SI58: The consequences of Bank of America declaring the END of the 60/40 portfolio

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 19 October 2019

⏱️ 67 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

This week, we discuss Bank of America’s declaration of the end of the traditional 60/40 portfolio, the different attitudes to having ‘insurance’ in the markets, the reasons why too many fund managers are aiming for average returns, and the importance of consistently being present to profit from the biggest price moves. Questions we cover this week include: what can be considered a large enough sample size when performing a backtest? What is the best investing advice you have ever received? Should Trend Following funds screen potential clients? How do you deal with positions that show no price movement for a period of time?

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Episode TimeStamps:

00:00 – Intro

01:05 – Macro recap from Niels

04:10 – Weekly review of performance

07:00 - Top tweets

38:00 – Question 1: Jacob; How do you do actual executions (order types, manual, etc.)?

40:50 – Question 2: Jacob; When you get a fill, how do you set your stop?

42:40 – Question 3: Jacob; What happens if a stop is hit on the day of entry?

45:40 - Question 4: Mannik; What sample size is sufficient for a backtest?

49:30 – Questions 5/6: Craig; Should TF investors be screened for patience? What personality traits are best for TF and the required patience?

57:40- Questions 7/8: Dimitri; How do you handle positions that haven’t moved in a long time? Does the potential for a large move increase the longer a price goes sideways?

01:03:20 – Benchmark performance update

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.
0:19.6	Jerry Parker, Moritz Sieber and I, Niels Kasselasner, back with this week's edition of
0:23.9	the Systematic Investor Series, where we share our experiences, the ups and the downs of what
0:29.3	it's like to be a rules-based investor.
0:31.2	And of course, where we also take some of your questions.
0:36.1	Being stateside today, Jerry, so it's easy for me to say good morning to you and good afternoon to you Moritz. How are you guys doing?
0:42.3	Good morning to both of you. I'm doing great. How are you?
0:44.3	Welcome. Welcome to the US.
0:46.3	Yes, absolutely getting here a week ahead of our live event just to see a few sites with the family.
0:53.3	So we're very excited about that.
0:55.8	In fact, saw my first live basketball game last night at Madison Square Gardens.
1:00.1	That was quite a treat, for sure.
1:05.3	Now, jumping into kind of this week's review, having not been in front of a computer for most of the week.
1:13.6	I did not catch that many things happening except once you're here and you turn on the
1:19.6	television of course quite a few extraordinary news items and revelations mainly I I guess, within US politics.
1:29.7	But of course, today, later on, we have another Brexit vote happening,
1:35.6	which of course could set the tone for the coming week.
1:40.1	You never know.
1:42.0	But I guess it's not surprising that the markets, to a large extent, continued this correction mode,
1:49.4	which obviously possibly could turn into a bigger transition period, which started back in September.
1:58.3	Another thing, of course, to notice is that we've only got another two weeks with Mario Draghi at the helm at the ECB until he passes on the baton to Christine Lagarde.
	...

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