SI248: Trend Following, AI & Mastering Risk Management ft. Alan Dunne
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 17 June 2023
⏱️ 65 minutes
🧾️ Download transcript
Summary
Alan Dunne returns to the show following a busy week of Fed action and economic activity. We discuss how technology like artificial intelligence impacts the economy and investors, both currently and in the future, the use of machine learning trend following and why it is important to be aware of your own biases. We also discuss what constitutes good risk management and why risk management is key to any successful investor, the evolution of risk management and much more.
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Episode TimeStamps:
00:58 - The big macro picture
13:25 - Industry performance update
16:33 - Artificial Intelligence - friend or foe?
28:00 - Using AI in trend following
32:40 - Katy Kaminski paper on bonds
39:36 - Being aware of your own biases
44:49 - Quantica paper on protection and returns
48:35 - Transtrend paper - volatility vs. drawdowns
53:24 - Risk management - the secret sauce?
57:28 - The evolution of risk management
01:03:24 - Thanks for listening
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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 |
| 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. |
| 0:27.7 | Welcome and welcome back to this week's edition of the systematic investor series with Alan Dunn and I, |
| 0:33.4 | Nils Castleblaston, where each week we take the pulse of the global markets through the lens of a rules-based investor. |
| 0:39.3 | Alan, it is wonderful to have you back this week, which has been pretty busy if you're a fit watcher. How are you doing? |
| 0:40.3 | Yeah, good to be back on. |
| 0:41.3 | As you say, it's been a busy time in markets, a lot of moves, particularly big moves and equities if you're in technology stocks. |
| 0:48.3 | So it's funny. We always say it's been, you know, a busy time, but it seems like it's just always busy, or at least it has been for quite a long time. |
| 0:58.5 | Now, we got some great topics that you brought along, and, you know, as usual, before we do that, I'm always curious to find out kind of what's been on your radar and kind of what's your big macro picture at the moment. |
| 1:12.0 | Yeah, well, as I just say, it was, it was the Fed was the focus this week. So I think that's really, |
| 1:16.2 | you know, the interesting thing. We had their latest statement of, or summary of economic |
| 1:23.0 | projections. And I just thought it was interesting that they've slightly raised their forecast for |
| 1:28.2 | growth in 2023, lowered their projection for unemployment and raised their forecast for core |
| 1:34.0 | PCE and obviously raised their dot plots again with, you know, an expectation of a couple of more |
| 1:40.7 | rate hikes now. So just interesting, you know, we're 15 months into a tightening cycle. |
| 1:45.2 | We've had, you know, 500 basis points of rate hikes. |
| 1:47.9 | And there you have the Fed kind of raising rather than reducing their expectations for growth. |
| 1:54.0 | So I think that's interesting. |
| 1:56.1 | And, you know, if you look at how they've adjusted the dot plots, |
| 1:59.7 | they actually have raised their expectations |
| 2:01.7 | for kind of the year-end rate for the Fed funds for this year and next year. That's been raised |
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