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Posts by Niels Kaastrup-Larsen

65 The Systematic Investor Series – December 9th, 2019

This week, we discuss how doing less can ensure bigger & better results over time, average client holding periods versus the recommended amount of time, why short trades might be the essential part of a winning system, and why uniqueness is now a key requirement for today’s emerging managers.  Questions we cover this week include:…

Market Trends for November 2019

There was Black Friday in 1869, when the gold and stock markets collapsed after being driven to record highs by speculators trying to corner the gold market. And Black Tuesday and Black Thursday of 1929 probably need no introduction…Then there was Black Monday in 1987, when the Dow Jones Industrial Average dropped 22.6%, the largest one-day percentage loss in history.

These days we have Black Friday every year…but with a different meaning of course…but from a trend following/CTA perspective, this year coincided with the end of November…which looks like finishing in the Black for all the usual CTA indices.

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64 The Systematic Investor Series – December 2nd, 2019

This week, we discuss the differences between recognizing risk and ‘warehousing’ risk, why Fundamental Investors could benefit from implementing Trend Following rules, Diversification as the most important component of risk management, what Traders can learn from Weightlifters, and the delicate balancing act between simple, simplicity, & complexity.  Questions we answer this week include: Is Systematic…

62 The Systematic Investor Series – November 17th, 2019

In this week’s edition, we discuss the possible benefits of running a multi-strategy portfolio, whether or not you need to have a ‘feel’ for the markets before constructing a model, the new all-time highs on the Dow, Trend Following as a viable solution to the end of the 60/40 portfolio, and the longer-term drawbacks of chasing…

Market Trends for October 2019

Each year lots of pundits like to remind/scare investors about the historic negative events that sometimes occur during the month of October…especially the 1987 crash. And like all humans, investors fear the risk of loss much greater then then joy of gain…so this narrative always seem to do the trick.

But it strikes me that things have changed this year, as I see more and more commentators and non trend following managers play this card on a regular basis.

“Trend Followers have failed on their mandate to deliver Crisis Alpha…”

is what I’m hearing (followed by a marketing statement about a strategy being offered that is able to make money in periods like February and Q4 2018).

hmmm…

I wonder why they say this…I’m sure I don’t need to spell this out to you!

But here is the deal. Trend Followers do not design their strategies with “a mandate to deliver Crisis Alpha” in mind…but rather to deliver strong long-term absolute returns.

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59 The Systematic Investor Series – October 29th, 2019

On the show today, we cover some of the dangers of investing in something based on its story alone, how market environments can change while the behaviour of participants stays the same, why Trend Followers rely on secret fundamental information being baked into price, the importance of avoiding Outcome Bias,  how cockroaches behave in ways that should…

57 The Systematic Investor Series – October 14th, 2019

On this week’s episode, we discuss the tendency for investors to confuse volatility & noise with risk and instability, the benefits of great mentorship, why the best investments are those that have survived calamitous periods, why risk from any single market shouldn’t be able to ruin your portfolio, and Larry Hite’s observation that there is…

56 The Systematic Investor Series – October 7th, 2019

This week, we discuss the potential risks of aiming for smooth & steady returns, the pitfalls of having to make predictions, the higher-than-expected appearances of tail events, why it’s dangerous to look at the ‘average performance’ of an industry, and why aiming to trade in a style that suits your personality can actually turn out…

Market Trends for September 2019

So needless to say, it was a challenging month for trend followers.

But lets just be clear about one thing…those shorter-term strategies that claim that trend following is too crowded and too slow and does not deliver enough convexity…did not do much better than their trend following cousins…and have certainly not delivered nearly the same return so far this year.

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55 The Systematic Investor Series – September 30th, 2019

In this week’s episode, we discuss why Sharpe Ratios should be taken with a pinch of salt, the benefits of using a Trading Coach, why consistently aligning with the best odds may be a better strategy than trying to predict future price moves, DUNN Capital’s recent award from HedgeWeek magazine, why ‘the standout hedge fund…