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 Alan on LinkedIn.

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:

02:00 – Update on recent events?
09:13 – Industry performance update
09:38 – Why is it going so well for Rob?
12:15 – The ongoing debate on term premia
17:40 – Returns in bonds versus equities
21:13 – Q1, Andrej: What's your take on systematic strategies complimenting trend?
35:22 – Q2, Harry: Can you speak about the lure of high frequency strategies for traders with modest capital?
40:46 – The challenges of fast trend following
42:15 – Trading with different account sizes
45:07 – Q3, Ravi: Techniques to prevent overfitting of a strategy
51:45 – Using boot strapping
52:42 – Q4.1, Tommy: What's your take on the AHL trend ETF?
59:20 – Q4.2, Tommy: Which scenarios do you expect equities and trend to be highly correlated?
01:01:12 – 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

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:

00:48 – What has caught our attention in markets?
04:08 – Construction portfolios with non-trend complimentary strategies
09:59 – What is driving non-trend strategies like carry?
17:28 – Adding carry to trend
22:52 – How to use utility functions
25:08 – Defining the variables
28:09 – Advice for implementing a carry strategy
36:22 – Nick's perspective on reversion strategies
40:21 – Moving beyond single stocks
47:48 – Skewness in commodities
54:30 – How climate change impacts investment strategies

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 Andrew Beer on LinkedIn.

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's been on our radar recently?
06:02 – A growing appetite for trend following?
10:45 – Who is to blame?
15:03 – Commoditization in managed futures
20:16 – Is commoditization the “right” word?
21:38 – The best way to express an equity value strategy
25:05 – How the SG Trend Index has evolved over time
30:10 – The evolution of the trend following industry
37:01 – A case of market segmentation?
40:00 – Are ETFs the future?
46:27 – Managed futures and trend following in Europe
52:24 – A discussion on fees
54:54 – Capacity – a reason for concern?
58:59 – The Alpha of Ugliness

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's on Mark's radar right now?
07:25 – Multi-strategies and passthrough fees
19:13 – Industry performance update
22:28 – How is the industry holding up?
25:47 – Big moves in the commodity space
28:55 – Performance numbers
30:02 – The more things change, the more they stay the same
41:04 – Imagine the unimaginable
46:42 – How psychology impacts markets
53:45 – When and when not to be a trend follower
59:49 – A chronological snobbery?
01:04:03 – Important announcement

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:

00:57 – What has been on Alan's radar recently?
04:55 – Industry performance update
08:16 – Living with high public debt
20:27 – Other investors' view on the high level of debt
24:10 – How the trading of FX markets have evolved
32:58 – Do you need specialists to trade markets?
37:45 – China imposing trading restrictions?
40:36 – Where returns may go from here?
48:49 – High interest rates not beneficial for high leverage strategies?
51:05 – Inside knowledge from Paris Investor event
59:11 – Alan to host upcoming Systematic Investor episodes
01:00:29 – 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:

01:07 – What has caught Nick's attention recently?
03:02 – Industry performance update
04:30 – Q1, Corey: If an investor is heavily weighed equities, are they better off with trend
following providers that don't include equities as one of the utilized asset classes
10:31 – How model portfolios can benefit from trend following
19:02 – A Changing Stock-Bond Correlation (AQR Paper)
23:50 – How structural inflation can impact the stock-bond correlation
27:46 – Illiquid alternatives and commodities as diversifiers
35:27 – Significant shifts in the asset allocation space
38:14 – Is cash better than bonds?
41:40 – Paper from Transtrend
47:15 – What really drives the absolute return in a trend following portfolio
52:23 – Network Momentum across Asset Classes (Oxford-Man Institute paper)
57:08 – Coming up next week

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:

01:20 – What has happened recently?
05:51 – Industry performance update?
07:13 – Are managed futures funds are right for replication?
13:55 – How did they test it?
17:23 – Are economies becoming less synchronised?
25:02 – How many markets are enough for replication?
29:01 – Why are people going into alternative markets?
32:58 – Have managers become more different or similar?
41:02 – Industry disruptions – how is Andrew different?
47:22 – Why CTA assets will be much higher in 10 years
54:44 – How Andrew resist making changes to his replication model
56:54 – Train wreck in hedge fund land
01:04:02 – How do multi-strat funds manage their expenses?
01:08:25 – The challenges of the industry
01:14:21 – 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:

01:16 – What has caught our attention recently?
03:43 – Industry performance update
06:06 – The challenge of bias in trend following systems
13:54 – Taking the bonds out?
16:22 – Advice on trading universal parameters
19:35 – Going back to normal – a fantasy?
23:35 – Trend following – a long divergence strategy
26:31 – Are we actually in a crisis?
32:05 – Are crises becoming shorter and shorter?
36:38 – How does Katy define a crisis?
37:40 – A different understanding of trend following?
40:32 – Are there different types of crises?
45:55 – A global macro perspective
51:38 – Are bonds mispriced?
55:37 – From predictable to unpredictable inflation
59:11 – 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:

02:31 – What has happened since last conversation?
08:04 – Industry perfomance update
14:08 – Q1, Correy: If an investor is heavily weighed equities, as most are, are they better off with trend following providers that don't include equities as one of the utilized asset classes?
20:06 – A deep dive into absolute momentum
30:30 – Different implementations, same results
45:47 – The role of correlation
50:56 – Calculating risk in complicated systems
01:14:10 – The weakness of the Sharpe Ratio
01:21:04 – Know your manager well
01:24:19 – 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:

00:56 – What has caught Cem's attention recently?
03:14 – Volatility and seasonal patterns
08:27 – Industry performance update
09:34 – Is vol trading predictable?
17:15 – Why are vol spikes becoming shorter?
20:19 – Cem's take on the fourth turning
33:12 – Why is demographics so critical today?
39:04 – A tug of war between flows and macro
50:28 – A new all time high for stocks?
52:07 – Major moves in markets
01:00:58 – Too bullish too soon?
01:03:03 – Be flexible, be water
01:06:07 – 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:

00:38 – Is there a best time to trade?
05:07 – What has caught Mark's attention recently?
08:36 – Industry performance update
10:01 – Will we see a change in investor behaviour?
17:04 – The benefit of cash
21:11 – Are guaranteed products making a comeback?
26:18 – The dispersion within markets
32:05 – The Ex ante and Ex post problem for quant research
39:23 – Stay open minded
43:46 – Dealing with transaction costs
56:53 – The road to robust models
01:00:37 – 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:

01:30 – What has been on Alan's radar the last few weeks
03:54 – The big macro picture
12:26 – A treasury tsunami is coming
17:29 – Why has the economy stayed strong?
21:13 – A fear of Japanification
26:28 – Industry performance update
28:39 – A period of dispersion
33:36 – Calculating the return expectations
41:26 – Don't sleep on trend following
47:47 – Slow burning Minsky moments
55:22 – A conversation with Christopher Zook
01:01:18 – Charlie Munger article about diversification
01:08:34 – Thanks for listening