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71 The Systematic Investor Series – January 20th, 2020
This week, we discuss the reliability of Fundamental Analysis sell rules versus Trend Following sell rules, the so-called ‘Quant winter’ that systematic funds are supposedly in, whether there is a clear definition of Value Investing, the ability of CTAs to offer Investors exposure to less popular markets, the differences between Trend Following and Technical Analysis,…
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70 The Systematic Investor Series ft Andreas Clenow (Part Two) – January 14th, 2020
Today we continue our interview with Andreas Clenow, where we cover topics such as backtesting & system design, whether we see any growth in the CTA industry, long-term vs short-term Investing, and how to go about raising initial AUM. Questions include: How important are drawdowns when analysing performance? Is Crisis Alpha an appropriate label for…
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70 The Systematic Investor Series ft Andreas Clenow (Part One) – January 13th, 2020
In the first of a 2-part special with Andreas Clenow, we discuss why combining Models might improve your Risk-Adjusted Returns in the long run, whether all Trend Following signals are more or less the same, reliable ways to measure risk, and some thoughts on Trend Following in the Stock Market. Questions we attempt to answer this…
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69 The Systematic Investor Series – January 5th, 2020
In this first episode of 2020, we discuss whether there any investment strategies that can work during all times, the recent Barron’s article featuring Richard Thaler on the perils of overconfidence, how Trend Following helps to prevent being too confident, the inherent negativity bias within most investors, the drawbacks of positivity when investing, and why…
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Market Trends for December 2019
A lot of critics have labeled the last 10 years as the “lost” decade for CTAs and trend followers. And sure, with just 19.25% to it’s name in the last 10 years, the Soc Gen Trend Index, admittedly did not knock it out of the park during the 2010’s.
But this is still better than the -9% return that the S&P TR index saw during the previous decade (2000 to 2010)…oh and with a 51% drawdown along the way.
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68 The Systematic Investor Series – December 29th, 2019
In this week’s episode, we discuss the notion of correlation between volatility and risk, why it can be a bad idea to equate a manager’s performance with their skill-level, when a losing trade should still be considered a good trade, how much opportunity is in Low-Volatility Targeting strategies, and we also give our end-of-year reviews. …
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67 The Systematic Investor Series – December 23rd, 2019
This week, we touch on the difference a year makes, how good position sizing can reduce anxiety, the recent article from AQR by Cliff Asness, why a meaningful allocation to Trend Following might be considered a must for any portfolio, the psychology of prediction, and some of the drawbacks of Trading from chart patterns. Questions…
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66 The Systematic Investor Series – December 15th, 2019
In this week’s episode, find out why investing in a strategy during a drawdown can be profitable in the long-run, why risk-adjusted performance is more important than tracking against an index, why price is a better guide than expert opinion, if there is a time when you shouldn’t attempt to have uncorrelated securities in your…
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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:…
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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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