In partnership with:
CME Group

58 The Systematic Investor Series – October 20th, 2019

This week, we discuss Bank of America’s declaration of the end of the traditional 60/40 portfolio, the different attitudes to having ‘insurance’ in the markets, the reasons why too many fund managers are aiming for average returns, and the importance of consistently being present to profit from the biggest price moves.  Questions we cover this week include: what can be considered a large enough sample size when performing a backtest? What is the best investing advice you have ever received? Should Trend Following funds screen potential clients? How do you deal with positions that show no price movement for a period of time?

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Episode Summary

0:00 - Intro
1:05 - Macro recap from Niels
4:10 - Weekly review of returns
7:00-  Top tweets
38:00 - Question 1: Jacob; How do you do actual executions (order types, manual, etc.)?
40:50 - Question 2: Jacob; When you get a fill, how do you set your stop?
42:40 - Question 3: Jacob; What happens if a stop is hit on the day of entry?
45:40Question 4: Mannik; What sample size is sufficient for a backtest?
49:30 - Questions 5/6: Craig; Should TF investors be screened for patience? What personality traits are best for TF and the required patience?
57:40Questions 7/8: Dimitri; How do you handle positions that haven’t moved in a long time? Does the potential for a large move increase the longer a price goes sideways?
1:03:20 - Performance recap

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