SI319: The Surprising Factors Behind CTA Performance: Is Less More? ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 25 October 2024
⏱️ 82 minutes
🧾️ Download transcript
Summary
Today, we delve into the nuances of systematic investing with Rob Carver, focusing on the concept of replication in trend-following strategies. The discussion contrasts different approaches to replication, highlighting the potential pitfalls of return-based methods that attempt to mimic established indices. We emphasize that simply increasing the number of markets in a portfolio may not lead to better diversification, as it could ultimately expose investors to similar risk factors. We also explore the implications of a recent paper from Newfound Research, which uses random data to challenge traditional views on replication effectiveness. With insights on factors influencing CTA performance and the importance of understanding true diversification, this conversation offers valuable perspectives for both investors and practitioners in the systematic trading space.
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Episode TimeStamps:
00:57 - What has caught our attention recently?
05:55 - Should trend followers lower their horizon?
09:26 - The AI CTA's are being tracked
10:37 - An economic Kayfabe
13:58 - Are interest rates approaching a Minsky moment?
18:44 - Industry performance update
20:33 - Q1, CryptoCaptainX3: How do you manage intraday adverse price movement risk while running a daily system?
25:43 - Q1.1 CryptoCaptainX3: How to manage overnight gap risk for futures instruments which trade only 6 hours a day?
26:13 - Q1.2...
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. |
| 0:26.9 | Welcome or welcome back to this week's edition of the Systematic Investor series will Rob Carver and I, Niels Castlelassen, where each week we take the pulse of the global |
| 0:30.8 | market through the lens of a rules-based investor. |
| 0:34.0 | Rob, it is wonderful to have you back on this autumn Thursday. |
| 0:38.7 | Hope you're doing well. |
| 0:39.5 | How are things in the UK? |
| 0:41.6 | The sun is shining. |
| 0:42.6 | It's quite warm, quite pleasant. |
| 0:45.1 | So, yeah, it's a very nice autumn day here. |
| 0:48.7 | And it just seems like a long time since we've spoken, |
| 0:52.0 | although it's probably not been that long. |
| 0:53.7 | I'm looking forward to getting through some questions and interesting topics today. |
| 0:57.4 | Yeah, pretty full agenda, I have to say. |
| 0:59.6 | Before we get into all of that, and there are quite a few questions, and we've got a couple of |
| 1:03.8 | really important topics, as usual, it's always good to start with just sort of what's been |
| 1:08.3 | on our minds, recently, what's been our radar, what |
| 1:11.9 | are the kind of things that caught our attention. |
| 1:15.9 | So I'm going to let you go first with something that you found interesting in, interested. |
| 1:22.4 | Yeah, yeah. |
| 1:23.1 | So I don't know if you remember, I've got a couple of pet hates actually. |
| 1:27.8 | So one of my pet hates is people blaming CTAs for everything. |
... |
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