SI53: Why most successful Hedge Funds employ Systematic strategies

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 16 September 2019

⏱️ 71 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

In today’s episode, we discuss if it’s possible to successfully blur the lines between Discretionary & Systematic Trading, why most of the largest Hedge Funds in the world are Systematic, results of the rolling 10-year returns of Trend Following versus the S&P 500, how diversification can prevent long drawdown periods, why forming an opinion on your stock position can negatively affect how you manage the trade, and we also explain some of the differences between Cash Contracts and Continuous Contracts. Questions answered this week include: Should you beware of high win percentages? Are large drawdowns a normal part of Trend Following? What are the largest up or down moves we’ve ever experienced?

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Episode TimeStamps:

00:00 – Intro

01:05 – Macro recap from Niels

05:50 – Weekly review of performance

14:55 – Live event update 10/26/19-10/27/19

15:20 – Top tweets

45:40 – Question 1: Sam; What are the biggest performance moves (up/down) in your career?

54:40 – Question 2: Sam; Why do some trade long-only (versus long-short)?

57:45- Questions 3/4: Bruno; What do you think about using cash versus futures to calculate trends/create systems? Is there a way to value a commodity?

01:04:40 – Benchmark performance update

01:05:50 – Final thoughts

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Transcript

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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.
0:15.1	Welcome to the Systematic Investor podcast series.
0:19.7	Jerry Parker, Moritz Siebert, and I, N Castro-Larsner, back with this week's edition
0:23.7	of the Systematic Investor series, where each week we give you a raw and honest account
0:28.7	of what is like to be a rules-based investor, what news and articles caught our attention,
0:33.0	and of course, where we also attempt to answer your questions.
0:37.0	Now, if you're tuning in for the first time, welcome.
0:39.4	We love that you're here and we'll do our best to make it worth your while and hopefully
0:45.0	entertain you along the way.
0:47.7	As usual, let me start by saying good morning to you, Jerry and good afternoon to you, Mards.
0:52.2	Good morning, Jerry. Good afternoon, Nealz.
0:53.6	Same. How are you? How are you guys?
0:55.9	Same. Great.
0:57.6	Yes, we're still alive. Tough week, but we're still here.
1:03.0	So, speaking of tough week, let me just sort of talk a little bit about what caught my eye.
1:10.2	And, of course, no doubt it's the global sell-off
1:14.0	in fixed income markets that really intensified this week causing for sure significant give
1:21.4	back of this year's earlier profits for for trend following strategies certainly also on our side, we'll come to that.
1:29.6	You know, so I was kind of just looking up on one market just to get a reference point.
1:35.6	And I noticed that, you know, the drop in yields we saw in Bun futures from the beginning of
1:42.4	August, and now we're back to exactly the same levels
1:46.0	now where we are in sort of mid-September so it kind of correlates pretty well with what's happened
	...

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