SI55: Aligning your investments with the best odds and why the Sharpe needs salt

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 29 September 2019

⏱️ 74 minutes

🔗️ Recording | iTunes | RSS

🧾️ 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...

Transcript

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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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