SI48: The state of the Bond market and do Institutions affect CTA performance
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 10 August 2019
⏱️ 73 minutes
🧾️ Download transcript
Summary
This week, we discuss the current state of the Bond market, how the larger, commercial institutions affect overall CTA Trend Following performance, how to deal with the fluctuations in currencies when performing backtests, and we also give our thoughts on various Trading exit strategies. Questions answered this week include: does the majority of CTAs get out of their equity positions when the S&P500 falls below its 200-day moving average? Should you avoid trading markets that perform badly in backtests? Can a system that is working too perfectly be a bad sign? What are the implications for trading every market in the same way? What is the benchmark Sharpe Ratio for Trend Following strategies? Is there a limit to portfolio diversification?
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Episode TimeStamps:
00:00 – Intro
01:45 – Macro recap from Niels
03:25 – Weekly review of performance
12:20 – Top tweets
34:40 – Question 1, Sam: What is the benchmark TF Sharpe ratio?
43:00 – Question 2, Sam: Can there be too much diversification?
53:15 – Question 3, Walter: Please discuss how you deal with foreign currency denominated futures.
58:10 – Question 4, Walter: Since most stocks don’t beat the index or T-bills, shouldn’t shorting be easy (versus the conventional wisdom shorting is hard)?
01:03:00 – Questions 5 & 6, Jeff: What are the risks of using larger (vs smaller) ATR multiples for exits? What kind of exits does DUNN use?
01:08:40 – Benchmark performance update
01:09:40 – Live event update 10/26/19-10/27/19
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Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Jerry Parker, Moritz Seabird, and Nealz Kostrup Larson on their raw and honest |
| 0:07.1 | journey into the world of systematic investing and learn about the most dependable and consistent |
| 0:12.1 | yet often overlooked investment strategy. Welcome to the Systematic Investor podcast series. |
| 0:19.5 | Welcome to this week's edition of the systematic investor series with Jerry Parker, |
| 0:23.9 | Moritz Siebert, and I, Neils Karz Larsen, where we share our knowledge and sometimes painful |
| 0:29.2 | experience, not just with the tech we use, of what it's like to be a rules-based investor, |
| 0:35.3 | and where we end up with some Q&A-based questions and answers as we are |
| 0:41.5 | trying to make this a listener-driven show. |
| 0:45.0 | So if it's the first time you're tuning in, welcome. |
| 0:47.9 | It's great to have you here and we look forward to our journey together. |
| 0:52.8 | As usual, let me start by saying good morning to you, Jerry, and good afternoon to Moritz. |
| 0:57.9 | Good morning. |
| 0:58.6 | Hello, Neil. |
| 0:59.0 | Hello, Jerry. |
| 0:59.6 | Great to be back. |
| 1:00.7 | Yes, yes. |
| 1:01.5 | We're overcoming the tech challenges slowly, but surely. |
| 1:04.9 | So great to have you here. |
| 1:07.3 | Let me quickly just remind for people who may have missed last week's episode, |
| 1:13.6 | we now have the ability for you to leave a voicemail to us. If you go to TopTradersonplog.com |
| 1:20.8 | forward slash voicemail, you should be able to very simply leave a voicemail and if it's nice, then we'll try and bring it on air and |
| 1:33.1 | yeah, get some more interaction from you listening to our conversation each week. |
... |
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