Systematic Investor

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, & Moritz on Twitter:

@TopTradersLive & @MoritzSeibert

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

Episode Summary

0:00 – Intro
2:12 – Macro recap from Niels
17:53 – Weekly review of returns
22:52 – Discussion on how to safely own gold, and the German government’s move to tax investors on their Gold ETF holdings
31:56 – Q1 & Q2; Zaro: At what point do you decide that your model isn’t working?  How do you account for ‘conviction’ when placing a trade?
51:05 – Performance recap

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, & Moritz on Twitter:

@TopTradersLive & @MoritzSeibert

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

Episode Summary

0:00 – Intro
3:15 – Macro recap from Niels
4:10 – Weekly review of returns
11:25 – Howard Marks quotes on risk management and market cycles
29:11 – Patience for your system vs for an individual position
34:36 – Q1; Rene: How do you avoid losing a big profit during a parabolic move?
40:10 – Q2 & Q3; Peregrin: Do you have any evidence of systems working better when its positions match our opinion of the macro ‘story’?  Does Trend Following system alert its manager to crowd opinions they might otherwise be unaware of?
48:48 – Q4; Maurigus: Is CAGR a good measure of performance?
57:06 – Performance recap

Thanks to Seth for submitting your voicemail to the show.  If any listeners would like to leave a message, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, Moritz, & Jerry on Twitter:

@TopTradersLive, @MoritzSeibert, & @RJParkerjr09

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

Episode Summary

0:00 – Introduction
3:13 – Macro recap from Niels
8:16 – Weekly review of returns
13:54 – The benefits of keeping it simple
17:20 – Why you should take every trade & follow your rules
26:16 – Jerry’s incredible story from his journey with Richard Dennis’s ‘Trading Turtles’
27:30 – Some more thoughts on Volatility Targeting
48:19 – The best performing sectors historically among Trend Followers
50:24 – The deep history of Trend Following investors
51:31 – Cliff Asness quotes from the Flirting With Models podcast
1:00:41 – Performance recap
1:31:00 – Some personal highlights, on our 100th episode

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, & Moritz on Twitter:

@TopTradersLive & @MoritzSeibert

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

Episode Summary

0:00 – Intro
1:44 – Macro recap from Niels
3:00 – Weekly review of returns
4:25 – The importance of non-correlated strategies such as Trend Following or Volatility-based
15:17 – Q’s 1, 2 & 3; Bruno: What is your chosen measure of liquidity, and how liquid does a market have to be, to be included in your portfolios? How do you size positions, with co-movements in mind?  Are you always trading the front-month contract?
26:37 – Q4; Walter: How do you test your system’s code?
33:14 – Q’s 5 & 6; Zack: Does Trend Following on ETFs work? What are the optimal time periods when analysing market correlation data?
45:01 – Q7: Michael: Do you place your trades at the close, open, or other times?
50:23 – Performance recap

Check out Mark’s blog here.

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, Moritz & Mark on Twitter:

@TopTradersLive, @MoritzSeibert, & @MRzepczynski

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

Episode Summary

0:00 – Intro
1:14 – Macro recap from Niels
2:53 – Weekly review of returns
5:55 – Niels: Can you tell us about your journey to where you are today?
10:24 – Niels: Do you think John Henry’s success in sports can be partly down to his previous Trend Following methodologies?
12:18 – Niels: How do think we as humans overcome our behavioural biases in investing?
14:32 – Moritz: To what extent do systematic CTAs need laser-like focus, compared to others?
17:57 – Moritz: How did the day-to-day business of John W. Henry run?
21:00 – Niels: What led to John W. Henry eventually dissolving his firm, and what have leading CTAs today, who have been around since then, done right to still be successful?
29:02 – Moritz: How many markets in a trading system are too many?
42:06 – Niels to Moritz: How do you really benefit from correlation-based position sizing?
49:35 – Mark to hosts: How do you utilise momentum ranking in your portfolios?
55:45 – Niels: Where do you think returns dispersion among CTAs stems is stemming from?
57:21 – Moritz: What can be done better, in terms of selling a strategy to potential clients?
1:10:16 – Niels: How do you get so many ideas for content for your blog?1:12:32 – Niels: Do you have specific times of the day to do your writing?1:13:55 – Moritz: Why is the concept of convexity so popular nowadays?
1:18:06 – Niels: What is the best downside protection, in your opinion?
1:23:05 – Performance recap

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, Moritz & Rob on Twitter:

@TopTradersLive, @MoritzSeibert, & @InvestingIdiocy

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

Episode Summary

0:00 – Intro
0:45 – Check out the first 2 recent episodes of our Global Macro series
1:58 – Macro recap from Niels
3:18 – Weekly review of returns
11:44 – Thoughts on Warren Buffett’s recent ‘value’ purchase of the Dominion Energy’s natural gas pipelines & current Apple position
14:59 – Discussion on Mark Zepczynski’s article on being over-diversified
31:05 – Thoughts on AQR article regarding Tail Risk hedging
34:48 – Performance recap
35:41 – Check out Rob Carver’s recent article on his blog

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels & Moritz on Twitter:

@TopTradersLive, and @MoritzSeibert,

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

Episode Summary

0:00 – Intro
1:21 – Global macro review
2:42 – Weekly review of returns
5:15 – How lofty expectations are driving stock market prices
8:25 – What bond markets are telling us about the long prospects for equities
13:13 – Why we may be heading for an inflationary environment
19:05 – How CTA positioning is beginning to swing to the long side of equities
21:20  –Article on downside protection by Mark Zepczynski
28:29  –Article on high CTA returns dispersion by Mark Zepczynski
30:23 – Unveiling of guests, & more info, about our upcoming mini-series
44:47 – Performance recap

This week, we give our thoughts on the inaccuracies of CTA replicator models, static risk versus dynamic risk, ways to approach variable position sizing, the power of a system being ‘good enough’, Jim Simon’s quotes on overriding your systems, and the recent accusation that CTAs are driving the stock market upward.  Questions answered this week include: What elements of my trading system should I look to expand, if it’s going well?  Can I diversify using stock sectors only?  What are your thoughts on Volatility Targeting?

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels & Moritz on Twitter:

@TopTradersLive, and @MoritzSeibert,

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

Episode Summary

0:00 – Intro
1:16 – Global macro review
4:04 – Weekly review of returns
7:41 – The inaccuracies of typical CTA replicator models
22:28 – Jim Simons quotes on overriding trading models
24:34 – Question One; Will: So far, my trading system is successful, and I am looking to expand it.  Should I expand it to include an additional look-back period, market(s), or trading strategy?  Could you recommend any reliable data sources?
31:57 – Question Two; Abishek: Can I diversify using different stock sectors only?
35:28 – Question Three; Noah: What are your views on Volatility Targeting?
47:57 – Performance recap

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels & Moritz on Twitter:

@TopTradersLive, and @MoritzSeibert,

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

Episode Summary

0:00 – Intro
1:27 – Weekly review of returns
7:38 – David Harding interview with the SEC
14:44 – Richard Dennis quotes
15:57 – Hedge Nordic magazine article featuring Niels & Rob Carver
18:44 – Question One; Brian: Does the rise of Volatility Trading affect Trend Following strategies?
33:48 – Question Two; Brian: How is Trend Strength calculated?
41:37 – Performance recap

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels & Moritz on Twitter:

@TopTradersLive, and @MoritzSeibert,

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

Episode Summary

0:00 – Intro
1:40 – Howard Marks memo on the recent rally in asset prices (The Anatomy of A Rally)
3:41 – Weekly review of returns
7:31 – The banning of short-selling
13:49 – Tesla trading above $1000 for the 1st time
19:43 – Question One; Thomas: How do central bank policies affect Trend Following?
36:45 – Question Two; Stratesdown: How many strategies should I run on each market?
47:21 – Question Three; Brian: Are some markets more prone to trends than others?
51:35 – Announcement of new Top Traders Unplugged mini-series
53:11 – Performance recap

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, Moritz & Rob on Twitter:

@TopTradersLive,  @MoritzSeibert, and @InvestingIdiocy

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

Episode Summary

0:00 – Intro
1:06 – Global Macro Discussion
4:24 – Macro recap from Niels
6:02 – Weekly review of returns
13:57 – Choosing the right look-back period/time-frame
24:54 – Adding noise to your backtest
30:54 – Using capital more efficiently
42:06 – Binary vs continuous systems
57:32 – How automated should your system be?
1:06:36 – Performance recap

Documentaries mentioned: The Fourth Turning Explained and Prince of the Yen

If you would like to leave us a voicemail to play on the show, you can do so here.

Learn more about the Trend Barometer here.

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.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry, & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09, and @MoritzSeibert

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

Episode Summary

0:00 – Intro
1:08 – Macro recap from Niels
3:18 – Weekly review of returns
9:07 – Global macro discussion
29:11 – Abhishek: Question 1:  How do you reduce the problem of futures rollover costs?
32:37 – Tim: Question 2:  How often should you look at your portolio?
35:00 – Karl: Question 3:  How many positions should I have open at 0.5% equity risk per trade?
40:38 – Performance recap