SI27: Volatility vs Risk...What's the difference? and are CTAs useless?

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 16 March 2019

⏱️ 68 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Discussion points this week include, Volatility vs Risk, the differences between Trading and Investing, Zero Hedge’s comment about CTAs & Trend Followers being useless, and the NY Times article on high market skepticism while prices continue to go up. Also, should CTAs be used as a tool just for ‘Crisis Alpha’, or something more? Can Trend Following be used as a timing tool? What is the best sample size and look-back period when testing a system?

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Episode TimeStamps:

00:00 – Intro

01:35 – Weekly review of performance

05:30 – Top tweets

24:30 – TF needs a better slogan than “crisis alpha” – listeners are welcome to write in.

39:20 – Question 1: Antonio; How should TF work with traditional 60/40 stock/bond investing (and more on the podcast)?

56:20 – Question 2: Kevin; When backtesting do you have a preferred definition of what was and was not a trend or do you apply discretion?

01:03:50 – Announcement: Guest Jesse Felder coming on the show in a few weeks

01:04:35 – Benchmark Performance update

Paper Reference 1 – https://www.ahl.com/strategic-rebalancing

Paper Reference 2 – https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing

Paper Reference 3 –

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 journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:15.0	Welcome to the Systematic Investor podcast series.
0:19.4	Jerry Parker, Moritz Siebert, and I, Niels Kaspel Larson, are back with this week's edition
0:23.4	of the Systematic Investor Series, where each week we focus on how you can build safer
0:28.4	and better performing portfolios by including trend following in the mix and where we do
0:33.4	our best to answer all your questions.
0:36.1	As usual, let me start by saying, good morning, Jerry, and good afternoon to you, Moritz.
0:41.5	Good afternoon, good morning.
0:42.7	Hello.
0:43.1	Hi.
0:43.8	So, commodities and the VIX kind of stole the show this week, although with a pretty busy political agenda.
0:54.8	Maybe there was a little bit surprising to see financial markets
0:57.8	sort of not having a big impact or not being impacted so much by all of the votes,
1:05.3	for example, in the UK, which was fairly entertaining to watch.
1:09.9	And of course, from the markets that I follow, I noticed that Lean Hawks had a big search
1:15.4	and price this week, as well as some of the grain markets.
1:20.6	Equities had pretty good week this week.
1:23.7	And on the downside, the VIX was the big loser down almost 20%.
1:27.8	Nat gas, heating oil also lost some ground and as did the US dollar.
1:33.7	So with that in mind, Mords, how was your week?
1:39.6	Well, you know, not spectacular.
1:43.2	Minus 1% month today.
	...

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