SI278: Trend Following Risk Premium...is it there & could it go away? ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 13 January 2024
⏱️ 71 minutes
🧾️ Download transcript
Summary
Rob Carver returns to the show to discuss whether there is a risk that the Trend Following risk premium could one day disappear and how he manages exogenous and endogenous risks in a trend following system, how he thinks of trading single stocks instead of stock indices in a diversified multi-asset trend program and what the minimum lookback period would be, in order to be considered “long term”. We also discuss the irony of the newly approved crypto ETF, how the nature of bitcoin has changed and much more.
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Episode TimeStamps:
00:23 - What has caught our attention recently?
10:14 - Industry performance update
11:26 - Q1, Norbert: What is the long-term expectation for the trend-following risk premium as measured by the SG Trend Index after costs and its stability or sustainability?
19:46 - Q2, Bruno: What is Rob's method for balancing endogenous and exogenous risk management and controls in a system
29:36 - Q3, Oliver: What is Rob's take on trading single stocks instead of stock indecies in a diversified multi-asset trend program
37:57 - Q4, Critter: What would the minimum lookback period be to be considered "long term"?
41:59 - Q5, Chris: Can you share a couple names of software companies that do robust backtesting of trade strategies
45:57 - Cypto ETFs have been approved!
52:42 - Allocating to bitcoin
01:04:31 - Looking into 2024
01:08:38 - Thanks...
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. |
| 0:27.0 | Welcome and welcome back to this week's edition of this systematic investor series with Rob Carver and I, Neil's Castlelaston, where each week we take the pulse of the global markets |
| 0:31.0 | through the lens of a roles-based investor. |
| 0:34.0 | Rob, wonderful to be back with you this week. |
| 0:37.2 | Hope you had a good start to the new year. |
| 0:39.1 | How are things in the UK? |
| 0:42.3 | UK is cold, which I guess is probably a good thing actually, given that last year was |
| 0:48.3 | the hottest over on record. |
| 0:49.5 | So any hint that the temperatures aren't going to skyrocket, it's probably a good thing, |
| 0:53.6 | but that's good. A lot of political uncertainty at the moment. We don't know whether aren't going to skyrocket, it's probably a good thing, but that's good. |
| 0:55.3 | A lot of political uncertainty at the moment. |
| 0:57.4 | We don't know whether we're going to have our election in May or perhaps at the same time as |
| 1:01.6 | the US election, which can make things interesting. |
| 1:04.2 | So political situation is very, very uncertain, very variable at the moment. |
| 1:08.3 | But yeah, I don't feel like the years started with kind of any |
| 1:11.7 | big news so far. It's just early days and I guess people are still dragging themselves back |
| 1:17.3 | to their desks and deciding what positions they should have on. And, you know, from a market's |
| 1:22.1 | perspective, it's still fairly quiet. Yeah, and I agree with that. although you and I have some big news to talk about |
| 1:29.0 | later on in the show that just came out yesterday, I guess. But overall, I completely agree |
| 1:34.4 | with your sentiment. And yeah, just before we dive into our topics and actually quite a lot |
... |
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