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28 The Systematic Investor Series – March 25th, 2019

On today’s show, we give our thoughts on ‘Evidence-Based Investing’, David Harding’s latest comments on Trend Following, how much is too much ‘Open Risk’, as well as answering: what are some of the ‘Trend Commandments’?  Also, we discuss whether it’s safe or not to buy after a big upside price break or sell after a big gap down, whether Volatility should be ‘targeted’ in your portfolio, and if a system can be designed handle 'parabolic moves' better.

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Episode Summary

0:00 - Intro
2:00 - Weekly review
6:30 - Top tweets
34:40 - Question 1: Michael; Have any of you backtested 2009 trades onward with one size fits all position sizing?
47:15 - Question 2: Dave; What represents too much open risk as a percentage of AUM?
56:55 - Question 3: Brian; How does a Trend Following system trade a parabolic market?
1:06:15 - Question 4: George; What are the commandments of Trend Following you reference in earlier episodes?
1:10:00 - Question 5: George; Could Moritz discuss why he dislikes a simple Trend Following system on just the S&P 500 when Meb Faber’s research shows it is effective.
1:12:40 - Question 6: George; Is Jerry’s infrequent overall risk reduction built into his system?
1:15:10 - Question 7: George; Most Trend Followers use stops, why doesn’t DUNN?
1:19:10 - Performance recap

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