SI286: Profiting from Different Investment Regimes? ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 9 March 2024
⏱️ 72 minutes
🧾️ Download transcript
Summary
This week, Rob Carver joins us to uncover his process of choosing which instruments to trade and how to manage the volatility of these. We also discuss how time frames affect position sizing and the ability to get reasonable exposure to a market as well as how you manage your expenses as a full time systematic trader. We round off our conversation with a deep dive into the latest paper from Man Institute to find out if different regimes exist in reality or just in hindsight. The paper uncovers if investors can reliably profit from correctly identifying them and if so, how? And how various types of investing have performed through different regimes, including Trend Following.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode TimeStamps:
02:26 - What has been on our radar recently?
06:31 - Industry performance update
13:41 - Q1.0, Matthijs: Assuming that the trading costs are not a problem for some low-vol instrument, then how can we decide whether/how to still safely include the instrument in our portfolio?
23:50 - Q1.1 Matthijs: How do we distinguish between benign naturally low-vol instruments and disasters waiting to happen due to artificially dampened volatility?
26:18 - Q2, Ben: If I can trade markets like sugar or OJ on 20-day breakouts, is it reasonable to do so or is that quote-unquote too fast?
32:08 - Q3, Emil: As a full time systematic trader, how do you manage your expenses, with up and down months/years?
43:09 - Discussing latest Man Institute paper on regime based...
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. |
| 0:27.5 | Welcome, welcome back to this week's edition of the systematic investor series with Rob Carver and I, |
| 0:31.6 | Neil's Castlerasen, where each week we take the pulse of the global market through the lens of a rules-based investor. Rob, great to be back with you this week. Hope you're doing well. I was about to ask you what's happening or how things in the UK, but I actually got home from the UK yesterday, so I've kind of have a feel for what's going on. But tell me what you're seeing in the UK. |
| 0:49.0 | Niels, you mean you went to the UK and you didn't come and have lunch with me yet again? |
| 0:53.7 | I know. |
| 0:54.5 | This is like the second time in the year, I think, that you've done this. |
| 0:57.7 | Could have been. |
| 0:58.8 | Yeah. |
| 0:59.2 | But anyways, how are things in the UK? |
| 1:01.7 | Yeah, they seem to be okay. |
| 1:03.0 | We had yesterday, we had the budget, which is everyone makes a mess with us about. |
| 1:07.6 | It is, I don't know if this is a uniquely British thing, but this, this budget |
| 1:11.4 | thing, wherever year the Chancellor announces all of his tax, spending stuff. And it's kind of a, |
| 1:16.5 | like a big public event and the media obsessed with it for about a week before and a week |
| 1:21.0 | afterwards. I don't think any other country has quite the same level of, you know, sort of analysis |
| 1:26.1 | around one single day on this stuff. |
| 1:28.2 | Obviously, in the US, they have the budget ceiling and there's ongoing arguments about that, |
| 1:32.4 | but this kind of one day a year session thing, I think, is strikes me. |
| 1:36.2 | He's very uniquely British, so it's quite boring, actually. |
| 1:41.3 | Well, you say it's boring, but I remember a couple of years ago where there was something to do with a budget and some tax cuts that certainly put a bit of a spinner in the wheel in the UK. |
... |
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