"I don’t want to trade much more money - I want to show that a mostly automated system can make money over the years in a pretty regularly recurring fashion." - Luc Van Hof (Tweet)
In This Episode, You'll Learn:
- How to avoid model decay and how to avoid the risk when the model may stop working in the future.
- How to diversify your types of models - dynamic filtering that takes place. Automatic de-leveraging when a certain market goes down.
"So you focus on effective diversification which means - you have to diversify across markets, across trading approaches, and across time." - Luc Van Hof (Tweet)
- How Luc chooses his models and why he does:
- Short term trend following
- Short term mean reversion
- What concepts for his models repeat themselves over and over again, pattern recognition.
- About volatility risk premium strategies.
"The risk premium strategy is the most important source of our return drivers." - Luc Van Hof (Tweet)
- How he tests his models that have so many moving parts in short timeframes.
"We spend a lot of time making sure the data we use for our research is of good quality." - Luc Van Hof (Tweet)
- His views on position sizing.
"Position sizing has become by far the most important component." - Luc Van Hof (Tweet)
- What investors should look at in terms of risk management
- Maximum Exposure for a trade - determines the maximum risk that a trade can generate for the total of the portfolio.
- How Luc deals with drawdowns.
- Why he is a risk averse person.
- Why he is still researching other trading ideas when he thinks he’s found a way that mitigates risk effectively.
- How he gets his ideas from math puzzles, reading about geometry and logic.
- Why investors should look at the predictability of returns and how to convince investors what and how you are going to trade is something that is going to work.
- Why discipline is the main characteristic that people need to be a successful fund manager.
"Build a program and offer that program, so that every single one of your clients has the exact same thing." - Luc Van Hof (Tweet)
- The books that he recommends for managers starting out wanting to be successful.
- How his hobbies such as nature, reading, and music help to keep him balanced in a busy financial world.
Resources & Links Mentioned in this Episode:
- Books that Luc mentioned in this episode:
- Definitions of terms mentioned in this episode:
This episode was sponsored by Swiss Financial Services:
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"If we can make something that is not going to suffer too dramatically in a down market, and is going to underperform in an up market, the client is going to like it." - Luc Van Hof (Tweet)