SI312: Should You Just Buy a CTA Index? ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 715 Ratings
🗓️ 7 September 2024
⏱️ 74 minutes
🧾️ Download transcript
Summary
Rob Carver is back this week to discuss the importance of being able to detach yourself from the markets and taking “real” breaks from time to time and we also hear from Rob what it is like to let his systematic trading system run by itself whilst he enjoys a long summer holiday. We also discuss the underlying theory of macro momentum and how you can apply it to your own system, how he targets volatility in his portfolio and why Rob does not like using stop-losses to exit trades. We also touch on whether it’s a good idea for Trump to create a U.S. Bitcoin strategic reserve, how ETFs really work and what they can bring to your portfolio, and whether or not buying one of the new CTA replication products is really the same as buying the underlying CTA index based on a recent paper from Transtrend.
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Episode TimeStamps:
01:18 - What has caught our attention recently?
02:59 - How it feels to let your system run without you during holidays?
10:45 - Industry performance update
14:30 - Q1, Luis: What are your thoughts on Macro Momentum for retail traders?
21:00 - Q2, Roman: How to best target portfolio volatility
24:24 - Q3, Joshua: Which risk manament approach is best ATRs vs actual % of capital
31:22 - Would a Bitcoin strategic reserve be a good idea?
39:05 - A deep dive into ETFs
48:52 - An example of a worst case scenario ETF
53:13 - Can't we just buy a CTA index?
59:29 - The best way to think about indices
01:07:41 - Turning a backtest into an index
Resources discussed in this Episode:
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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 |
| 0:07.6 | of systematic investing and learn about the most dependable and consistent yet often overlooked |
| 0:13.0 | investment strategy. |
| 0:15.0 | Welcome to the Systematic Investor Series. |
| 0:28.1 | Welcome and welcome back to this week's edition of the Systematic Investor Series with Rob Carver and I, Neil's Castor Larsen, where each week we take the polls of the global |
| 0:31.8 | market through the lens of a roles-based investor. Rob, great to be back with you this week. |
| 0:36.9 | How are you doing? How was your summer? |
| 0:39.8 | Yeah, it was really good. I took one of these long European holidays that Americans are so jealous of. |
| 0:44.7 | So I've been kind of off, mostly off since mid-July, but with, you know, doing odd days since. |
| 0:51.0 | I had done some traveling, had some sunshine, had some rain, a bit of everything really. |
| 0:55.2 | So yeah, a very pleasant break. And I think you know when you've had a good break when you're |
| 0:58.7 | really struggling to motivate yourself to do anything when you get back. So that's where I'm in |
| 1:04.3 | the moment. Yeah. Although I will say I think most of Europeans would also be envious of your long |
| 1:08.8 | holidays because I'm not sure we all get that kind of |
| 1:12.2 | my my location is European plus I guess you could call it yeah combine it yeah fine exactly okay good |
| 1:19.3 | well you know we've got quite a few questions that came in while you were away we've got |
| 1:26.0 | kind of a variety of topics we want to discuss today, |
| 1:30.1 | which are maybe not the usual ones. |
| 1:32.6 | And then also, as we always like to do, |
| 1:35.4 | is to talk a little bit about what's kind of been on your radar, |
| 1:38.7 | what's caught your attention outside what we're talking about today. |
| 1:42.6 | Yeah, and I normally say since we last spoke, but it's been so long, so I'm sure it's |
... |
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