VOL02: Past, Present, & Future Volatility ft. Noel Smith
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 2 November 2021
⏱️ 74 minutes
🧾️ Download transcript
Summary
Today Jason Buck is joined by Noel Smith in the second of our series on Volatility. Topics discussed include: the benefits of ensemble investing, the predictability of market volatility, how certain market environments fool investors into thinking they are better than they really are, allocating between different strategies during different market environments, why nothing beats having ‘skin in the game’, balancing judgement calls versus algorithmic calls, pairs-trading VIX & bonds, determining when an asset is cheap or overpriced, and some thoughts on what might happen if markets enter a ‘stagflationary’ environment.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
In this episode, we discuss:
- Ensemble investing and its benefits
- Whether market volatility can be predicted ahead of time
- The ways in which the markets can catch investors off-guard
- ‘Dialling’ into and out of strategies
- How Noel’s experience in prop trading and pit trading has helped him today
- Finding the balance between judgement calls and algorithmic signals
- Noel’s VIX and bonds pairs trade
- Assessing the current real value of an asset
- How to approach investing during a ‘stagflationary’ environment
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Jason on Twitter.
Follow Noel on Twitter, LinkedIn, and via his website.
-----
Episode TimeStamps:
00:00 - Intro
02:06 - Why should somebody add volatility strategies into their portfolio?
03:20 - Do you think that volatility is quite predictable around benign market periods?
04:12 - How do you apply your prop trading background to volatility strategies in general?
05:13 - Did the days of pit trading leaving a big impression on you?
06:28 - Why use ensembles?
07:33 - How do you allocate between strategies during different macro environments?
09:37 - How do you balance judgement calls versus algorithmic calls?
11:38 - How do you think about the timing of adding and removing volatility protection?
15:01 - Where did you come with the idea to pairs trade VIX and bonds?
19:28 - Is there a volatility risk premium?
21:14 - Tell us a little more about your ‘vol-arb’ strategy?
26:28 - How are you determining if something is cheap or overpriced?
27:53 - Do you put more weight on liquidity flow data as opposed to other fundamental data?
30:32 - Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?
34:30 - Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?
39:33 - How do you think about past, present and future volatility?
41:46 - How do you approach correlations across different timeframes?
43:24 - Dispersion trades seem to go in and out of fashion, do you feel that your strategies run dispersion trades when they’re popular only?
46:38 - Do you dial into and out of strategies rather than switching allocations?
48:11 - Tell us more about the ‘bond vol-arb’ strategy
51:01 - Tell us more about the ‘macro-bats’ strategy
57:42 - What do you think will happen if markets enter a stagflationary environment?
01:03:39 - How would you combine your ensemble investments into a wider portfolio?
Copyright © 2025 – CMC AG – All Rights Reserved
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
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
Click on a timestamp to play from that location
| 0:00.0 | If you look at diversification, how it's pumped out to you in the media, you know, |
| 0:12.0 | it's something like a 60-40 bond stock portfolio, maybe some real estate, maybe some hedge funds, |
| 0:17.9 | maybe some venture capital, whatever else. |
| 0:21.9 | I would argue that a lot of that stuff is positively correlated, especially in a crash, or has a higher correlation that what |
| 0:28.0 | you might be led to believe. So the reason that I do what I do is because it is non-correlated |
| 0:34.7 | to each other or low correlation and also to the marketplace. |
| 0:39.3 | So these things really have nothing to do with each other. |
| 0:41.8 | So it is a way for me to selfishly smooth out my P&L and to make more money in any given time. |
| 0:50.9 | For me, the best part of my podcasting journey has been the opportunity to speak to a huge range of extraordinary investors from around the world. |
| 0:59.8 | In this series, I have invited one of them, namely Jason Buck, to host a sequence of in-depth conversations on the topic of volatility. |
| 1:08.5 | In today's world, the concept of volatility has moved to the top of the |
| 1:12.0 | agenda of many investors as they try to analyze and understand the riskiness of their portfolios. |
| 1:18.9 | With ever increasing uncertainty around the globe, knowing if you are essentially long or short |
| 1:23.7 | volatility in your portfolio can mean the difference between ruin or survival |
| 1:28.4 | when the next crisis emerge. |
| 1:31.0 | The aim of these conversations is to try and understand |
| 1:33.9 | the experiences that have influenced |
| 1:35.9 | these highly specialized investors |
| 1:37.6 | and the processes they follow to harness their returns |
| 1:41.4 | in order to make all of us better informed investors. |
| 1:45.0 | And with that, please welcome Jason Buck. |
| 1:51.0 | Thank you, Neals, for the introduction. |
... |
Please login to see the full transcript.
Disclaimer: The podcast and artwork embedded on this page are from Niels Kaastrup-Larsen, and are the property of its owner and not affiliated with or endorsed by Tapesearch.
Generated transcripts are the property of Niels Kaastrup-Larsen and are distributed freely under the Fair Use doctrine. Transcripts generated by Tapesearch are not guaranteed to be accurate.
Copyright © Tapesearch 2026.