SI30: Should you adjust your position size based on recent volatility?
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 7 April 2019
⏱️ 94 minutes
🧾️ Download transcript
Summary
Is it wise to adjust position-size according to recent volatility? Can back-testing a Trend Following strategy end up as just being a form of curve-fitting? We discuss the merits of Long-Term evidence over Recency Bias, the importance of Sharpe Ratios, the significance of price gaps, and whether leverage is a necessity for all CTAs. You will hear our thoughts on the idea of risking 1% per trade and how diversification affects this, the pros and cons of a crowded Trend Following market, and we touch on the topic of whether or not a trade can be held for too long.
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Episode TimeStamps:
00:00 – Intro
01:45 – Review of last week’s episode with Jesse Felder
06:45 – Weekly review of performance
11:00 – Top tweets
32:20 – Question 1: John; Are you always fully invested?
41:00 – Question 2: John; Across all trades, how much total risk is there in a TF system?
46:30 – Questions 3/4/5/6: Woody; What are the pros and cons of using managed futures in ETFs vs mutual funds vs other vehicles? Will liquid alts suffer from a big bank crisis? Do you need leverage and concentrated positions to get the benefits of managed futures? Is there a disadvantage of using ‘blue chip’ managed futures mutual funds?
01:07:30 – Question 7: Brian; Why do investors use Sharpe ratios?
01:15:50 – Question 8: Sam; What are your thoughts on price gaps?
01:19:30 – Questions 9/10: Andrew; Do you use Trend Following signals to manage your cash positions? How does DUNN use swaps in relation to fees?
01:26:50 – Question 11: Sam; Is...
Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kastrup Larson on their raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:15.1 | Welcome to the Systematic Investor podcast series. |
| 0:19.5 | Jerry Parker, Mort Seber and I, Nealz Kastro Blaston, are back with this week's edition |
| 0:23.6 | of the Systematic Investor Series, where we share our experiences, the ups and the downs of |
| 0:29.5 | what it's like to be a rules-based investor, and of course, where we also take your questions. |
| 0:35.8 | So, good morning, Jerry. |
| 0:37.3 | Good afternoon, Mertz. How are you guys doing? |
| 0:39.3 | Good morning. Good afternoon. Doing great. Yes, doing great. I'm in Minneapolis, Minnesota today |
| 0:44.6 | for the college basketball Final 4 UVA. My team is here as well. So kind of chilly, but |
| 0:52.2 | nice to be here. |
| 0:54.7 | Fantastic. |
| 0:55.7 | Good stuff. |
| 1:03.1 | Perhaps also a little bit chilly on the geopolitical front this week compared to previous week. |
| 1:08.4 | Kind of familiar picture in the markets where Risk on is back on the agenda. |
| 1:13.6 | Stocks benefiting, energy benefiting bonds, maybe taking a bit of a breather. And of course our friends, the lean hawks. That story continues with another 12% rise this week, |
| 1:20.8 | which we now know is due to an African swine fever, which apparently has emerged in China. |
| 1:27.8 | And just to put things in perspective, I read this morning that they're looking to call |
| 1:32.1 | 100 million hawks because of this, which is a pretty big number compared to the total inventory |
| 1:38.9 | in the US of 74 million. So pretty big, pretty big numbers. |
| 1:45.9 | I wonder before we jump into our usual format, whether we should dwell just a couple of minutes |
| 1:53.9 | on last week's conversation where, of course, we were joined by Jesse Felder, who very kindly took time out of his |
| 2:04.5 | weekend to join us. And I thought it was an interesting conversation. I mean, clearly |
... |
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