SI274: Can You Time Trend Following? ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 16 December 2023
⏱️ 66 minutes
🧾️ Download transcript
Summary
Today, we are joined by Nick Baltas for conversation, where we dive deep into the use of volatility scaling and accelerators in trend following systems. Additionally, we discuss various research papers that address whether trend following CTAs are truly long vol, what the negative impact of trend breaks are, whether you can predict future trend following performance by analyzing previous trend following perfomance and the art of timing trends, why it is important to sometimes settle with “good enough” performance, the future of the 60/40 portfolio and much more.
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Episode TimeStamps:
01:10 - What's been on our radar recently?
05:09 - Industry performance update
06:51 - Q1, Nicolas: Can you replace price with sharpe and trend follow that input instead?
17:52 - Q2, Andrew: Is there any validity in having additional accelerators in a system and how would it be used?
25:03 - Article: Are trend following CTAs truly long volatility?
33:26 - Article: Breaking bad trends
42:19 - Know when to be long and short
45:15 - Article: Managed futures rotation
52:40 - Sometimes good enough is good enough
57:02 - The future of the 60/40 portfolio
01:03:57 - Thanks for listening
Resources discussed in this Episode:
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 |
| 0:07.2 | and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:27.1 | Welcome or welcome back to this week's edition of the Systematic Investor series with Nick Bolters and I, Neil's Castro Blasen, where each week we take the pulse of the global market |
| 0:31.3 | through the lens of a rules-based investor. Nick, great to be back with you this week. |
| 0:37.4 | Just before we all go away on for holidays, |
| 0:40.8 | I guess. How are you doing? Are you all prepared for it? I'm so very much looking forward to it, |
| 0:45.9 | Niels. Like, Jane has been quite a year, so I'm just looking forward to the break. And I'm doing |
| 0:50.2 | very well. How are you? Good. Yes, all well here. Just came back from the US. So a little bit jet lag, maybe a little bit underprepared, but I'm doing very well. How are you? Good. Yes, all well here. Just came back from the US. |
| 0:55.4 | So a little bit jet lag, maybe a little bit underprepared, but I'm sure we're going to get |
| 0:58.9 | through our conversation today. We got a solid lineup, as usual, and four papers, actually, |
| 1:05.8 | or papers, articles that we're going to be tackling. But before we do that, I always enjoy hearing what |
| 1:12.5 | kind of kept you interested, busy, or what's been on your radar since we last spoke. |
| 1:20.4 | You wouldn't be surprised. I think the asset price moves we've seen the last month or so have |
| 1:24.9 | been quite substantial, whether that has had an impact on our beloved |
| 1:30.1 | strategy trend following, which it has had. It's one thing, but certainly the macro environment |
| 1:35.5 | with like equities now up 20, 22%, or whatever, that is obviously at the year high levels, |
| 1:42.2 | rate significant move with the yield reduction being quite aggressive |
| 1:46.1 | in the last month or so. The dollar moves as well. We've seen some of the frontier, commodity |
| 1:50.9 | markets, you know, continuing some strong rallies. So these have kept us certainly busy as we |
| 1:58.0 | as we get closer to year-end. |
| 2:01.4 | The other thing that was actually very interesting on my way in this morning, I was kind |
... |
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