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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GM68: Chief Strategist: “Most Scenerios Point to Recession” ft. Peter Berezin
SI310: The Illusion of Backtests and True Drivers of Price ft. Richard Brennan
IL29: Technology: The Economic Dynamite ft. Mark Mills
SI309: Bonds Behaving Badly ft. Katy Kaminski
ALO25: Master Your Hedge Fund Allocation ft. John Jackson
SI308: Major Market Moves - What Now, Trend Followers? ft. Nick Baltas
GM67: Successful Investing in a Disrupted World ft. Aswath Damodaran
SI307: The Unpinning of Volatility & How to Prepare for What is Coming ft. Cem Karsan
IL28: The Transformation of the 21st Century Economy ft. Ernest Scheyder
SI306: If Trend Following was an Olympic Sport... ft. Mark Rzepczynski
GM66: Trump Trade and the 3 Legged Stool ft. MacroAlf & Cem Karsan
SI305: Building A Hedge Fund Allocation ft. Alan Dunne
GM65: Why Fed Will Raise Rates Next Year ft. Adam Posen
SI304: Taking the Trend Following Temperature with Man AHL ft. Graham Robertson
OI09: The Key to Trend Following Success ft. Cole Wilcox
SI303: The Unstoppable Volpocalypse ft. Cem Karsan & Alan Dunne
GM64: Why the Economy is Vulnerable to Recession ft. Claudia Sahm
SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas
GM63: War Without Rules ft. General Robert Spalding
SI301: The AI Hype within Investing...a Step Too Far? ft. Rob Carver
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