This week, Rob Carver joins us to uncover his process of choosing which instruments to trade and how to manage the volatility of these. We also discuss how time frames affect position sizing and the ability to get reasonable exposure to a market as well as how you manage your expenses as a full time systematic trader. We round off our conversation with a deep dive into the latest paper from Man Institute to find out if different regimes exist in reality or just in hindsight. The paper uncovers if investors can reliably profit from correctly identifying them and if so, how? And how various types of investing have performed through different regimes, including Trend Following.
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Episode TimeStamps:
02:26 - What has been on our radar recently?
06:31 - Industry performance update
13:41 - Q1.0, Matthijs: Assuming that the trading costs are not a problem for some low-vol instrument, then how can we decide whether/how to still safely include the instrument in our portfolio?
23:50 - Q1.1 Matthijs: How do we distinguish between benign naturally low-vol instruments and disasters waiting to happen due to artificially dampened volatility?
26:18 - Q2, Ben: If I can trade markets like sugar or OJ on 20-day breakouts, is it reasonable to do so or is that quote-unquote too fast?
32:08 - Q3, Emil: As a full time systematic trader, how do you manage your expenses, with up and down months/years?
43:09 - Discussing latest Man Institute paper on regime based investing
50:37 - A win for trend following
59:32 - Does it matter if the Fed is tightening?
01:01:53 - The Impact of Contango vs. Backwardation
01:09:57 - Thanks for listening
Resources discussed in this Episode:
Copyright © 2023 – CMC AG – All Rights Reserved
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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
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TTU138: Need for Speed in Trendfollowing ft. Matt Dorsten, Portfolio Manager at PIMCO
SI234: Trend Followers are minnows, not whales ft. Rob Carver
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TTU137: A new approach to Entering Trends ft. David Gorton, CIO at DG Partners
SI233: The Market Impact of CTAs & Trend Followers ft. Alan Dunne
TTU136: Trend Following... C'est la vie ft. Philip Seager, Head of Absolute Return at Capital Fund Management
GM35: The Drivers of the Commodity Markets ft. Nicky Ferguson
TTU135: Moving Beyond Pure Price Trends ft. Yao Hua Ooi, Principal at AQR Capital Management
SI232: Trend Following the Trend Followers ft. Nick Baltas
TTU134: Crisis Alpha Revisited ft. Katy Kaminski, Chief Research Strategist at AlphaSimplex Group
TTU133: How to deliver Convexity ft. Nigol Koulajian & Mike Harris of Quest Partners
SI231: The Perfect Fit for Trend Following ft. Richard Brennan
TTU132: Trend Following Evolution ft. Ed Tricker, CIO of Quant Strategies at Graham Capital Management
GM34: When Geopolitics meets Global Macro ft. Jacob Shapiro & Roger Hirst
TTU131: How CTAs manage their Cash ft. Mike Kastner, Principle & Co-Founder at Halyard Asset Management
SI130: Trend Following in the Age of Disconnect ft. Mark Rzepczynski
TTU130: Trend Following Solutions ft. Marty Lueck, Co-Founder of Aspect Capital
GM33: Drilling into the Oil Market ft. Rory Johnston
TTU129: Trend Following Nordic Style ft. Svante Bergström, CEO & Founding Partner of LYNX Asset Management
SI229: Managed Futures - The Ultimate Diversification Tool? ft. Andrew Beer
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