Discussion points this week include, Volatility vs Risk, the differences between Trading and Investing, Zero Hedge’s comment about CTAs & Trend Followers being useless, and the NY Times article on high market skepticism while prices continue to go up. Also, should CTAs be used as a tool just for ‘Crisis Alpha’, or something more? Can Trend Following be used as a timing tool? What is the best sample size and look-back period when testing a system?
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0:00 - Intro
1:35 - Weekly review
5:30 - Top tweets
24:30 - TF needs a better slogan than “crisis alpha” – listeners are welcome to write in.
39:20 - Question 1: Antonio; How should TF work with traditional 60/40 stock/bond investing (and more on the podcast)?
56:20 - Question 2: Kevin; When backtesting do you have a preferred definition of what was and was not a trend or do you apply discretion?
1:03:50 - Announcement: Guest Jesse Felder coming on the show in a few weeks
1:04:35 - Performance recap
Paper Reference 1 - https://www.ahl.com/
Paper Reference 2 - https://www.aqr.com/
Paper Reference 3 - https://papers.ssrn.com/