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104 The Systematic Investor Series ft Roberto Osorio – September 7th, 2020

Today, we’re delighted to welcome Roberto Osorio, Vice President, Trading Systems at DUNN Capital, onto the show. Niels pitches Roberto some of our most fiercely debated topics so far, such as the optimal amount of markets to trade, diversification in all of its forms, the pros & cons of Volatility Targeting, how to accurately recognise model decay, Black Swan strategies and why they maintain popularity regardless of performance, the best look-back period for Trend Following strategies, and if today’s speed of information flow has led to stock market crashes & fast recoveries being the new normal.

Check out previous episodes with Niels & Roberto (featuring Alex Greyserman & Katy Kaminski) here, and here.

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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And you can get a free copy of my latest book "The Many Flavors of Trend Following" here.

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Episode Summary

0:00 - Intro
3:07 - Macro recap from Niels
8:49 - Weekly review of returns
9:26 - Interview with Roberto Osorio
12:03 - Niels: Can you help settle the debate of how many markets are optimal to trade?
19:00 - Niels: What are your thoughts on Volatility-targeting?
30:41 - Niels: How do you recognise model decay?
36:23 - Niels: What do you think is the best look-back period for Trend Following models?
44:40 - Niels: What is your view on the most effective ‘type’ of Trend Following model?
50:43 - Niels: What makes DUNN Capital so unique?
55:52 - Performance recap

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