TTU Trend Barometer
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Trend Following: Is it for you?
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Systematic Investor

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IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Andrew on Twitter and LinkedIn.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:16 – What has been on our radar recently?
05:38 – Industry performance update
06:49 – What is the big deal with Cocoa?
11:49 – What causes the rising Cocoa prices?
13:56 – A fantastic start to the year for trend following
16:58 – Industry performance update continued
18:12 – Q1, Peter: What percentage of your liquid net worth do you have invested in DBMF?
22:05 – What does Q1 2024 mean for CTAs?
30:51 – A period of normalcy
34:02 – A change in the trend following narrative
42:54 – Are replication strategies becoming less radical?
46:22 – Stacking returns – a good or bad idea?
52:35 – Honey, I Shrunk the Trend-Following (paper from Man Institute)
57:08 – Finding the optimal allocation
01:04:27 – Niels' different perspective on a trend following allocation
01:07:11 – Different allocations for different situations?
01:11:10 – Too old for unrealistic expectations

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Mark on Twitter.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:03 – Remembering Daniel Kahneman
03:54 – Things are changing
09:54 – Industry performance update
13:32 – What the Credit Suisse Managed Futures Index is missing
16:23 – Let's talk about Cocoa
21:55 – Trends can last longer than people expect
24:44 – Is the Cocoa market a bubble?
28:31 – Less markets = better performance?
30:43 – Static vs. Dynamic position sizing in the Cocoa market
39:13 – Understanding the financial conditions index
45:09 – A euphoric environment
49:47 – What makes trend following unique?
54:50 – Global macro vs. trend following
59:01 – A rotation in the alternative markets
01:03:15 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:21 – What is catching our attention at the moment?
05:40 – Is the economy becoming a bubble?
14:09 – A refinance crisis inbound?
20:41 – Industry performance update
24:49 – The economic outlook and history – UBS 2024 Yearbook
32:29 – Equities are here for the long term
37:57 – All in on equities?
44:15 – Investors are getting this wrong
46:19 – Can hedge funds play the right role?
50:17 – Where do multi-strat funds fit in?
53:28 – Choosing the right strategy
58:00 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Katy on LinkedIn.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:50 – What has been on our radar recently?
03:03 – When are trends coming to an end?
06:24 – Industry performance update
07:31 – How did Katy end up in the trend following industry?
11:19 – What attracted her to the industry?
12:40 – What Katy has learned from being an allocator
15:44 – Risk variations in portfolio construction
20:21 – What drives the biggest dispersion?
21:54 – Understanding risk in your portfolio
24:05 – Constant vol targeting – just a phase?
25:25 – The importance of skewness
31:06 – Mind the timeframe
34:57 – Preparing for pain ahead of time (MAN Paper)
38:15 – No pain, no gain…
43:28 – Economic trend (AQR Paper)
47:33 – Dealing with a world in disruption
50:48 – Excitement and worries about 2024
57:05 – What is up for next episode?

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Rob on Twitter.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

02:26 – What has been on our radar recently?
06:31 – Industry performance update
13:41 – Q1.0, Matthijs: Assuming that the trading costs are not a problem for some low-vol instrument, then how can we decide whether/how to still safely include the instrument in our portfolio?
23:50 – Q1.1 Matthijs: How do we distinguish between benign naturally low-vol instruments and disasters waiting to happen due to artificially dampened volatility?
26:18 – Q2, Ben: If I can trade markets like sugar or OJ on 20-day breakouts, is it reasonable to do so or is that quote-unquote too fast?
32:08 – Q3, Emil: As a full time systematic trader, how do you manage your expenses, with up and down months/years?
43:09 – Discussing latest Man Institute paper on regime based investing
50:37 – A win for trend following
59:32 – Does it matter if the Fed is tightening?
01:01:53 – The impact of Contango vs. Backwardation
01:09:57 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Cem on Twitter and LinkedIn.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:06 – What has been on our radar recently?
05:13 – Industry performance update
08:01 – Q1, Rick: Is positioning in tech under or overweighted?
11:23 – How 0DTE impact markets
18:08 – Is the VIX broken?
24:03 – 2024 – The year of elections
30:19 – Republicans or democrats – does it even matter to the markets?
32:09 – The return of the Kennedy's
39:15 – What is going on with flows?
47:55 – The rise of meme stocks
52:41 – How the U.S. debt will impact the dollar
59:59 – A wild ride for Japan
01:05:54 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Nick on LinkedIn.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:23 – What has caught our interest recently?
03:04 – The Nikkei index finally comes out it its 35 year drawdown
05:35 – Industry performance update
07:37 – Q1, Oliver: Does it makes sense to use factor regression to evaluate managed futures?
14:24 – The state of the industry
18:17 – Is trend following flopping?
27:34 – Building optimal trend following portfolios
36:15 – Pick your battles
49:10 – Is there a way to time trend following?
53:34 – Is it actually an advantage to trade alternative markets?
01:04:44 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Richard on Twitter.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:07 – What has caught our attention recently?
02:33 – What will 2024 bring for trend following?
07:11 – Inflation? Look to the Tooth Fairy
08:33 – Industry performance update
11:34 – Q1, Mark: Should trend followers size long and short positions the same?
17:20 – Outperforming the benchmarks
36:39 – The “secrets” of achieving great performance
44:42 – Is bigger always better?
52:43 – The importance of system diversification
01:03:45 – Working out the optimal parameters
01:08:14 – Crazy times in the cocoa market
01:09:41 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Andrew on Twitter and LinkedIn.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:53 – A dark time
04:24 – Industry performance update
10:57 – Should we replace bonds with managed futures? (or vice versa)
21:59 – What does it take to change investors minds?
33:26 – No one can erase 2022, and that is important
35:01 – A misleading narrative in the managed futures space
38:30 – Long or short term – who performed the best?
43:39 – Are stocks becoming less relevant?
53:22 – An update on the ETF space
56:25 – An existential crisis within equity hedge funds
58:55 – Capitalism and the political discourse
01:03:58 – Is democracy on its last legs?
01:06:32 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Mark on Twitter.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:09 – What has caught our interest recently?
02:27 – Industry performance update
06:16 – Misinformation – a global threat
12:14 – The drivers of price
17:17 – Finding the optimal lookback period
22:48 – Managers have different personalities
29:53 – What makes up good trend following performance?
32:24 – Diving into principal component analysis
39:32 – More markets = better returns?
44:54 – Diversification can come in many forms
49:37 – How will trend following perform in different cycles?
54:34 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

01:04 – What has been on our radar recently?
03:26 – The importance of liquidity
06:39 – The global macro picture
11:52 – How will markets be affected by the presidential election?
16:10 – What about China?
21:24 – Industry performance update
24:04 – Q1, Anonymous: What would be a fair allocation to trend following in a diversified multi-asset portfolio?
32:33 – Q1.1 Anonymous: Any resources or insights to help the selection process for UCITS funds
37:29 – Equity versus managed futures drawdowns
43:10 – Stocks for the long run – really?
55:38 – Has it gone too far with the Magnificent 7's?
57:28 – The outlook of the next decade
01:02:32 – Thanks for listening

by

IT's TRUE 👀 – most CIO's read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Katy on LinkedIn.

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes or Spotify so more people can discover the podcast.

Episode TimeStamps:

00:52 – A funny story from Katy
02:34 – An important shout-out
03:42 – A rare event in Denmark
06:55 – Industry performance update
08:10 – Thoughts on 2024 so far
09:42 – The difference between momentum and trend following
13:53 – Convergent vs. divergent strategies
24:08 – What does “pure trend” mean to Katy?
28:03 – What makes you a pure trend follower?
32:53 – Looking back at 2023
37:48 – An unusual year
43:22 – Discussing Katy's paper on fixed income
47:43 – How were trend models positioned in the 1960's?
51:11 – What does your position mean?
54:40 – Next big bull market in commodities?
56:10 – Thanks for listening