SI25: Where to start your Trend Following jouney?
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 3 March 2019
⏱️ 98 minutes
🧾️ Download transcript
Summary
Discussion points this week include: Where to start if you want to become a Trend Following Trader, whether or not to trade markets differently, Bloomberg’s article on the supposed Failing of Trend Following, how strategies can cope and adapt during drawdowns, how to know when you are truly diversified or not, and a lot more.
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Episode TimeStamps:
00:00 – Intro
01:20 – Weekly review of performance
07:00 – Top tweets
32:30 – Question 1: Karl; Where would you start if you wanted to become a Trend Follower?
36:30 – Question 2/3: Paul; Considering return volatility and investor tolerance, how do you help investors determine their optimal allocation to Trend Following? Have your personal volatility preferences changed over time?
45:45 – Question 4: Antonio; If historical drawdowns have no bearing on the future (as the podcast has said), how do you know your system won’t blow up?
50:10 – Question 5: Antonio; How do you calculate future expected returns with a TF system?
55:20 – Question 6: Antonio; If you can’t estimate future returns, why bet TF will keep working in the future?
59:30 – Question 7: Antonio; Should recent performance of TF systems influence future return expectations?
01:03:10 – Question 8: Brian; How does a CTA choose a company to sell their products?
01:05:00 – Question 9/10: Samuel; Based on correlation, what level of diversification is enough? What will cause Jerry to adjust his risk?
01:09:00 – Question 11: Samuel; How often should positions be...
Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kastrup Larson on their raw and honest |
| 0:07.2 | journey into the world of systematic investing and learn about the most dependable and consistent |
| 0:12.3 | yet often overlooked investment strategy. Welcome to the Systematic Investor podcast series. |
| 0:19.6 | Jerry Parker, Moritz Siebert and I, Niels Koster Larsen, are back with this week's edition |
| 0:24.1 | of the Systematic Investor Series, where we share our experiences, the ups and the downs |
| 0:29.1 | of what it's like to be a rules-based investor, and of course, where we also take your questions. |
| 0:36.2 | And as usual, let me start by saying, good morning to you, Jerry, |
| 0:38.8 | and good afternoon to you, Moritz. Hello, Jens. How are you? Good morning. Good afternoon. |
| 0:43.2 | Very well. Thanks, very well. So a week, which I think was mainly about the bonds and fixed income markets |
| 0:50.2 | in general, at least when I look at kind of our P&L that stood out but we did see some |
| 0:55.7 | decent moves in gasoline and that gas and palladium on the upside and then |
| 1:00.7 | wheat sugar and silver were kind of the the leaders to the downside this week at |
| 1:06.5 | least in the markets that I keep an eye on so why why don't we jump into it, Moritz, and see how it all |
| 1:15.3 | played out for you this week? Yeah, it played out just like you said. Summing it up, |
| 1:22.1 | it's been another bad week, really, quite bad, minus 3%, roughly. |
| 1:29.8 | And so you're the bonds that didn't work. |
| 1:32.7 | Got quite a few signals, actually. |
| 1:35.5 | Got shorter in Aussie dollars and Canadian dollars and euros in yen versus the US dollar. |
| 1:41.6 | A little bit less short in the equities. |
| 1:44.1 | So, for instance, the Kakara changed from short to long, as did the versus the US dollar, a little bit less short in the equities. |
| 1:51.1 | So, for instance, the Kakara changed from short to long, as did the Footsie and the spies in Australia. |
| 1:56.3 | And some, you know, changes which, you know, looked at us, oh, that's interesting. So, you know, it used to be long gold and long silver and those are now slight shorts and you know wTI generally the |
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