SI258: Absolute Momentum in a Chaotic Environment ft. Richard Brennan

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 26 August 2023

⏱️ 86 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Richard Brennan is back to discuss the lurking uncertainty in the economy and take a deep dive into absolute momentum. What is it, how is it used and how does it relate to trend following? How does complex systems really function and evolve over time and what role does correlation play in system design? And financial markets is in fact chaotic systems, then how do predictive modellers trade them? Is there an edge from price following techniques in their ability to trade in highly complex and sometimes chaotic environment? Why noise is not as random as it might occur, how risk should be calculated in complex systems and much more.

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Episode TimeStamps:

02:31 - What has happened since last conversation?

08:04 - Industry perfomance update

14:08 - Q1, Correy: If an investor is heavily weighed equities, as most are, are they better off with trend following providers that don't include equities as one of the utilized asset classes?

20:06 - A deep dive into absolute momentum

30:30 - Different implementations, same results

45:47 - The role of correlation

50:56 - Calculating risk in complicated systems

01:14:10 - The weakness of the Sharpe Ratio

01:21:04 - Know your manager well

01:24:19 - Thanks for listening

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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.
0:13.2	Welcome to the Systematic Investor Series.
0:26.4	Welcome all welcome back to this week's edition of the Systematic Investor series with Richard Brennan and I, Neil's Castleblaston,
0:28.6	where each week we take the pulse of the global markets through the lens of a rules-based investor.
0:33.5	Rich, it is great to have you back this week.
0:36.0	How are you doing? What's going on down under?
0:38.5	All good, Niels. Getting a bit warmer over here and warmer in a lot of ways. One is the weather, of course,
0:45.2	which is starting to pick up a bit. We're probably going to get blasted like you guys in Europe
0:49.9	were blasted recently with the hot weather. But, you know, being the eternal pessimist,
0:55.4	most people are worried about climate change over here,
0:57.8	and they're saying that, you know,
0:59.5	they're worried that Europe's experience the hottest year in 100 years.
1:03.5	But I tend to say that that's the glass half fool talking.
1:07.3	What about the glass half empty or the other way around,
1:10.6	the alternative, that it's the coolest
1:12.7	year in the next 100 years?
1:15.2	You know, that's a more optimistic way of viewing climate change.
1:18.4	But anyway, the eyes in Australia at the moment, they're focused on China.
1:24.7	Our dependence with China is fairly extreme, export, import, etc., the mining resources
1:32.4	from Australia over to China, et cetera. And we're seeing a bit of shakiness in China, particularly
1:38.1	in their property areas. So we're a bit concerned about that over here. And, yeah, so things are quaking a bit.
1:46.9	We're seeing that a bit of movement in the markets associated with that level of uncertainty with China.
	...

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