SI295: Trend Followers - The Unwanted Party Guests? ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 11 May 2024
⏱️ 61 minutes
🧾️ Download transcript
Summary
Together with Nick Baltas, we dive into trading signal direction and discuss if signal direction always trump signal strength in portfolio construction, based on CFM’s paper on Agnostic Risk Parity. Baltas also explains why allocating risk to where opportunity lies is prudent as well as why trend following is a powerful tool to achieve a broad risk allocation. Based on Baltas’ recent paper in the Financial Times, we also discuss equity momentum and why trend followers might be the “unwanted guests at the party”.
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Episode TimeStamps:
00:52 - What has been on our radar recently?
12:36 - Industry performance update - how is May so far?
15:45 - New Ultimate Guide out now...How to get your Free copy!
16:38 - Q1, Peter: Should signal direction always trump signal strength in portfolio construction?
27:39 - Q1.1 Peter: Is it reasonable to aim for broadly equal risk allocations across different asset classes?
35:19 - Q1.2 Peter: If you were an institutional investor with an ultra-long time horizon, a stomach for short-term volatility and a mandate to deliver the highest possible CAGR over the long-term, how much of your portfolio would you allocate to systematic trend-following?
39:22 - Q1.3 Peter: Do you agree with Anthony Todd's description of trend alpha coming in bursts?
46:54 - Discussing Nick's paper in the Financial Times
57:48 - What kind of party guest would a trend follower be?
59:09 - Thanks for...
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 and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:26.5 | Welcome and welcome back to this week's edition of the Systematic Investor series with Nick Bolters and I, Neil's Castleblaston, where each week we take the polls of the global |
| 0:30.5 | markets through the lens of a rules-based investor. Nick, it is wonderful to be back with you this week. |
| 0:36.7 | It's been a little while, I have to say. How have you been? |
| 0:39.6 | It's been some time. It's been some time. I'm doing very well, Neil's. Glad to be back. I've been |
| 0:43.3 | traveling quite much over the last few weeks, I would say. But now I'm back in the UK. |
| 0:48.5 | Good stuff. I know it's been a busy time for you. We've got a very solid lineup of some interesting topics, but also quite a few questions |
| 0:59.5 | from the same person, same listener. |
| 1:02.8 | So that's going to be exciting. |
| 1:05.6 | But, you know, as always, I'd love to, before we dive in, just ask you kind of what's been on your radar. |
| 1:12.5 | I was just going to say since we last spoke, but it could also be in the last few weeks, |
| 1:15.9 | whatever you find interesting at the moment to keep your eye on, but not the topics we're going to be talking about. |
| 1:23.8 | Yeah, so a couple of things that at least I'm quite focused on or I'm trying to monitor |
| 1:29.3 | and obviously looking into, I guess, the trend following space. |
| 1:33.3 | Certainly one part of the discussion is this kind of rally that Cocoa has had, and I know |
| 1:38.3 | that you have discussed that quite substantially is also on the news everywhere. |
| 1:42.3 | I know this big rally that has helped trend followers perform. I guess I'm going to share |
| 1:45.9 | more of an anecdote, and that is |
| 1:48.0 | the following in the sense that obviously |
| 1:49.8 | Cocoa has reverted a bit |
| 1:51.9 | a month to date and I think it's driving some of the |
... |
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