Top Traders Unplugged

Is it more profitable to be longer-term? When is Trend Following the wrong strategy to use?  Should you ‘ease’ into a trade, or go all in, and how should you adjust position size?  Other talking points include where to trade Single Stock Futures, how to include Options into a Trend Following strategy, as well as recent quotes from Stanley Druckenmiller about being greedy in the markets, and the quotes from Howard Marks on the psychology of the markets. You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com Get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to info@toptradersunplugged.com Follow Niels, Jerry & Moritz on Twitter: @TopTradersLive, @RJparkerjr09 & @MoritzSeibert Feel free to leave an honest review on iTunes. Episode Summary 00:00 - Intro 01:35 - Weekly review 6:15 - Top tweets 29:35 - Question 1: Antonio; How do you determine if your Trend Following model is broken? 45:00 - Question 2: Seth; How does Jerry diversify his single stock portfolio? 47:20 - Question 3: Dave; Could you discuss specific details of your systems? 48:15 - Question 4/5/6: Carlos; How does Jerry trade single stock futures given liquidity? What is your opinion on using alternative data for position sizing/signal generation? What is your opinion on adjusting position sizes using momentum/pyramiding/etc.? 58:20 - Question 7: Walter; What exchange does Jerry use to trade single stock futures/where is the liquidity? 1:03:30 - Question 8: Brian; Do you use options strategies? If so would you discuss your strategies? 1:09:50 - Question 9: Glen; Please discuss your execution process once a system provides a signal. 1:15:00 - Question 10/11: Keith; If establishing a new system, do you put on all positions as of a specific date or sit in cash waiting for new entry signals? How do you adjust positions when new money comes in? 1:19:50 - Performance recap Subscribe on:

Would you believe somebody if they told you they had been very successful in the investment world, by looking at the just markets once a week? Everything, and everyone, seems to be getting increasingly more short-term in their nature, so it seems counter-intuitive that you can run an actively managed trading strategy by only checking for new signals once a week. Nevertheless, this is exactly what Scot Billington and his partners have done. When I spoke to Scot a while back, he shared some great stories and real-life experiences, that had led him and his partners to this realization, and ultimately, their unique way of implementing a Trend Following approach. I’m excited to share some of these key takeaways with you today. I hope you enjoy this short post, and if you would like to listen to the full conversation, just go to Top Traders Unplugged Episode 25, and also Episode 26. Will Trend Following work forever?  Is there a risk that the Markets can fundamentally change? Niels:  It's a slightly different topic than where we started, but I think it's an important one, so I'd like to explore it a little bit. Although you probably know that my bias is also that I think trend following is a highly robust and sustainable strategy. If I was going to take the opposite side of the discussion here, and that is because we obviously hear the argument every time that people say, oh trend following is dead and out comes the veterans of the industry saying, yeah, we've heard this before, and it never comes true, but we also know that decompression or compression of volatility is not great for trend followers and we have to admit, maybe with you as one of the exceptions, but we have to admit that some of the people who have been around for 20 or 30 years have significantly larger drawdowns in the past few years than they have seen in their 30 year career. Some of them have even folded and stopped because they thought it was getting too difficult. The question is, of course, can one always argue and say yeah, sure it's going to come back, it's going to be fine, or is there as you alluded to before, is there always the risk that the markets, or that something has actually fundamentally changed? I'm not saying I'm a strong believer here, I'm just saying.. Scot:  In the midst of any drawdown, that will always be a great and valid question, and I always start by saying look, I don't know the future. I can make my best guess. I can argue vehemently that my guess is very rational, but just because something has worked doesn't mean that it will work forever across any board. We would be out of business long before there was enough physical evidence to suggest that trend following didn't work. If you took the position today that trend following doesn't work, that would be an extraordinarily irrational statement because the empirical evidence before you strongly suggests that it does. Niels:  Yet a lot of investors take that stand. Scot:  Of course, they do, but they bought tons of collateralized debt obligations, right? Niels:  So they did, yeah. Scot:  I mean hundreds of trillions of dollars of them. They ran models that didn't even have an assumption possibility of a real estate price going down. Again it's easy to pick on things in retrospect, but we also bought lots of Enron stock, didn't we? 'Your largest drawdown is always in front of you... but there will also always be a winning period better than we've ever seen.' Niels:  But if we talk about evidence and I think we both agree that certain market environments are not good for trend following and certainly compression of volatility is one of them. Scot:  In our stuff volatility is bad. You want volatility post-trade entry, not pre. So volatility pre-trade entry is bad. Ultimately, volatility tends to increase as a trend increase...

Discussion points this week include: Where to start if you want to become a Trend Following Trader, whether or not to trade markets differently, Bloomberg’s article on the supposed Failing of Trend Following, how strategies can cope and adapt during drawdowns, how to know when you are truly diversified or not, and a lot more. You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com Get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to info@toptradersunplugged.com Follow Niels, Jerry & Moritz on Twitter: @TopTradersLive, @RJparkerjr09 & @MoritzSeibert Feel free to leave an honest review on iTunes. Episode Summary 0:00 - Intro 1:20 -  Weekly review 7:00 - Top tweets 32:30 - Question 1: Karl; Where would you start if you wanted to become a Trend Follower? 36:30 - Question 2/3: Paul; Considering return volatility and investor tolerance, how do you help investors determine their optimal allocation to Trend Following? Have your personal volatility preferences changed over time? 45:45 - Question 4: Antonio; If historical drawdowns have no bearing on the future (as the podcast has said), how do you know your system won’t blow up? 50:10 - Question 5: Antonio; How do you calculate future expected returns with a TF system? 55:20 - Question 6: Antonio; If you can’t estimate future returns, why bet TF will keep working in the future? 59:30 - Question 7: Antonio; Should recent performance of TF systems influence future return expectations? 1:03:10 - Question 8: Brian; How does a CTA choose a company to sell their products? 1:05:00 - Question 9/10: Samuel; Based on correlation, what level of diversification is enough? What will cause Jerry to adjust his risk? 1:09:00 - Question 11: Samuel; How often should positions be adjusted based on account equity? 1:15:15 - Question 12: Brian; Why do investors hold CTA returns to a higher standard (versus other hedge funds)? 1:18:50 - Question 13: Seth; What are the unique “sectors” that drive diversification in a TF system? 1:22:40 - Discussion of Bloomberg article on TF failing – suggested by Christian 1:35:00 - Performance recap Subscribe on:

"There's a lot more data in some ways, but there is also a lot less interesting information that is differentiated." - Jake Barton (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group and the Managed Funds Association, where host Niels Kaastrup-Larsen continues his conversation with Jake Barton, the Senior Portfolio Manager at Promus Capital, Trent Webster, Senior Investment Officer of Strategic Investments at Florida State Board of Administration, and Steven Wilson, Senior Portfolio Manager at Teacher Retirement System of Texas, which took place at the MFA's Network 2019 conference in Miami. Listen in to learn when our guests use investment theory versus data, new standards for management fees, and what our guests look for in maintaining a reliable team for their investors. Subscribe on: In This Episode, You'll Learn: When to use investment theory versus data, and how you know when you have chosen correctly How the guests review their managers and analyze their results What organizations of different sizes can do to prepare for a crisis "In the end, I'll make anyone a deal: I will always admit you're right if I can have the money." - Trent Webster (Tweet) How Steven sees the new fee structure for hedge funds, that TRS helped develop, as more reasonable than the standard 2&20 How a race to the bottom for management fees can remove much of the creative energy from the alternative manager space What excites Trent about the BBB section of the investment grade bond market "It's almost unbelievable that it's 2019 and people are still paying performance fees on beta. How did that happen?" - Steven Wilson (Tweet) What is new and upcoming in the hedge fund space The reading that our guests never miss inside and outside of the investment space This episode was sponsored by CME Group and Managed Funds Association: Connect with our guests: Learn more about Jake Barton and Promus Holdings Learn more about Trent Webster and State Board of Administration of Florida Learn more about Steven Wilson and Teacher Retirement System of Texas "Data will always challenge the theory. No theory works if it's wrong financially. You can have the greatest theory in the world and if you just keep losing money for clients, you have to throw in the towel or the money will all disappear." - Jake Barton (Tweet)

Meb Faber joins the show to discuss his journey into Trend Following, where Trend Following funds have gone wrong in terms of attracting assets & growing AUM, why he started his company Cambria Investments and the difficulties that this involved, the perceived safety of US Treasuries, Mutual Funds vs ETFs, and a lot more. You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com Get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to info@toptradersunplugged.com Follow Meb, Niels, Jerry & Moritz on Twitter: @MebFaber, @TopTradersLive, @RJparkerjr09 & @MoritzSeibert Feel free to leave an honest review on iTunes. Episode Summary 00:00 - Intro 1:30 - Weekly review 6:25 - Meb Faber’s backstory 10:15 - Jerry question: Why don’t CTAs have more AUM? 11:25 - Meb answer: Relates to branding/marketing; The word “futures” scares people; Allocator career risk in not following the herd plays a role (they don’t allocate much to CTAs) 16:50 - Mortiz question: When and why did you start your firm? 17:25 - Meb answer: See podcast 21:00 - Moritz question: Why do you think TF and value is a great blend? 21:50 - Meb answer: Best portfolio structure for the long-term. 28:00 - Niels question: Please talk about the perceived safety of US Treasuries (based on your research) and why you use a broader portfolio. 29:10 - Meb answer: See podcast 36:20 - Niels question: What needs to happen before Betterment (and others) embrace TF? 37:00 - Meb answer: A crisis or bear market could create interest; having US stocks stopped “working” for buy and hold could bring change as well (ex, Japanese stocks) 40:15 - Mortiz question: Why did you set up an ETF vs a mutual fund or another vehicle? 41:00 - Meb answer: I’m product (vehicle) agnostic but ETFs are vastly more tax efficient for equities (only for equities) 50:00 - Jerry question: What needs to happen for mutual funds to be competitive with ETFs (tax wise)? 50:20 - Meb answer: See podcast 53:00 - Niels question: With ETFs do you have to disclose your trading methodology? 53:25 - Meb answer: No, but you do have to disclose holdings daily. 57:00 - Jerry question: What do you think of products designed for client desires/tolerances compared to optimally designed pure TF products? 57:30 - Meb answer: Framing plays a large role in investor reception/adoption. 1:02:30 - Jerry question: What is your opinion on active mgmt = discretionary & index = systematic? 1:03:30 - Meb answer: See podcast 1:11:30 - Niels points listeners to Meb’s podcast with Chris Cole for more on this topic 1:12:30 - Niels questions: What are your favorite factors? How is your competition going with Patrick O’Shaughnessy? 1:18:20 - Meb answers: Value, momentum, and trend. Wants simple, timeless, and universal. See podcast re O’Shaughnessy answer. 1:19:30 - Mortiz question: Do you trade any vol products? 1:19:40 - Meb answer: Not really 1:25:45 - Jerry question: Why isn’t there a distinction between the good (full trading systems) and bad (market timing indicators) parts of systems trading in articles? 1:26:30 - Meb answer: It is in the framing. Investors need a plan (indicator isn’t a plan). The media likes the boogeyman of market timing. 1:30:45 - Performance recap Subscribe on:

"Being a mid-twenties analyst during the 2008 financial crisis was a very eye opening experience, and it showed me the importance of being methodical and critical, and not quick to make decisions whenever you're faced with adversity in investing." - Steven Wilson (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group and the Managed Fund Association. On today's episode, which took place at the MFA's Network 2019 conference in Miami, Niels Kaastrup-Larsen speaks with Jake Barton, the Senior Portfolio Manager at Promus Capital, Trent Webster, Senior Investment Officer of Strategic Investments at Florida State Board of Administration, and Steven Wilson, Senior Portfolio Manager at Teacher Retirement System of Texas. As managers of the investment of pensions and alternative portfolios, our guests today get in depth on how they use trend following to improve their client's capital, from interpersonal strategies in choosing a portfolio, how the funding status of a pension can affect a board's strategy, and what guides them in making the choices they do for their holdings. Subscribe on: In This Episode, You'll Learn: How the guests got their start in investing Trent's philosophy for choosing his investments What Jake looks for when working with managers "There is a pension crisis coming in this country, probably sometime in the next decade or so, and there's going to have to be some hard decisions made." - Trent Webster (Tweet) The core beliefs and principles that drive each of the guest's decisions How the funding level of the pension fund can change investment decisions The varying degrees of differentiation and how it changes with the markets "That's something we spent quite a bit of time on, is 'what is our philosophy?' and 'how do we want to be good stewards of the capital our clients trust us with?'." - Jake Barton (Tweet) Why our guests are firmly committed to trend following even after a few years of lower returns Why convincing boards to invest in a hedge fund can be so difficult This episode was sponsored by CME Group and Managed Funds Association: Connect with our guests: Learn more about Jake Barton and Promus Holdings Learn more about Trent Webster and State Board of Administration of Florida Learn more about Steven Wilson and Teacher Retirement System of Texas "It takes us a while to maneuver, but when asset markets come down, we've started to look through the valley and start planning what we want to do into the bear market." - Trent Webster (Tweet)

What is the value of the 200-day Moving Average, the benefit of tried and tested strategies vs new and trendy strategies?  Are drawdowns a necessary component of a robust strategy, and what is the optimum startup capital? These, and a lot more we discuss this week. You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com Get a free copy of my latest book "The Many Flavors of Trend Following" here. Send your questions to info@toptradersunplugged.com Follow Niels, Jerry & Moritz on Twitter: @TopTradersLive, @RJparkerjr09 & @MoritzSeibert Feel free to leave an honest review on iTunes. Episode Summary 00:00 - Intro 00:45 - Announcement: Meb Faber will be on the show next week please send questions 01:50 - Weekly review 06:40 - Top tweets 19:00 - Question 1: Alfred; What are some filters to increase the accuracy of breakouts? 25:25 - Question 2/3: Walter; Do you use volume as a signal in your systems? I’ve heard you mention more volatile systems are more robust, please explain why. 41:00 - Question 4: Paul; Please discuss big data, market predictions, and the relationship to TF. 47:40 - Question 5: Robert; Are Chesapeake’s single stock positions being traded via futures or cash equities? 50:00 - Question 6/7/8: Chris; Why don’t more TF use single stocks? Do you put on positions the day of the signal or wait until end of week (or similar)? How do you think about stop losses in a portfolio? 1:02:20 - Question 9: Matt; What needs to happen for investors to embrace TF like you all have? 1:09:30 - Question 10/11: Peter-Francois; How do you handle existing positions and inflows/outflows of capital? Do you adjust stop loss levels when new investors come in to existing positions? 1:14:30 - Question 12: Francois; What is your take on factor investing such as value and momentum?   1:26:30 - Question 13: Alex; How would you trade $20k vs $20mm? 1:31:00 - Performance recap Subscribe on:

The concept of Trend Following has been around for a long time, but it wasn’t until a few years back, that the Bible on Trend Following was written by Kathryn Kaminski and Alex Greyserman.  Today, I am delighted to share some of the interesting lessons, insights, and key things that Kathryn Kaminski took away from the long road to publishing this book. I hope you enjoy reading this, and if you would like to listen to the full conversation, just go to Top Traders Unplugged Episode 41 and Episode 42. Examples of Trend Following from 800 Years of Historical Data Katy:  I think if I go back, for just a second, this concept of Trend Following is something that has been passed on throughout the ages. I think we start our book by saying find a trend and follow it, is a common adage that has been passed on throughout the centuries. This is quite, sort of, one of the points that we begin the book with, is that people have been using and following the curve, following the crowd for as long as anybody ever has imagined. Essentially trend following is simply following a trend that you may see. If you look across history, this particular approach, if done the right way, can actually be very stable over time. That's what we see in the beginning of the book, is there's an 800 year analysis. Granted that any of these analysis are not empirically hardcore research, but they give us some perspective on, "wait a minute, is this something that I could have done throughout the ages?" I think if you take that, and you think about what trend following is about: trend following is about following something that looks like it's going up and cutting your losses when you think it's not. It's very simple. Granted the way that we do it today is much more sophisticated, and much more systematic and sophisticated, but the concept is really simple. Niels:  Sure. I think that, in a sense, that's quite interesting to me because I think sometimes managers over complicate the message of trend following because they want to sound like that what they do is really sophisticated, but in reality it's not that hard. Katy:  Definitely not. I think I spent a lot of my research time thinking about stop loss, and why do people use stopping rules, for example? There's a lot of behavioral reasons for this, and trend following is exactly the same. You create some systematic rules to help you control your behavior - to help you make decisions. So for something like stop loss, as an example, we use a stop loss because we know that we may not be able to get ourselves to stop the loss without making the decision a priority. Trend following strategies, and the concept of trend following is about creating a simple set of rules - a simple heuristic for how do you actually profit from moves - up or down? If they exist, how do you handle them? So when we started our book, actually, one of the interesting graphs... the first graph that we have is actually performance of the S&P 500 for the last twenty odd years, and then performance of trend following. If you just look at that graph, there clearly are trends. Long trends that exist in history and different markets. So if we have that approach, there may be some ways to develop heuristics to help us to handle the ups and the downs over time. "What if I was the type of person that just said: if I see things that are going up in the last 12 months, I buy.  If I see things are going down, I sell.  Modern day Trend Following is much more complicated, but the concepts are the same." Niels:  I want to try and stay with the theme of the history and trend following and just ask you how did you find evidence of trend following taking place going back so many years? We obviously, many of us remember the last five, ten, twenty years, but once you get past that and for most investors we're not in the markets fifty years ago, or a hundred years ago,

Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Follow Niels, Jerry & Moritz on Twitter: @TopTradersLive, @RJparkerjr09 & @MoritzSeibert Feel free to leave an honest review on iTunes. Episode Summary 00:00 - Intro 01:15 - Weekly review 06:10 - Top tweets 28:45 - Book mention: The Systems Bible by John Gall 38:25 - Question 1: Craig; Should all markets be considered equal from a TF perspective? 44:00 - Question 2: Johannes; Can intraday trading be scaled into a big business? 51:00 - Question 3: Manuel; What are good rules for managing position sizes to keep risk at a reasonable level as winners inherently grow with Trend Following? 58:10 - Question 4/5: George; Why does TF seem to need so many return drivers for optimal diversification? How much could a TF strategy lose at once if all went wrong? 1:11:15 - Question 6: Francois; Are TF interested in the sine of the speed of the trend only and not the actual speed? 1:17:40 - Question 7/8: Samuel; How do you roll positions? What are your favorite resources to stay up to date on systematic investing (journals, podcasts, subscriptions, authors)? 1:30:20 - Performance recap Subscribe on:

A while back, I had a very enjoyable time speaking to Scott Foster from Dominion Capital Management, who is not your typical Trader. He draws from a wide range of influences such as Aristotle, Magic, and Austrian Economics. I am delighted to share some of these deep insights with you in this short blog post, and I hope you enjoy these unique views and observations from Scott.  If you would like to listen to the full conversation just go to Top Traders Unplugged Episode 27 and Episode 28. A Blend of Philosophy & Psychology in the Markets Scott:  I approach the whole trading situation from a real blend of philosophy and psychology. We've talked a little bit about the psychology stuff, not a lot, but the philosophy really to me was a bigger element, a bigger issue in terms of pushing me in a certain direction in how my trading is going to look and what I needed to do to support a particular style of trading. That goes back to it's a gradual process that's happening in those earlier years that I was talking about trading for myself and trading for this small trading group that I put together and then my experiences - my three years as a Senior Trader at A.L. Management. You go through this whole process and as the whole time I'm looking at what is my strategy? How do I want to approach the markets? What is my strength? What do I want to do? I kept having a problem reconciling all the different strategies that I was reading about. There was a certain philosophical hiccup in my brain that I could not get my arms around. What it was, was the fact that my background in philosophy is more geared toward ancient philosophy. My father got me turned on the Aristotle and Plato and the Socratics at an early age and he was my professor for a lot of my classes in college. I was either well educated or brainwashed; I'm not sure which perspective I want to take, but I had a real passion for the classics and Aristotelian logic in particular. So the markets that I'm looking at I'm thinking OK, how do I want to trade? I'm thinking do I want to be...it seemed to me it didn't matter what I picked. If I was going to trade the markets on a fundamental basis, I am basically saying that I am looking back in the past and I'm looking at certain fundamentals that would make something cheap or expensive or that's what everybody says, that this stocks to use ratio the price ought to be X, or when this happens, or whatever, if you are in the stock market, the PE ratio. "For my field of study, which is Epistemology - the theory of knowledge - how do you know you know? How can you validate or verify anything that you know, and what gives you any confidence in what you believe is true?" You are looking at all these different events in the past and you are saying this will tell me in the future what value is and what it ought to be. If I am a technical trader I am going to look at the past and say here's a head and shoulders pattern and most of the time if that happens in the past... I've counted 75 times that it's happened out of X it seems to point in the future that this is going to happen. Pick a strategy, any strategy, at the end of the day I ran into a real difficulty with trying to understand just because it's happened in the past why does that mean it's going to happen in the future? For my field of study, which is epistemology, which is the theory of knowledge - how do you know you know? How can you validate or verify anything that you know and what give you any confidence in what you believe is true? Niels:  So universal truth I guess. Scott:  Exactly and that's what Aristotle basically said. He basically invented logic as what everybody accepted for 2,000 years. Everybody has been debating over the last 100 years or so whether it was right or not. He said in classical logic and syllogistic logic that when we put these propositions t...

Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 3:30 - Weekly review 14:00 -  Top tweets 26:55 - Question 1: Samuel; What is a good CTA trading cost hurdle rate? 34:10 Question 2: Samuel; Why do people say your biggest drawdown is always in front of you? 41:10 - Question 3: Michael; How much has your parameter set changed (and related questions)? 50:10 - Question 4: Francois; What do you know about Renaissance Technologies (Jim Simons)? 56:30 - Miami conference review+TF thoughts 1:10:00 - Performance recap Subscribe on:

A few years back, I had a great discussion with die-hard Trend Follower, Scot Billington.  I would like to share some key moments with you, including how to perceive past track records, and also some of the differences between the long side and the short side.  If you would like to listen to the full conversation, just go to Top Traders Episode 25. Deciding between Systematic and Discretionary Trading Scot:  ...I started putting together a trading model. In my opinion, they were three big picture decisions that somebody had to make when you talk about what kind of trader you are going to be. The first was discretionary or systematic and mechanical. So I would define discretionary as I bring in different inputs, whatever those inputs might be. I weigh them in a non-standard fashion, meaning that I don't weigh them necessarily the same way every time. I might bring in the same inputs, I might look at different ratios, but sometimes input A overwhelms input B, and sometimes input B might overwhelm input A. Regardless of what that might be, and then I would make the trade decisions in that fashion. Systematic I define as I do the exact same thing every time. I might argue that, if you have any discretion, then you are discretionary. So that even if I have a mechanical model, but I decide 7 times a year to override it, I suspect those seven times a year are going to be 7 of the more volatile and the larger outcome periods, and in essence you have a discretionary model, which is fine but you are a discretionary trader. "The primary reason that we wanted to be systematic is that we felt like we wanted the emotions taken out of the trading process." The reason that I and we have gone with systematic is three-fold. The first is that we wanted something that the efficacy of which could be at least estimated through historical modeling and backtesting and the like. So if I'm a discretionary trader, one of the difficulties that we found was how do I know that my theory is accurate? I think that XYZ, whatever XYZ is, it might make perfect sense, but what I have there is a good hypothesis that will be interesting to test, but I really have no method of testing it. Therefore, no way to prove that at least my idea had worked in the past. The second reason that we went with a more systematic model is that we felt that it would be much easier to apply to a wide variety of markets. If I was going to be..and that also ties into the inputs we might use...but if I were going to be discretionary, and I was attempting to trade the Yen and cotton, it would perhaps be very difficult to be an expert in both of those two markets. Now you could be discretionary and not necessarily have fundamental inputs, but that will be the second part of this answer. The primary reason that we wanted to be systematic is that we felt like we wanted the emotions taken out of the trading process. We wanted something that was repeatable, so that I could say the same decisions that I made in June of 2004 I'm going to make in December of 2018. It's the same process. It's a much more repeatable process than my weighing all these different factors. The other thing is that we think that it's...I don't know about impossible, but extraordinarily difficult to separate your decision-making process from your own emotional state at any given time. I think it's probably a bit fanciful to say that I would make the exact same decisions on the day that my wife left me as the day that my son won an Olympic gold medal. (This applies) also within trading: If I've just had 4 straight up 15% months I think it's extremely difficult to bring the same analysis as if I just lost...if I'm in the middle of a 30% drawdown. What we basically said was that my wife has just walked out on me should not have any effects on the trades that I take. So the second thing that we looked at was what kind of timeframe are...

Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Subscribe on:

"If someone wants a better return, they have no choice but to take additional risk, no matter how they feel about risk or how risk averse they may be." - Sol Waksman (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group, where host Niels Kaastrup-Larsen continues his conversation with Andrew Lo, the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management, and Sol Waksman, the Founder and President of BarclayHedge, Ltd. Listen in to learn the effects of politics in the financial markets and how trend following fits in, the state of cryptocurrency in the current market, and the advice our guests have for investors and their future. Subscribe on: In This Episode, You'll Learn: Why relatively so few investors have added managed futures and trend following to their portfolio, despite all the evidence The lessons different groups of people can still learn from the economic crisis of 2008 How political uncertainty affects where investors put their money "[Many of these finance] technologies are now creating new sub-industries. Who would have thought that cryptocurrencies would be a separate asset class, but it seems like it's emerging as such." - Andrew Lo (Tweet) What Sol sees as the constant lesson we should be learning from these periodic economic events Why investors have a hard time grasping the advantages of the liquidity that trend following brings to investments The present and future impact of artificial intelligence on the finance industry "What have we learned from this last stock market crash? I think we keep learning the same lesson, and that lesson is that when liquidity dries up, all correlations go to 1." - Sol Waksman (Tweet) Why Andrew believes the centralization to one cryptocurrency is inevitable The advice Andrew and Sol have for investors to prepare for the future This episode was sponsored by CME Group: Connect with our guests: Learn more about Andrew Lo and MIT Sloan School of Management Learn more about Sol Waksman and BarclayHedge, Ltd. "I think there were a lot of lessons that were offered by the financial crisis, but the real question is who actually took those lessons to heart." - Andrew Lo (Tweet)

Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 00:00 - Intro 00:50 - Weekly review 23:00 - Top Tweets 43:40 - Question 1: Michael; Can we apply TF principles to things other than markets (real life)? 48:50 - Question 2: George; What is your competitive advantage? 57:55 - Announcement: Meb Faber will be joining the group in late February, send questions 58:35 - Performance recap Subscribe on: