SI62: The benefits of running a multi-strategy portfolio

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 17 November 2019

⏱️ 76 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

In this week’s edition, we discuss the possible benefits of running a multi-strategy portfolio, whether or not you need to have a ‘feel’ for the markets before constructing a model, the new all-time highs on the Dow, Trend Following as a viable solution to the end of the 60/40 portfolio, and the longer-term drawbacks of chasing performance from different fund managers. Questions we cover this week include: What really went wrong with LTCM? Should Trend Followers also employ Buy & Hold strategies? Is it ok to ‘leave money on the table’? How would you go about getting into the CTA industry?

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Episode TimeStamps:

00:00 – Intro

01:05 – Events review

04:00 – Weekly review of performance

17:10 – Top tweets

51:50 – Question 1: Carl; Is the stop price impacted by the cost of execution?

55:30 – Question 2: Saleh; Can you design a system that works in both trending markets and range bound markets?

01:01:55 – Question 3: Edrico; When adding new markets, do you consider correlations to existing markets in a system?

01:04:10 – Question 4: Glen; How would you break into the CTA industry?

01:13:35 – Benchmark performance update

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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

Transcript

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0:00.0	You're about to join Jerry Parker, Maritz Seabert, and Nealz Kostrup Larson on their raw and honest
0:07.3	journey into the world of systematic investing and learn about the most dependable and consistent
0:12.3	yet often overlooked investment strategy. Welcome to the Systematic Investor podcast series.
0:19.6	Welcome to this week's edition of the systematic investor series with Jerry Parker,
0:24.0	Mort Siebert, and I, Neil's Castleblassen, where we do our best to bring you into the world
0:28.0	of rules-based investing by sharing our observations and hard-learned lessons over the last
0:33.6	few decades, hoping that you can avoid making some of the mistakes that we did. As usual,
0:40.4	let me start by saying good morning to you, Jerry, and good afternoon to you, Moritz. How are you doing?
0:45.4	Yes, very nice to be in Florida. I guess the rest, a lot of the rest of the country is getting
0:50.4	a lot of cold weather, so nice to be here. Good morning. Yeah, absolutely.
0:55.1	Great, and good morning to you both. I'd like to be where you guys are right now in sunny Florida.
1:00.9	A bit of a gray weather here, but, well, good morning to you.
1:03.5	Good morning, good morning.
1:04.8	So I guess, you know, another good week, we can certainly say for equities, making new all-time highs, as you, Jerry
1:15.0	just told us, breezing through 28,000 on the Dow. But I guess this week, maybe a little bit
1:21.0	different from the last few weeks. It was supported also by some kind of lift in fixed income markets again.
1:29.6	And also I noticed that the VIX finished at very low level.
1:35.1	I think the lowest close in 2019.
1:37.6	So of course if we look at that, it suggests that everything is fine, calm,
1:42.3	tranquility in the financial markets.
1:45.0	Not so sure when I look at the headlines coming out of Hong Kong at the moment.
1:50.0	Also notice that the unrest there is taking a toll on their GDP down by 3% year over year.
	...

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