In partnership with:
CME Group

107 The Systematic Investor Series – September 28th, 2020

In this episode, we discuss the best & worst markets for Trend Following strategies in recent years, the benefits of trading & investing across multiple timeframes, how a combined portfolio of Trend Following & the S&P500 has been historically lucrative, the perils of a market that is stuck in a large trading range, and how 3 months can easily change your year-to-date performance.  Questions we answer include: What are your thoughts on inflation & fixed income, as they relate to Trend Following?  How do commission & other charges affect systematic trading strategies? What is the optimal allocation to Trend Following?  Do you have any advice for trading CFDs?

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Check out our Global Macro series here.

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Episode Summary

0:00 - Intro
1:57 - Macro recap from Niels
04:32 - Weekly review of returns
32:46 - Q1; James: Why does Moritz seemingly switch his positioning in a market between long & short, some times, and not other times?
39:42 - Q2 & Q3; Eduardo: What are your thoughts on inflation, bonds & Trend Following on fixed income?  How do commissions and charges affect a Trend Following strategy?
59:00 - Q4; Anti: Is Moritz’s system a ‘stop & reverse’ system?
1:01:02 - Q5 & Q6; Mikael K:  Can you build a trend following trading system based on Options rather than Futures? Do you have any advice for trading CFD’s?
1:05:11 - Q7; Michael N: What is the optimal portfolio allocation to Trend Following?
1:09:57 - Performance recap

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