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Systematic Investor

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You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & Corey on Twitter:

@TopTradersLive, @RJparkerjr09 @MoritzSeibert, & @choffstein

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Episode Summary

• 00:00 – Intro including discussion of weekly events and the latest news from the FED
• 05:35 – Weekly review
• 08:50-  Corey describes his background
• 22:00 – Corey breaks down the 3 components of diversification: What, How and When
• 35:10 – Question: How do you know when your model is broken?
• 42:15 – Question: Do you think TF will continue to work?
• 52:00 – Question: What is sequence risk? & Why we should pay attention to it!
• 56:50 – Question: What do you mean by risk cannot be destroyed it can only be transformed?
• 1:01:20 – Question: How do you convince investors to include TF in their portfolio?
• 1:06:45 – Question: Please discuss simplicity, complexity, model robustness, etc.
• 1:17:40 – Question: How do you prioritize drawdown management above all else?
• 1:21:20 – Question: Why is it easier to predict markets & performance 10 years out…unlike most other things in life?
• 1:27:00 – Question: Do you think past performance is a guide?
• 1:29:15 – Question from Christian: Do you think more information in models adds value?
• 1:33:00 – Question from another Moritz: How do you invest personally?
• 1:36:50 – Performance recap

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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
2:55 – Weekly review
11:50 – Live event update 10/26/19-10/27/19
13:00 – Top tweets
45:00 – Discussion of Goldman Sachs paper on TF
52:20 – Discussion of Morningstar “bubble” portfolio article
56:10 – Discussion of Real Vision video on volatility 
57:00 – Discussion of FT article on South Korea 
1:00:00 – Question 1: Ryan; Can the VIX be traded as part of a TF strategy?
1:08:00 – Performance recap
1:09:00 – Next week’s special guest is Corey Hoffstein

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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

00:00 – Intro
02:30 – Weekly review
10:15 – Live event update 10/26/19-10/27/19
11:30 – Top tweets
40:30 – Question 1: Jack; When/how do you decide to change a losing TF system?
49:20 – Question 2: Werner; How do you decide not to add a specific market to a TF system?
57:15 – Question 3: Sam; Should investors decrease risk as they near retirement?, and if so…How?
1:24:30 – Discussion of noise vs volatility paper by Michele Cocchiglia & Stefan Martinek of Kelonia Capital Management: Deconstructing Noise – A closer look at the notion of noise, its definition and potential impact in today's market environment.
1:29:00 – Performance recap

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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
1:55 –Weekly review
6:30 –Live event update 10/26/19-10/27/19; 12 people
9:30 – Top tweets
52:20 – Question 1: Sam- Please discuss equal weighting positions.
1:00:30 – Performance update
1:01:50 – Final thoughts

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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.

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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.

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & Wayne on Twitter: @TopTradersLive, @RJparkerjr09, & @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
1:50 – Weekly review
8:45 – Top tweets
37:30 – Question 1: Todd; What are your thoughts on adjusting stops based on price changes/volatility?
45:50 – Question 2: Paul; Have you considered the strength of a trend in your models?
53:05 – Question 3: Brian; How do you scale position sizes up and down based on performance?
1:02:15 – Questions 4/5/6: Sanjay; Aside from central bank (CB) action are there other reasons for the lack of trends in the last decade? If CB action is to blame and continues, will a lack of trends persist? What are indicators to watch to measure overall market trendiness?
1:22:45 – Question 7: George; What are your thoughts on data (back adjusting, roll methods, cleaning, etc.)?
1:30:15 – Performance recap

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & Wayne on Twitter: @TopTradersLive, @RJparkerjr09, @MoritzSeibert & @WayneHimelsein

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.

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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
2:00 – Weekly review
5:55 – Top tweets
50:00 – Announcement: Next week’s guest Wayne Himelsein
50:50 – Question 1: George; What are the operational realities of running a TF business?
56:55 – Question 2+: Craig; Please discuss the research that didn’t become part of the system.
1:02:20 – Question 3+: Carl; Series of questions about stop loss mechanics (initial, ATR, trailing, etc.)
1:10:15 – Question 4+: Michael; What are your thoughts on variable count in robust systems? Do you tailor models to specific markets/sectors?
1:24:40 – Question 5: Uncle Mike; What works best for stops?
1:28:25 – Performance recap

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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
1:50 – Weekly review
5:30 – Top tweets
1:12:00 – Questions 1&2: John; If a trade signal comes just before a roll date, do you move the roll forward to avoid trading twice? Do you ever try to “game” a roll to make a profit?
1:17:30 – Question 3: Michael; When the system designer and the executive are not the same person, how does the executive have confidence in the system/work of the system designer?
1:23:30 – Performance recap

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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
1:45 – Review of last week’s episode with Jesse Felder
6:45 – Weekly review
11:00 – Top tweets
32:20 – Question 1: John; Are you always fully invested?
41:00 – Question 2: John; Across all trades, how much total risk is there in a TF system?
46:30 – Questions 3/4/5/6: Woody; What are the pros and cons of using managed futures in ETFs vs mutual funds vs other vehicles? Will liquid alts suffer from a big bank crisis? Do you need leverage and concentrated positions to get the benefits of managed futures? Is there a disadvantage of using ‘blue chip' managed futures mutual funds?
1:07:30 – Question 7: Brian; Why do investors use Sharpe ratios?
1:15:50 – Question 8: Sam; What are your thoughts on price gaps?
1:19:30 – Questions 9/10: Andrew; Do you use Trend Following signals to manage your cash positions? How does DUNN use swaps in relation to fees?
1:26:50 – Question 11: Sam; Is there a time period that is too long-term for a trade?
1:31:00 – Performance recap

by

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

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 & @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
1:50 – Weekly review
5:20 – Jesse reviews his background/influences
8:00 – Jesse describes his process
12:45 – Question from Francois: Would Jesse discuss his view we’re in/entering a bear market?
19:30 – Jerry asks Jesse’s opinion on passive indexing
25:40 – Niels asks how float reduction impacts passive investing
28:00 – Jerry asks if ZIRP impacts valuation-based investing
30:10 – Niels asks Jesse how a transition to an inflationary environment will impact investing
34:40 – Moritz asks if/how Jesse applies the value approach to all asset classes
36:50 – Moritz asks if Jesse trades the VIX or otherwise hedges tails
Book reference: The Tao of Capital by Spitznagel
40:10 – Jerry asks Jesse’s thoughts on TF as a tool benefitting diversification
42:00 – Jerry asks Jesse’s opinion on the market not broadly recognizing the evidence supporting Trend Following
47:20 – Jerry/Jesse/Niels discuss forecasting and TF
50:00 – Question from George: Why is knowing what’s happening fundamentally better than just responding to price (i.e. trend following)?
56:20 – Niels asks Jesse’s view on Tesla
1:00:20 – Moritz asks how Jesse spends a typical day
1:01:30 – Niels asks what Jesse is reading now
1:03:20 – Moritz asks about Jesse’s interests/hobbies
1:04:40 – Niels asks about following Buffett/Munger and shifts in markets today
1:08:45 – Niels asks if Jesse applies analog analysis to markets
1:11:50 – Niels asks Jesse’s recommendations on things to read/listen to to learn about investing
1:14:00 – Performance recap