SI68: The surprising relationship between volatility and risk

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 29 December 2019

⏱️ 83 minutes

🔗️ Recording | iTunes | RSS

🧾️ 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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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.

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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