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95 The Systematic Investor Series – July 6th, 2020

This week, we give our thoughts on the inaccuracies of CTA replicator models, static risk versus dynamic risk, ways to approach variable position sizing, the power of a system being ‘good enough’, Jim Simon’s quotes on overriding your systems, and the recent accusation that CTAs are driving the stock market upward.  Questions answered this week include: What elements of my trading system should I look to expand, if it’s going well?  Can I diversify using stock sectors only?  What are your thoughts on Volatility Targeting?

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Episode Summary

0:00 - Intro
1:16 - Global macro review
4:04 - Weekly review of returns
7:41 - The inaccuracies of typical CTA replicator models
22:28 - Jim Simons quotes on overriding trading models
24:34 - Question One; Will: So far, my trading system is successful, and I am looking to expand it.  Should I expand it to include an additional look-back period, market(s), or trading strategy?  Could you recommend any reliable data sources?
31:57 - Question Two; Abishek: Can I diversify using different stock sectors only?
35:28 - Question Three; Noah: What are your views on Volatility Targeting?
47:57 - Performance recap

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