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99 The Systematic Investor Series – August 3rd, 2020

In today’s show, we discuss why a great defence is necessary for great portfolios, Trend Following on ETFs, why liquidity is often an under-appreciated factor when choosing markets, why you need to include shorts, tips for testing system code, why futures are better for short positions than stocks, and why investing in alternative strategies can allow you to be more aggressive when chasing stock market returns.  We also answer some of your questions, including: What is your chosen measure of liquidity?  Do you place your trades at the open, close, or other times?

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Episode Summary

0:00 - Intro
1:44 - Macro recap from Niels
3:00 - Weekly review of returns
4:25 - The importance of non-correlated strategies such as Trend Following or Volatility-based
15:17 - Q’s 1, 2 & 3; Bruno: What is your chosen measure of liquidity, and how liquid does a market have to be, to be included in your portfolios? How do you size positions, with co-movements in mind?  Are you always trading the front-month contract?
26:37 - Q4; Walter: How do you test your system’s code?
33:14 - Q’s 5 & 6; Zack: Does Trend Following on ETFs work? What are the optimal time periods when analysing market correlation data?
45:01 - Q7: Michael: Do you place your trades at the close, open, or other times?
50:23 - Performance recap

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