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Top Traders Unplugged

SI43: Cliff Asness on the difficulty on sticking to a strategy through volatile periods

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8670 Ratings

🗓️ 8 July 2019

⏱️ 61 minutes

🧾️ Download transcript

Summary

In this episode, we discuss the recent article from AQR Capital’s Cliff Asness on the difficulty of sticking to a strategy through volatile periods, why we may never know if a particular system is broken, the differences between different Trading timeframes, and we give an update on the upcoming live event in New York in October.  We also answer some questions such as:  Is there a ‘Holy Grail’ of Stop Losses?  What is a good way to backtest a Trading system?  Is there a point where too much Diversification begins to negatively affect the return profile in a portfolio?  What are the possible causes that would move a person to Trade a longer timeframe?

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Episode TimeStamps:

00:00 – Intro/Macro recap from Niels

02:45 – Weekly review of performance

11:30 – Top tweets

20:30 – Question 1: James; Where can one find more information on stop losses/risk mgmt?

28:00 – Question 2: Brian; What software do you recommend for backtesting?

31:50 – Question 3: Paul; Discussion of the multiple facets of diversification

38:00 – Question 4: James; Can there be too much diversification?

51:15 – Question 5: Sam; What made Jerry decide to shift to longer-term trading?

55:20 – Benchmark performance update

56:30 – Live event update

Other resources discussed:

AQR Paper Reference: Quant Cassandra

Article Reference: Wes Gray-

Transcript

Click on a timestamp to play from that location

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.

0:14.9

Welcome to the Systematic Investor podcast series.

0:19.4

Jerry Parker, Moritz Siebert, and I, Nealz Kastrop Larson are back with this week's edition of the Systematic Investor series. Jerry Parker, Moritz Siebert and I, Neils Karz Blasner, back with this week's edition of

0:23.8

the Systematic Investor series where we share our experiences, the ups and the downs of what

0:29.7

it's like to be a rules-based investor and, of course, where we also attempt to answer all

0:35.0

of your questions.

0:36.4

Good morning, Jerry.

0:37.4

Good afternoon, Moritz. How are you guys doing this weekend? Great, your questions. Good morning, Jerry. Good afternoon, Mort. How are you guys doing this weekend?

0:41.0

Great, Niels. Good morning. Good afternoon, Jerry. Hello, guys.

0:43.5

Hey, a pretty hectic week, I thought, at least on the political front, we had the G2 or the G20, I guess it's called concluding last week after we recorded.

0:58.8

And of course, there was the usual good intentions.

1:02.2

And that seems to have lifted stocks this week.

1:07.7

On the European side, however, they struggled to agree on a new leadership team.

1:12.3

I think it took them like three days to find some new and surprising names.

1:17.4

I guess one of them most relevant to us was Christine Lagarde as new head of the ECB.

1:23.9

And of course, many of you listening today will know that she has been out saying in the past

1:28.7

that sub-zero interest rates in Europe and Japan are net positives for the global economy,

1:34.1

although she does warn that the side effects of unorthodox central bank policy should be

1:39.5

closely monitored. And what I found what interesting was that at the same time, we also saw that

1:46.2

the head of the Bank for International Settlements, a guy called Augustine Carstens, he took a very

1:53.7

different approach when they released their annual report. He said, we would stress that it is

1:59.5

important to present some room for maneuver

...

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