SI55: Aligning your investments with the best odds and why the Sharpe needs salt
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 29 September 2019
⏱️ 74 minutes
🧾️ Download transcript
Summary
In this week’s episode, we discuss why Sharpe Ratios should be taken with a pinch of salt, the benefits of using a Trading Coach, why consistently aligning with the best odds may be a better strategy than trying to predict future price moves, DUNN Capital’s recent award from HedgeWeek magazine, why ‘the standout hedge fund traders this year have been computer-driven Trend-Followers’, and why Risk Management is more important than strategy or philosophy. Questions answered this week include: Why are commodities seen as more risky than equities? Can you use Options in a Trend Following strategy? Should you keep your stop-loss proportionately the same across different time-frames? Are there any markets to be avoided by new managers?
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Episode TimeStamps:
00:00 – Intro
01:05 – Reading of various podcast reviews
03:00 – Macro recap from Niels
06:20 – Weekly review of performance
10:15 – Discussion of Mercer Trend Following paper
18:15 – Live event update 10/26/19-10/27/19; Special Guest: Denise Shull
20:35 – Top tweets
36:10 – Questions 1/2/3: Eric; Do you hedge with OTM options? Can you use options to trade trends? Will HFT algos negatively impact TF systems?
41:40 – Question 4: Sam; Should stop distance (ATR multiple) adjust with the trend speed?
47:50 – Question 5: Noobe; Are there any contracts a new manager should avoid?
54:20 – Question 6: Clay; With minimal trading activity, what do TF do all day?
01:00:50 – Question 7: Giangitano; Should you have real stop orders in the market (vs stop alerts)?
01:09:20 – Benchmark performance update
01:10:15 – Closing thoughts
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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kostrup Larson on their raw and |
| 0:06.9 | honest journey into the world of systematic investing and learn about the most dependable and |
| 0:11.8 | consistent 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 and me, |
| 0:23.9 | Niels Kostlerlarsen, where we share our knowledge and sometimes painful experiences of what |
| 0:28.6 | it's like to be a rules-based investor and where we end with some Q&A-based questions as we |
| 0:36.7 | wanted to be a listener-driven show. |
| 0:39.6 | Moritz is out this week, so good morning, Jerry. |
| 0:42.4 | How are you doing? |
| 0:43.2 | Doing well. |
| 0:44.0 | How are you doing, Niels? |
| 0:45.2 | Yes, doing great here on this side of the pond as well. |
| 0:48.8 | And if you're tuning in for the first time, welcome. |
| 0:51.7 | We love that you are here, and we'll certainly do our best to inform |
| 0:55.0 | and perhaps even entertain you about systematic investing during the next hour or so. Now, before we |
| 1:02.7 | start, I want to give a big shout out to Clark, JR6, nickname 2 and AP Mori, who all jumped into |
| 1:09.6 | the US iTunes store this week and left some very nice rating and reviews. |
| 1:13.6 | We highly appreciate this and of course also a big shout out to everyone who took the time to do so in their local iTunes store. |
| 1:23.6 | And allow me just to share these reviews with you because I think they may be useful for listeners |
| 1:28.9 | who are new to the show. |
| 1:31.2 | So the first one came from Clark, JR6, who wrote, |
| 1:34.7 | Of all the market-related podcasts out there, TTIU stands out, |
... |
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