SI265: Deep Dive Into Non-Trend Complementary Strategies ft. Nick Baltas

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 14 October 2023

⏱️ 64 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Nick Baltas is back this week to talk about the use of non-trend strategies in diversified managed futures portfolios. What is the rationale for the existence of a carry risk premia? How durable are the returns? What are some of the key thing things to keep in mind implementing a carry strategy? These are some of the questions we discuss as we deep dive into the use of carry alongside trend following. We also discuss reversion strategies and how skewness plays a part in their construction. And we discuss how all of these strategies may relate to the fact that the investment world may now be in the midst of what Howard Marks calls a Sea Change, driven by higher bond yields.

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Episode TimeStamps:

00:48 - What has caught our attention in markets?

04:08 - Construction portfolios with non-trend complimentary strategies

09:59 - What is driving non-trend strategies like carry?

17:28 - Adding carry to trend

22:52 - How to use utility functions

25:08 - Defining the variables

28:09 - Advice for implementing a carry strategy

36:22 - Nick's perspective on reversion strategies

40:21 - Moving beyond single stocks

47:48 - Skewness in commodities

54:30 - How climate change impacts investment strategies

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
0:07.0	and learn about the most dependable and consistent yet often overlooked investment strategy.
0:13.0	Welcome to the Systematic Investor Series.
0:29.9	Welcome back to Top Traders Unploked, where each week we take the pulse of the markets from the perspective of a rules-based investor.
0:36.9	It's Alan Dunn here again this week, sitting in for Niels while he's away traveling for this week and next week.
0:38.2	And today I'm joined by Nick Baltus. Nick are you Alan it's a pleasure to have you as a host I'm doing very well
0:43.5	very very busy as Q3 is here a Q4 is here but I'm doing well how are you I'm good great great
0:49.5	to speak to you and looking forward to speaking to you in this capacity this week. So I'm sure it's going to be a lot of
0:57.1	fun. I think it's about what, it must be about a month or so since you were last on with Neil's.
1:02.4	Anything, there's been plenty of going on in markets and you say you've been busy, anything,
1:05.8	particularly grabbing your attention in markets? Pretty much. I mean, obviously Q4 is here.
1:12.6	It's a good question where we're going to head right towards the year.
1:15.6	And I think there's a bit of reluctance at the moment.
1:18.6	It's going to be like higher for longer.
1:20.6	Obviously we just had the inflation coming out,
1:23.6	small b, small, small, small upside, but not quite substantial.
1:28.3	You know, as we were discussing earlier on.
1:32.3	So I think it's more about this reluctance and how we see investors kind of getting towards,
1:37.3	towards year-end.
1:40.3	You know, we have had some discussions with some that have performed well and therefore there's a bit of reluctance as whether they should diversify their portfolio or possibly just kind of getting into a bit more of a risk-off mood.
1:52.5	And, you know, we're kept busy, I would say we're kept busy with a lot of good requests for obviously trend following, which is our favorite topic.
2:01.8	But, you know, a range of other strategies and a range of other ideas as to how we can diversify portfolios but yeah we're we know
	...

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