SI284: Choosing Your Trend Following Battles ft. Nick Baltas

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 24 February 2024

⏱️ 67 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Goldman Sachs's Nick Baltas joins us today, to help us uncover if it is meaningful to use factor regression to evaluate managed futures. We also weigh in on couple of articles, relating to the outlook for trend following and the state of the industry, before turning our attention to some hard core research into how to construct the optimal trend following portfolio and why it is important to be conscious of which battles you pick. Lastly, we discuss the challenge of timing an investment into trend following, the pros and cons of trading alternative markets and more.

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Episode TimeStamps:

00:23 - What has caught our interest recently?

03:04 - The Nikkei index finally comes out it its 35 year drawdown

05:35 - Industry performance update

07:37 - Q1, Oliver: Does it makes sense to use factor regression to evaluate managed futures?

14:24 - The state of the industry

18:17 - Is trend following flopping?

27:34 - Building optimal trend following portfolios

36:15 - Pick your battles

49:10 - Is there a way to time trend following?

53:34 - Is it actually an advantage to trade alternative markets?

01:04:44 - 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
0:06.7	investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:13.2	Welcome to the Systematic Investor Series.
0:26.3	Welcome, 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
0:30.2	market through the lens of a rules-based investor. Nick, it is wonderful to be back with you
0:35.6	this week. It's been a little while. How have you been?
0:38.8	It's been indeed a little while.
0:40.3	I think last time was when we had the group session just before the new year.
0:45.5	It's been a very busy start of the year, I should say.
0:49.4	You know, part of that is a lot of good amount of client activity.
0:53.2	There was a bit of travel you know this EQD conference
0:57.8	in Barcelona it's been it's been well so far so good uh how about you yes no completely the same
1:05.2	this is my busy travel time so uh i i can attest to the the the business but it's also been an interesting time in the markets,
1:13.6	I'm sure we'll come to that. Now, we have a pretty full plate, a very solid lineup, with a few
1:20.5	different topics ranging from the state of the CTA industry to some hard-hitting research papers.
1:26.4	We also have a recent article from risk.net.
1:30.0	And if we can get to it, we wanted to also to discuss a little bit about alternative markets,
1:35.5	including Chinese markets. And of course, we also have a question that we're going to be
1:39.6	launching out within a few minutes. So quite a lot for us to be tackling today.
1:44.9	But before we get to that, I'm always curious in between our conversations.
1:51.2	Besides the topics we're going to be talking about today, what else has been kind of top
1:55.5	of mind or been on your radar since we last spoke?
	...

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