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 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:

01:36 – What has caught Nick's attention recently?
06:28 – Industry performance update
07:28 – Dynamic vs. Static positioning
17:54 – Is one better than the other?
22:35 – Summarizing on dynamic positioning
29:35 – Cross-Sectional and Time-Series Momentum: What Is the Difference?
43:57 – AQR paper on single stock factor trend
50:17 – CTA strategies inside and ETF wrapper…a good idea?
01:00:35 – 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.

Follow Jerry 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:

01:44 – What's been on Andrew's and Jerry's radar lately?
04:38 – Industry performance update
05:43 – Lessons learned from launching Trend Following Plus Nothing
10:21 – What should the role of Trend Following be?
13:45 – New ETFs – where will the growth come from?
16:35 – The best approach to trading markets
23:37 – Staying balanced with single stocks
27:54 – Biases in Jerry's trading
30:11 – Will Jerry's correlation to equities begin to increase?
33:59 – Q1, Oliver: Why pay Jerry higher fees for being long equities?
40:02 – Will large hedge funds bring ETFs to markets?
44:08 – Are we in a hedge fund CTA fee bubble?
46:59 – Jerry's take on performance fees
52:24 – Andrew's take on performance fees
54:26 – Trend Following vs Managed Futures – 2 different things?
01:08:52 – Tax efficiency in ETFs
01:12:24 – Final thoughts

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:

02:15 – Update of the week
07:50 – Industry performance update
10:49 – Q1, Scott: Should i be concerned about adjusting portfolio weights according to the backtested sharpe ratio of my system?
18:52 – Q2.1, Andrew: Is trend following the trend following ETFs a good idea?
28:16 – Q2.2, Andrew: What is the advantage of factors of 4?
34:13 – Q2.3, Andrew: About using free backtesting systems
40:46 – Rob becoming a crypto adviser…what??
45:12 – Trading safely
52:22 – Dodgy behaviour in the crypto space
57:37 – Paper: A different point of skew
01:05:04 – 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:

01:03 – An update on the Australian economy
02:50 – A global macro perspective
05:38 – Industry performance update
08:39 – A bias towards long term models?
20:28 – Emergent structures and the butterfly effect
25:08 – Something is happening at the South Pole
26:01 – Getting diversification out of highly correlated markets
39:23 – Understanding complex adaptive systems
54:05 – The stability of markets
57:17 – Applying different rules to different markets
01:00:32 – 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 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:

00:45 – The global macro perspective
03:07 – Industry performance update
04:48 – Reviewing the first half of the year
09:14 – A deep dive into markets
24:37 – Preparing for a major blowup
39:24 – Zero day options – a loaded gun?
45:36 – Best Ever 1st half for NASDAQ
48:27 – Preparing for summer holidays
53:35 – Are CTAs and trend followers are pushing the markets higher?
56:43 – Advice when heading into holidays
58:33 – 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 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 – What happened this week?
03:48 – Industry performance update
05:21 – Article on momentum gap
16:46 – Getting the entry and exit right
23:25 – What did not happen this year?
32:02 – AI and trend following
35:48 – Advice on using AI and machine learning
42:59 – Failure of models
52:19 – The challenge of evaluating models
56:28 – Being macro aware
01:00:35 – 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 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:

00:58 – The big macro picture
13:25 – Industry performance update
16:33 – Artificial Intelligence – friend or foe?
28:00 – Using AI in trend following
32:40 – Katy Kaminski paper on bonds
39:36 – Being aware of your own biases
44:49 – Quantica paper on protection and returns
48:35 – Transtrend paper – volatility vs. drawdowns
53:24 – Risk management – the secret sauce?
57:28 – The evolution of risk management
01:03:24 – 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:

01:10 – What happened this week?
03:24 – Industry performance update
05:07 – Q1, David: About the speed of execution
10:43 – Q2, Oliver: Trend following vs. stocks and bonds
16:08 – A discussion on smart diversification
22:21 – Shorter term strategies = more protection?
25:22 – The role of lookback
29:07 – Paper on economic trend
36:16 – Trend following vs. economic trend
45:18 – Withstanding the pain of long term trend following
54:16 – Capping equity exposure
56:08 – Is fee reduction alpha?
01:02:01 – Does CTA replication models = single manager risk?
01:04:04 – The problems with managed futures indexes
01:07:54 – 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 Andrew on Twitter and LinkedIn.

Follow Tim 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 – The macro perspective
03:56 – Industry performance update
06:17 – First CTA to launch a ETF
09:57 – The managed futures index – what and why?
17:40 – Tim's experience with indices
20:15 – Building an asset allocation bucket
22:36 – A discussion on alpha
30:58 – Getting exposure to CTA return stream
37:10 – Why Tim would avoid replication strategies
44:18 – The biggest positions drive performance?
51:45 – Are ETFs reliable?
55:47 – Getting the timing right
01:00:49 – A terrible product?
01:04:26 – Why did Tim's US ETF fail?
01:08:07 – What is alpha?
01:11:00 – Are lower fees better for investors?
01:12:14 – Getting the correlation right
01:13:21 – Question from Oliver
01:15:59 – Teasing the next debate
01:22:38 – 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 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:

00:52 – Update from Rob
07:13 – Calculating slippage and “midprice”
12:41 – Industry performance update
15:26 – Q1, David: About continuous trading signal construction
20:49 – Hidden Markov models – What and why?
27:34 – Q2.1, Elie: Is there value in relative vol targeting for traders who can't take on leverage?
32:37 – Q2.2, Elie: About alternative ways of rebalancing signals
37:49 – Q3, QuantLurk: What would more resources do to your strategies?
42:41 – Which CTA should you buy?
49:12 – Can you really predict the performance of a strategy?
56:08 – You need to know what you don't know
58:36 – The U.S debt ceiling
01:03:09 – 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:

00:23 – Changes in the podcast format
01:30 – Review of the week
05:03 – Q1, Zach: Regarding the viability of short-term systems
12:48 – A deep dive into manager selection
28:37 – The optimal process and results
30:58 – Diversification in manager selection
33:51 – Hunting the trends
46:29 – The Knowledge Project
55:44 – 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 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:

02:33 – What happened this week?
06:56 – Industry performance update
08:38 – An interesting inflection point
16:29 – The timing of tops vs. bottoms
21:25 – Why are people short today?
25:57 – How will AI affect the middle and upper class?
30:56 – Where are we at in the cycle?
36:11 – Karsan's outlook for earnings
39:25 – Passive vs. Active investing
44:25 – Expectations for OPEX in May
49:18 – What could change Karsan's bearish view?
52:22 – The debt problem
01:01:09 – A society in decline
01:03:46 – Thoughts on Gold
01:05:42 – Thanks for listening