SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 715 Ratings
🗓️ 29 June 2024
⏱️ 68 minutes
🧾️ Download transcript
Summary
This week, Alan Dunne chats with Nick Baltas about CTAs' negative crisis beta and their hidden market timing skills. Nick and Alan tackle the question of how to build an effective trend-following program as part of a larger multi-asset portfolio, in relation to the markets traded and speed of system and tie in insights from a recent Quantica paper. They weigh the benefits of unconstrained trend-following programs versus those with capped equity beta. Plus, they discuss the ideal level of volatility for running an investment program and take a closer look at a Resolve Asset Management paper on the best ways to construct carry strategies.
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Episode TimeStamps:
01:23 - What has caught our attention recently?
03:00 - Industry performance update
05:32 - Reversions incoming?
07:06 - Q1: Regarding how to choose instruments in your trend following algorithm
14:20 - Getting the speed right
17:37 - Q2: At what point does volatility put an investor in a danger zone?
24:32 - Discussing the paper "Negative Crisis Beta" from Quantica
38:16 - Capping the beta
45:17 - The hidden market timing of CTAs
50:23 - The benefits of adding carry to your portfolio
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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 investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:29.6 | Welcome back to Top Twitter's Unploked, where each week we take the pulse of the markets from the perspective of a rules-based investor. |
| 0:34.8 | It's Alan Dunn here this week, sitting in for Neals while he's away traveling, this week and next week. |
| 0:38.2 | And today I'm joined by Nick Baltus. Nick, good to see you. How are you doing? |
| 0:45.7 | Good to see you, Alan. I'm doing very well. I guess last day of the quarter and last day of the first half of the year, at least business-wise. |
| 0:54.0 | So I'm doing well, I'm doing well trying to keep up with my sleep patterns. We know we recently had a son, so like the second child, the family. It keeps me busy. |
| 0:59.3 | Absolutely. Well, congratulations on your great news. And you're looking pretty fresh. |
| 1:02.9 | You know, obviously our listeners can't see you, but I can. You're not looking too bad for a man who's been grappling sleep deprivation. But all going well, is it? |
| 1:07.4 | Yeah, I mean, I think it's still this honeymoon phase in just two weeks now. I think |
| 1:11.2 | they're still kind of feeling there in the womb, so they kind of sleep more than they will. |
| 1:15.9 | At least that's the experience I have for my first time. So let's see how the summer will play out. |
| 1:19.7 | But for now, for now, so far so good, I would say. Quite excited. |
| 1:22.9 | Great. Well, exciting times and congrats again. So it's a few weeks since you've been last on, |
| 1:29.0 | a lot going on in markets, obviously. |
| 1:31.1 | Anything in particular that's been on your radar |
| 1:33.1 | or catching your attention the last while? |
| 1:35.6 | I mean, I would say on the market side, |
| 1:38.0 | the interesting move we saw recently |
| 1:39.8 | was this maybe temporary loss in the carry space, you know, primarily driven by the Mexican |
| 1:47.6 | peso unexpected move following those elections. You know, part of that has been kind of recovered so |
| 1:52.5 | far. But this was one of the kind of data points we spent some time on. I think beyond that, |
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