So much continues to happen between our conversations. |
| 0:39.5 | How are you doing? |
| 0:41.0 | I am doing well, Niels. |
| 0:42.5 | In a good morning. |
| 0:44.4 | It's a beautiful Friday. |
| 0:45.7 | Finally, summer came to London. |
| 0:47.8 | Let's see for how long. |
| 0:48.9 | Exactly. |
| 0:49.4 | It is a beautiful morning. |
| 0:50.4 | Not so beautiful, though, when it comes to my technology, |
| 0:53.3 | as I was just telling you, |
| 0:55.0 | all my work this morning and preparing for our conversation today seems to be stuck somewhere |
| 1:00.8 | in the cloud. So I'm kind of flying with half my nose today, but I'm sure we'll be just fine |
| 1:07.8 | as we usually are. So before we dive into the topics, |
| 1:13.8 | and I think we actually have some good ones as usual |
| 1:16.1 | and some very good research papers to dive into, |
| 1:19.7 | as we normally do as well. |
| 1:21.4 | I just wanted to ask you because it's always interesting to hear, |
... |
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