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 Katy 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:

01:05 – What has caught our attention recently?
02:13 – Industry performance update
03:48 – Our takeaways from 2024
09:20 – How different speed has performed in different markets
13:25 – Has market correlation been lower than usual this year?
14:15 – Concluding on 2024
15:55 – Interesting news in the ETF space
18:29 – Key takeaways from the Hedge Nordic Roundtable 2024
20:18 – Optimism for the managed futures space?
23:10 – A historical perspective on volatility sizing
30:50 – How different styles of trend following work and perform
35:51 – When is long vol a good strategy to use?
37:41 – The challenges of trend following as a strategy
41:36 – Our perspective on running portable alpha
49:15 – Where does portable alpha sit in a portfolio?
51:59 – Tweaking your trend following portfolio to accommodate equities
54:06 – Thoughts on going into 2025

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 Graham 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:

00:52 – What has caught our attention recently?
02:04 – Are single stocks signaling trouble?
05:00 – Major divergence in market performance globally
08:06 – Industry performance update
09:06 – Our key observations from 2024
11:24 – Advice for getting your market capacity right
15:33 – Our thoughts on trading speed
17:14 – Don't get too caught up on specific narratives
18:38 – Industry performance numbers
20:02 – How Idiosyncratic risk works
26:55 – Setting up the optimal defense
28:31 – Don't be scared of “days like that”
32:21 – Troublemakers in the class room
38:58 – TINA is back in global markets – but with a makeover
40:45 – Our thoughts on the upcoming U.S administration
43:37 – How do we get trend following into our portfolios?
48:33 – The challenges of propagating trend following
51:53 – How to approach market capacity the right way
55:34 – Different times call for different markets
58:47 – Accents are causing trouble for AI
01:00:03 – What is up for 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 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:

01:37 – What has caught our attention recently?
07:20 – Is now the best time to allocate to alternatives?
12:14 – Industry performance update
17:58 – How we manage uncertainty in “chaotic systems”
25:55 – How to translate ensemble models to trend following
28:25 – The benefits of adding more trend following models
34:10 – It takes guts to be a greedy pig
37:04 – The hidden risks of financial markets
48:47 – Why Value at Risk (VaR) models makes more sense than having stops
56:35 – The inevitable outcome of cycles
01:06:40 – What is up for 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 Cem 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:

02:22 – What has caught our attention recently?
05:50 – Industry performance update
07:58 – Q1, Adam: What are your thoughts about trading efficiency in VIX futures trading?
09:30 – How volatility compression evolves going into 2025
17:42 – How you take advantage of the volatility compression
26:14 – How Cem acurately forecasted this year's market rally and his predictions for 2025
39:34 – When does Cem think the current populist period began?
48:22 – How inflation and interest rates have impacted the rise of populism
55:31 – How the gold market has evolved over the recent years
59:12 – Cem's outlook for Bitcoin and crypto currencies
01:03:59 – Is Donald Trump a threat to populism?

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 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:

00:39 – What has been on our radar recently?
05:43 – Industry performance update
10:17 – New times for bonds
14:37 – The issue is always in the details
19:02 – What is driving markets at the moment?
22:36 – The perspective on treasuries is changing
26:34 – Trend followers are going crypto
29:22 – Does crypto make sense in trend following?
30:47 – Where are we in the risk cycle?
34:57 – How spikes in credit spreads have impacted leverage
38:16 – Does “perfect information” exist?
43:27 – A kind and a wicked environment
45:56 – Why Mark tries to avoid causal influence in economics
48:50 – Get your position size right or go bankrupt
50:31 – Trailing PE – the secret sauce of successful analysts?
55:18 – How narrative impacts the stock market
58:37 – Discussing recent market action through the narrative lens
01:01:26 – Trend following – an unpredictable alpha?

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:

01:05 – What has caught our attention recently?
03:17 – Dark times ahead for Europe?
06:26 – An analysis of the election
11:46 – Niels' thoughts on the election outcome
14:58 – Alan's thoughts on the election outcome
18:11 – A global macro perspective
28:00 – Has the election outcome any effect on the US deficits?
31:39 – Industry performance update
37:19 – Q1, Yann: I’m wondering if, for portfolio stability, it might make sense to replace bonds with outcome-defined or buffered ETFs. Any thoughts?
37:33 – Q1, Yann: I’m wondering if, for portfolio stability, it might make sense to replace bonds with outcome-defined or buffered ETFs. Any thoughts?
41:56 – Is Goldman Sachs changing their strategy?
48:38 – The role of trend following in an unpredictable market
53:45 – How systematic investing has become integral in portfolio construction
57:54 – Systematic – an overlooked word
59:21 – The mystery paper – a teaser

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 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:

01:13 – What has caught our attention recently?
03:30 – Industry performance update
04:48 – Andrew's perspective on the last few months
11:11 – Insights from the Hedge Nordic Event
16:49 – Picking the right managers
19:57 – A Hunger Games mentality
26:53 – Different products for different market segments
33:31 – Are hedge funds better than mutual funds?
43:20 – What we know about the performance of ETFs vs mutual funds
46:33 – Will replicators become more prominent?
53:49 – Tell me what you love
57:24 – Bonds are like the Voldemort of asset allocation

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:

00:57 – What has caught our attention recently?
05:55 – Should trend followers lower their horizon?
09:26 – The AI CTA's are being tracked
10:37 – An economic Kayfabe
13:58 – Are interest rates approaching a Minsky moment?
18:44 – Industry performance update
20:33 – Q1, CryptoCaptainX3: How do you manage intraday adverse price movement risk while running a daily system?
25:43 – Q1.1 CryptoCaptainX3: How to manage overnight gap risk for futures instruments which trade only 6 hours a day?
26:13 – Q1.2 CryptoCaptainX3: Can you trade directional strategies but instead of using futures, use options. What are the pros and cons of this?
30:55 – Q2, Taylor: How do you think about position rebalancing, and the tradeoff between maintaining your desired risk allocation versus minimizing transaction cost?
34:22 – Q3, Richard: “Position Inertia”, a method of avoiding frequent small trades by widening the target to 10% above and below the desired position. Have you considered varying this parameter depending on the estimated trading costs of the instrument?
36:01 – Q3.1 Richard: I currently use a rolling 10 year window of weekly returns to forecast correlations between futures instruments as you suggest in a blog post in 2020. Do you think there would be any value in applying an exponential smoothing to the correlation forecasts?
41:13 – Q4 Michael: How do you monitor that your systems are runnings normally intra-day, without checking the performance?
43:48 – Q5 Richard: How to dynamically allocate capital between different strategies in a live systematic system, given dozens of strategies, all with changing performance over time.
45:33 – Q6: Cloud: Are there any ways or optimizations to pick the right strategies and right instruments (profitable)?
47:38 – Is “less is more” applicable when it comes to market selection?
59:26 – The promises and pitfalls of replication strategies
01:13:30 – A mixed up narrative – do they truly replicate performance?
01:20:00 – What is up for 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 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:

01:06 – What has caught our attention recently?
04:01 – What is going on with Danske Commodities?
06:29 – Energy traders are the new star athletes
07:47 – Industry performance update
09:55 – How has 2024 treated us so far?
13:58 – The implications of major regime transitions
18:33 – What made Katy write her paper, “Trend Following in a Defensive Rotation”?
24:22 – How has fixed income behaved over a long period of time?
29:02 – How does trend following portfolios react to the correlation between stocks and
bonds?
33:27 – Katy's thoughts on the large dispersion between managers this year
36:44 – Can you use carry trading with the SG Trend Index?
39:48 – Timing trends is a fool's game
42:31 – Bill Eckhardt is coming on the podcast next week!
43:35 – The outlook for trend following
46:42 – How do trend following strategies perform in different interest rate environments
52:15 – Do investors agree with the findings of the Quantica paper?
55:31 – Are investors disappointed about the trend following performance?
01:00:40 – What is up for 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 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:

00:40 – Our thoughts go to Florida
03:39 – A rough time for trend following
08:39 – Industry performance update
12:14 – Q1, Shahar: Regarding using long only trend following as an overlay to broad market ETFs
23:38 – Applying Warren Buffett's philosophy to trend following
32:33 – Setting limits in your trade following strategy
40:47 – What complex adaptive system can teach us about trend following
01:06:22 – What is up for 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 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:

01:28 – What has caught our attention recently?
07:37 – Industry performance update
09:02 – Reflecting on August and September
12:25 – The reversal of the short fixed income trade
17:31 – The death of short-term trend following?
21:32 – Finding the right trading speed
24:15 – Out-performing is a long game
27:47 – Its time to move direction
29:53 – Can CTA's forecast risk and returns?
33:45 – Evaluating models over a long time
39:24 – Baltas' thoughts on correlation forecasting
42:26 – Pairing risk parity and trend following
48:25 – A dangerous game
51:35 – How much should you allocate to trend following?
01:01:06 – Is the benchmark changing?

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.

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:

01:17 – Industry performance update
05:36 – Seasonality in markets
17:49 – Are China losing the ability to protect their assets?
21:44 – A dangerous path for Chinese assets
25:36 – A structural downtrend in inflation?
35:30 – Is the market looking through the rate cuts?
39:37 – Trump vs. Harris – how will it impact markets?
46:19 – A global conflict perspective
50:40 – How the election might impact commodities
52:06 – Migration policy and its effect on inflation
53:57 – How markets might trade right after the election is over
57:13 – Dangerous periods ahead?