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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 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:

00:23 – What has caught our attention recently?
10:14 – Industry performance update
11:26 – Q1, Norbert: What is the long-term expectation for the trend-following risk premium as measured by the SG Trend Index after costs and its stability or sustainability?
19:46 – Q2, Bruno: What is Rob's method for balancing endogenous and exogenous risk management and controls in a system
29:36 – Q3, Oliver: What is Rob's take on trading single stocks instead of stock indecies in a diversified multi-asset trend program
37:57 – Q4, Critter: What would the minimum lookback period be to be considered “long term”?
41:59 – Q5, Chris: Can you share a couple names of software companies that do robust backtesting of trade strategies
45:57 – Cypto ETFs have been approved!
52:42 – Allocating to bitcoin
01:04:31 – Looking into 2024
01:08:38 – 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:

01:30 – What has been on our radar recently?
03:02 – Industry performance update
06:15 – Q1, Rick: What are the implications and risks of the recent spike in SOFR?
11:02 – What trends have we seen recently?
16:53 – It all comes down to the inflation environment?
24:49 – Hidden dangers for the younger generation
27:29 – Soft landing + goldilocks = stagflation?
32:19 – Under the hood of inflation
34:23 – What is normal?
39:49 – How the U.S election will change the world
46:30 – Will 2024 lead to surprising moves in the ongoing conflicts?
49:59 – Looking from a bigger perspective
53:00 – Looking into the crystal ball
59:05 – Teasing for the conversation with David Dredge
01:03:58 – 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.

Follow Alan on Twitter.

Follow Katy on LinkedIn.

Follow Andrew on Twitter and LinkedIn.

Follow Cem on Twitter and LinkedIn.

Follow Richard on Twitter.

Follow Mark on Twitter.

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:

01:07 – Trend following in an unpredictable world
09:50 – What is a considered as a good backtest?
21:09 – How much change is too much change?
28:50 – Our most important lesson in 2023
36:11 – What is the next phase of the fixed income trade?
46:01 – Geopolitics and looking into 2024
55:42 – Should we go all out diversification?
01:05:14 – Outrageous predictions for 2024
01:10:32 – Happy new year!

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.

Follow Alan on Twitter.

Follow Katy on LinkedIn.

Follow Andrew on Twitter and LinkedIn.

Follow Cem on Twitter and LinkedIn.

Follow Richard on Twitter.

Follow Mark on Twitter.

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:

00:23 – Introduction to this special edition of Systematic Investor
03:07 – Looking back on 2023 and into 2024
13:06 – Let's talk about volatility
19:42 – Volatility from a banker's perspective
25:13 – The value of non-trend strategies and smooth returns
40:40 – What is going with the SG Trend Index?
50:20 – How trend followers classify themselves
01:02:00 – End of part 1

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:

01:10 – What's been on our radar recently?
05:09 – Industry performance update
06:51 – Q1, Nicolas: Can you replace price with sharpe and trend follow that input instead?
17:52 – Q2, Andrew: Is there any validity in having additional accelerators in a system and how would it be used?
25:03 – Article: Are trend following CTAs truly long volatility?
33:26 – Article: Breaking bad trends
42:19 – Know when to be long and short
45:15 – Article: Managed futures rotation
52:40 – Sometimes good enough is good enough
57:02 – The future of the 60/40 portfolio
01:03:57 – 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 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:

01:04 – What has been on our radar recently?
03:08 – Industry performance update
08:21 – Q1, Adam: In terms of loose pants, how loose is too loose?
13:36 – Trading with different models
15:42 – Adam Q2: What is a reasonable sample size in real trade observations, to compare
against backtest statistics?
18:23 – A deep dive into complex adaptive systems (CAS)
20:29 – The 5 properties of CAS
25:24 – Examples of non-linearty in financial markets
30:50 – Emerging properties in financial markets
33:59 – Self organization
36:33 – Adaption and evolution
40:10 – Feedback loops
43:11 – What does CAS and trend following have in common?
49:38 – The limitations of traditional statistics
01:01:14 – Summing it all up
01:04:48 – What's next?

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:

01:35 – What has caught our attention recently?
04:04 – Industry performance update
08:08 – How is 2023 for managed futures?
13:19 – A turn away from trend?
18:29 – Timeframe and lookback in CTA replication
27:02 – The details of Andrew's trading approach
33:01 – How increased competition impacts Andrew's trading
41:31 – How low can you go, when it comes to fees?
48:17 – The great underestimated risk
51:30 – What drives asset flows?
01:00:04 – Is 60/40 back on track?
01:07:13 – Just look at the AUM
01:11:15 – 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 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:

01:21 – What has caught Mark's attention recently?
02:20 – Industry performance update
04:51 – What is going on in the markets?
09:01 – Reverse engineering the CTAs
11:45 – Confusion in the markets
14:38 – Are we being lied to about inflation?
20:24 – Mixed signals
22:14 – What are investors asking in meetings at the moment?
25:33 – Modeling with personality
32:25 – Losers create diversification
36:13 – Things that are often being forgotten
38:15 – Narratives and explanatory depth
47:04 – Are short-term models better than longer-term models?
50:34 – Does new = better?
56:42 – Getting the backtest and transactions costs right
59:31 – Don't overstep your capacity
01:01:29 – Minimizing slippage
01:04:23 – What is a reasonable level of slippage
01:06:48 – 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:

01:08 – What has been on our radar recently?
09:44 – Industry performance update
15:33 – A new war in sight?
21:17 – News about the US savings rate
23:54 – A positive outlook for productivity?
30:13 – CFM paper on the benefit of non-trend strategies
41:57 – J.P. Morgan paper on the outlook of the 60/40 portfolio
50:28 – Quantica paper on trend vs global tactical asset allocation
58:12 – FT article on Blackstone borrowing to boost lending power
01:03:35 – 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:

02:22 – What has been on Katy's radar recently?
04:24 – A precursor for the conversation
05:21 – Industry performance update
07:19 – Katy's trend following perspective
11:40 – Discussing Katy's paper, “The Short of Shorting Bonds”
16:06 – The results of the paper
21:12 – Why the shape of the yield curve makes a difference
24:52 – Why trend followers make more money when the yield curve is inverted
26:59 – Does higher rates always mean you have to be short bonds?
33:15 – Do you earn interest on the money that are put up for margin?
35:12 – Where are we in the markets right now?
37:26 – The forecasting behaviour is difficult to change
42:52 – Different people, different perspectives
46:39 – Doing what happens next
48:12 – Best practices when analyzing the data
54:54 – 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 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:

01:08 – What has been on Cem's radar recently?
03:15 – Industry performance update
05:25 – Q1, Tim: What systematic strategies would Cem suggest for hedging risk from a risk premia strategy with a trend following bias
12:20 – Q2, Rick: Does Cem view the Jan 2024 OpEx as a possible inflection point (to the downside)?
15:52 – What is new in the macro space?
23:16 – Is the MOVE index behaving as it should?
27:43 – Is Japan a joker when it comes to interest rates?
32:17 – A hidden danger?
36:12 – Wars – a driver of spending, deficits and inflation
40:28 – What current Flows are telling us
45:48 – Cem's takeaways from the CBOE RMC Conference
01:02:33 – 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:

01:04 – What is happening in Australia at the moment?
07:53 – The investment landscape is changing
09:57 – Best UCITS Managed Futures Fund revealed
13:17 – Industry performance update
16:25 – Why does OJ keep rising?
19:54 – There is no “one size fits all” approaches
26:44 – How does cross-sectional momentum work?
31:12 – The importance of correlation
40:26 – Nuancing “treating all markets equally”
48:00 – The use of continuous signals
53:03 – How does absolute momentum works?
59:13 – Discussing sample size
01:01:30 – The principle of no selection bias
01:04:16 – Why Rich uses traditional risk measures
01:06:56 – Letting profits run to their conclusion
01:08:03 – Single asset level risk vs portfolio level risk
01:08:59 – Releasing the risk steam
01:10:37 – Using simple models
01:13:46 – Trend following – not so black and white?
01:22:45 – Thanks for hanging in there
01:24:11 – What's up for next week?