In partnership with:
CME Group
Eurex

27 The Systematic Investor Series – March 17th, 2019

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?

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

Feel free to leave an honest review on iTunes.

Episode Summary

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/strategic-rebalancing
Paper Reference 2 - https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing
Paper Reference 3 - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3050736

Subscribe on:

Subscribe in iTunes Subscribe on Stitcher Subscribe on Soundcloud