4.8 • 670 Ratings
🗓️ 9 June 2019
⏱️ 72 minutes
🧾️ Download transcript
Can the VIX index be traded as part of a successful Trend Following strategy? Do CTAs have the edge over traditional Hedge Funds by being invested in the less popular markets? Should some parameters be adjusted according to the market being traded, and can you expect returns from Long Positions & Short Positions to be equal? We also give our thoughts on MorningStar’s recent ‘Bubble Index’ experiment, as well as Real Vision’s recent interview on the subject of ‘selling volatility’.
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Episode TimeStamps:
00:00 – Intro
02:55 – Weekly review of performance
11:50 – Live event update 10/26/19-10/27/19
13:00 – Top tweets
45:00 – Discussion of Goldman Sachs paper on TF
52:20 – Discussion of Morningstar “bubble” portfolio article
56:10 – Discussion of Real Vision video on volatility
57:00 – Discussion of FT article on South Korea
01:00:00 – Question 1:...
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0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Neil's Kastrup Larson on their |
0:06.2 | raw and honest journey into the world of systematic investing and learn about the most dependable |
0:11.6 | and consistent yet often overlooked investment strategy. Welcome to the Systematic Investor |
0:16.8 | podcast series. Jerry Parker, Morritz Sebert and Iils Castro-Larsen, are back with this week's edition |
0:24.3 | of the Systematic Investor Series, where each week we give you a role and very honest account |
0:30.9 | of what it's like to be a rules-based investor. |
0:33.8 | What news and articles caught our attention, and of course course where we also attempt to answer your questions. |
0:40.3 | First thing though, good morning Jerry. Good afternoon to you. Moritz, how are you guys doing today? |
0:45.3 | Hi, Neil's. Hi, Jerry. I'm doing well. |
0:48.3 | Good, good, good. Sounds like there's a bit of a cold going on in Munich today. |
0:53.3 | Yeah, that's me. |
0:54.8 | That's you. |
0:57.3 | Okay, cool. |
1:05.6 | Now, you know, kind of interesting week, a bit of a turnaround in the fortunes of equities, a pretty decent move up, I thought, looking through the usual markets, obviously a weak dollar. |
1:16.5 | But then the weak dollar helped, I guess, the energies advanced this week. |
1:23.9 | Gold made a new 52-week high, as far as I'm aware. |
1:31.1 | And interestingly enough despite this optimism inequities |
1:34.9 | the VIX actually recovered toward the end of the week |
1:39.2 | I think it finished around 16 so that was interesting to me |
1:42.6 | and of course our favorite sector at the moment, the interest rates, |
1:49.2 | had another week of strong showing in terms of price, |
1:54.1 | very low yield at the end of the week, inverted versus the three months. |
... |
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