SI64: The difference between Warehousing vs Recognising Risk
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 2 December 2019
⏱️ 76 minutes
🧾️ Download transcript
Summary
This week, we discuss the differences between recognising risk and ‘warehousing’ risk, why Fundamental Investors could benefit from implementing Trend Following rules, Diversification as the most important component of risk management, what Traders can learn from Weightlifters, and the delicate balancing act between simple, simplicity, & complexity. Questions we answer this week include: Is Systematic Investing a form of betting? How do you define a Trend? Should you scale into positions?
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Episode TimeStamps:
00:00 – Intro
01:11 – Origins of Black Friday
02:43 – Weekly review of performance
11:45 – Top tweets
40:52 – Questions 1/2: Michael; Can the number of trades a system signals, give insight as to how well optimized the system is? Is there a guideline for the number of trades a system should be signalling, for each chosen timeframe (such as Daily/Weekly)?
45:34 – Question 3: Richard; Comment- ‘No deterioration in the overall compound growth-rate of long-term Diversified Systematic Funds, post-2000.’
46:53 – Questions 4/5: Bing; Why don’t we risk more per trade? Is trader psychology the main reason for the importance placed on position sizing?
53:21 – Question 6: Jacob; Can you give examples of strategies that ‘warehouse’ risk?
56:41 – Question 7: Nathan; How do we define the parameters of a Trend?
01:01:37 – Question 8: Chad; Do you scale into a position, or go straight to the chosen max risk of equity per security?
01:05:51 – Questions 9/10: Chris; What should I do with surplus cash once my system reaches its maximum number of positions allowed to be traded simultaneously? Has the average margin requirements for Bitcoin changed?
01:11:00 – Benchmark performance update
01:24:44 – Final thoughts; Is it becoming harder to be a discretionary macro trader?
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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 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
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| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kostrup 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. |
| 0:15.0 | Welcome to the Systematic Investor podcast series. |
| 0:18.0 | Jerry Parker and I, Niels Kastrop Larsonner, back with this week's edition of the Systematic |
| 0:24.0 | Investor Series, where each week we give you a raw and honest account of what it's like |
| 0:28.7 | to be a rules-based investor, what news and articles caught our attention, and of course |
| 0:33.5 | where we attempt to answer all of your questions. |
| 0:37.8 | Moritz is out this week, so it's just you and me, Jerry. |
| 0:41.8 | How are you doing? |
| 0:42.8 | Great. Good afternoon. How are you? |
| 0:45.3 | Yeah, no, I think I'm doing fine. |
| 0:47.1 | I think we're both struggling a little bit with the cold, |
| 0:49.1 | so bear with us today if you hear us sniffling |
| 0:52.4 | or if you don't feel that there's the same level of energy |
| 0:55.0 | in our voices but we'll do our our best and by the way if you're tuning in for the first time |
| 1:00.6 | welcome we love that you are here and we'll do our very best to inform and perhaps even |
| 1:05.5 | entertain you about systematic investing during the next hour or so now Now, apparently there was a Black Friday back in 1869 |
| 1:16.6 | where gold and stock markets collapsed after being driven to record highs |
| 1:21.6 | by speculators trying to corner the gold market. |
| 1:24.6 | And then of course we had Black Tuesday and Black Thursday back in 1929, which I think a lot |
| 1:30.9 | of people will be familiar with. |
| 1:33.8 | Of course, the Black Monday in 1987 is probably still clear in some of our listeners' mind |
| 1:41.2 | where we had a 22.6% drop in the Dow Jones in one day. I think the biggest |
... |
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