SI316: Solving the "How Much" Trend Following Question ft. Nick Baltas

Today we tackle the most important questions arising from the evolving landscape of systematic investing, focusing on the changing dynamics of asset allocation in the current market environment. Nick Baltas and Niels discuss the implications of rising interest rates and inflation on traditional 60/40 portfolios, questioning whether this approach remains valid. We explore the potential benefits of incorporating trend-following strategies, especially in light of recent market volatility. The conversation includes insights on risk management and the importance of understanding correlation, particularly during downturns. With a blend of empirical analysis and practical advice, the episode touches on the key question of how much investors should allocate to trend-following strategies from a different perspective and encourages listeners to rethink their investment strategies and consider more adaptive approaches to asset allocation.

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Episode TimeStamps:

01:28 - What has caught our attention recently?

07:37 - Industry performance update

09:02 - Reflecting on August and September

12:25 - The reversal of the short fixed income trade

17:31 - The death of short-term trend following?

21:32 - Finding the right trading speed

24:15 - Out-performing is a long game

27:47 - Its time to move direction

29:53 - Can CTA's forecast risk and returns?

33:45 - Evaluating models over a long time

39:24 - Baltas' thoughts on correlation forecasting

42:26 - Pairing risk parity and trend following

48:25 - A dangerous game

51:35 - How much should you allocate to trend following?

01:01:06 - Is the benchmark changing?

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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

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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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