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CME Group

54 The Systematic Investor Series – September 22nd, 2019

In this episode, we discuss Howard Mark’s comments regarding not losing money being more important than missing opportunities, how solid Trend Following performance can often stay on the edge of randomness, recent opposing comments from the AHL founders on the effectiveness of Trend Following in today’s markets, why complexity and complication might actually be different from one another, and we also touch on a white paper which points out an increased inaccuracy with backtests the more complex a system gets.  Questions answered this week include: How easy is Trend Following to carry out? Are funds today charging too much in fees?  Is there a way to accurately predict future price moves?  Daniel Crosby mentioned in a recent Top Traders Unplugged interview, that ‘the best investments were the ones that were left alone’, what do we think about that statement? How do we keep our cool around friends & family after a very bad week in the markets?  Do clients have a wide & varied attitude toward portfolio volatility?

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Episode Summary

0:00 – Intro
1:00 – Weekly recap from Niels
4:10 – Weekly review of returns
9:00 – Top tweets
39:00 – Question 1: Francois; How do you stay cool after a bad week trading?
48:30 – Question 2: Adrian; What is the optimal level of trading activity in a robust system?
52:20 – Question 3: James; Should CTAs offer the same program with different vol targets?
1:02:00 – Question 4: James; Is Jerry trading individual stocks or a basket of stocks?
1:05:45 – Performance recap

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