SI68: The surprising relationship between volatility and risk
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 29 December 2019
⏱️ 83 minutes
🧾️ Download transcript
Summary
In this week’s episode, we discuss the notion of correlation between volatility and risk, why it can be a bad idea to equate a manager’s performance with their skill-level, when a losing trade should still be considered a good trade, how much opportunity is in Low-Volatility Targeting strategies, and we also give our end-of-year reviews. Questions answered this week include: Is Trend Following another form of price prediction? Do you follow the weekly Commitments of Traders report? Can you can you make money in the markets without the need for predictions?
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Episode TimeStamps:
00:00 – Intro
00:55 – Macro recap from Niels
03:10 – Weekly review of performance
18:41 – Top tweets
43:29 – Question 1: Woody; Is Trend Following another form of predicting price moves?
01:00:18 – Question 2 William; Do you follow the weekly COT (Commitments of Traders) report?
01:05:02 – Benchmark performance update
01:08:52 – End of year recap
01:19:32 – Top tweets (cont.)
01:20:59 – Thank you to our listeners in 2019
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Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Seabert, and Nealz Kostrup Larson on their |
| 0:06.3 | raw and honest journey into the world of systematic investing and learn about the most dependable |
| 0:11.6 | and consistent yet often overlooked investment strategy. Welcome to the Systematic Investor |
| 0:16.8 | podcast series. Welcome to the last edition of 2019 of the Systematic Investor Series with Jerry Parker, |
| 0:25.7 | or at Cepard and I, Niels Kastrolassen, where we, in addition to our usual topics, |
| 0:30.8 | we'll discuss some of the highlights of the last 12 months and how we view the current |
| 0:36.6 | state of trend following, perhaps perhaps but before we get into all |
| 0:40.7 | of this let me start by saying good morning to you jerry and good afternoon to marts how are you doing |
| 0:46.6 | hello gents how are you doing well glad to be on the last podcast of the year and look forward to the |
| 0:53.3 | 2020 yes yeah absolutely it's going to be |
| 0:56.9 | exciting no doubt and of course this was a bit of a quiet week from a market perspective |
| 1:03.2 | during this holiday season i think it's kind of the only time of the year where there's one day |
| 1:10.3 | where none of the markets are are open so it's kind of the only time of the year where there's one day where none of the markets are open. |
| 1:14.0 | So it's not much of a market review that I have to offer this week. |
| 1:20.0 | Of course, last week we did talk about this article from Cliff Asnes about how kind of illiquid investments |
| 1:28.7 | where you don't have to mark to market, |
| 1:31.9 | so they also have artificially low volatility, |
| 1:35.6 | and I think we all think about private equity as a good example of that, |
| 1:39.4 | how these types of investments perhaps are easier for investors to stick with compared to what we do in the |
| 1:47.0 | trend following world but then at the same time this week I did notice there was a report out |
| 1:54.6 | from Morningstar who came with the conclusion that higher volatility brings higher returns. |
| 2:05.3 | And of course, for us in the trend-folling world, that is no surprise. |
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