Top Traders Unplugged

"I was going through one of those inevitable losing streaks [early in my career] and I had a fundamental question. Does anyone make money trading the futures markets, or is it all a casino set up for the benefit of the exchanges?" - Sol Waksman (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group. On today's episode, host Niels Kaastrup-Larsen speaks 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. Our guests today have many years of experience in the world of  investing and have watched the finance industry as it has gone through it's many changes. Listen in to learn the historical importance of separating the alpha from the beta, the increase of the volatility of volatility since 2007, and common misconceptions about diversification in a portfolio. Subscribe on: In This Episode, You'll Learn: How our guests got their starts in finance Why Andrew thinks that sometimes things need to be believed to be seen Why separating the alpha from the beta has been revolutionary for the entire financial industry "Markets are efficient most of the time. Every once in a while, human behavior ultimately overwhelms the kind of rational deliberation that efficient markets are based on, and we do see periods of fear and greed that ultimately take over. But it's not one or the other, it's both." - Andrew Lo (Tweet) How the narrative of finance and investing has changed over time in the futures industry The increase in the volatility of volatility over the last decade and what that means for managed futures "I think that for the most part, investors misrepresent what they want." - Sol Waksman (Tweet) How the abundance of passive investing tools has changed the investor's experience during market changes What investors are looking for in their tools and strategies What alternative strategies are investors looking at now "The one lesson we learn from academics throughout the whole process of passive investing is that diversification is really key." - Andrew Lo (Tweet) The experiment Andrew does with his audiences he speaks to on their investment preferences What investors need to understand about diversification and risk 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. "A stock index has no relevance to the performance of a CTA, but if you calculate alpha by regressing against the stock index, you have a number that is absolutely meaningless." - Sol Waksman (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 02:25 - Weekly recap 08:40 - Top tweets 24:05 - Question 1: CR Capital; Thoughts on Winton retreating from TF 30:55 - Question 2: Bill; Do you add to positions as the trend progresses 34:35 - Question 3: George; Why don’t you include short-term TF systems in a robust TF system 44:40 - Question 4: Nick; How would I know if I’m curve fitting my systems 53:10 - Question 5: Richard; Several questions about: historical data distributions; long-term trend following efficacy and related concerns 1:03:00 - Performance recap Subscribe on:

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 01:40 - Weekly review 07:30 - Annual review 22:00 - Top Tweets/Related discussions (Good info on process/philosophy this week) 40:20 - Questions 41:00 - Question 1: George 45:00 - Question 2: George 50:00 - Question 3: Michael 1:08:00 - Performance rundown Subscribe on:

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 1:55 - Weekly review 13:00 - Top tweets 35:30 - Question 1: George; Is there a best system to trade trends? 49:20 - Question 2: George; Why have discretionary macro traders outperformed TF? 55:25 - Question 3/4: George; What is a safe expectation for systems in terms of CAGR to Drawdown? Do you think a “golden” period for TF like the 1970s will come back? 1:04:00 - Question 5: Liew: What price should my trailing stop reference (high, low, close, etc.)? 1:08:00 - Performance recap Subscribe on:

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 1:50 - Weekly review 5:50 - Top tweets 19:30 - Question 1: Michael; Are trend followers relaxed (in terms of personality) in general? 23:00 - Question 2: Michael; Why does TF in stocks work? 28:30 - Question 3: Michael; How do you measure single stock correlation? 33:05 - Question 4: Nick; Do you ever front run your systems? 35:00 - Question 5: David; Have you ever been through a market similar to this year (2018) and how did it turn out/what did you learn? 38:45 - Question 6: Can you give us a proven TF strategy (ex. Donchian)? 43:05 - Question 7/8: Timothy; Has too much diversification hurt TF in the last decade? Should TF focus on markets that are trending? 52:10 - Question 9: Anish; How do you identify relative strength and accordingly allocate capital between different asset classes? 59:55 - Question 10: Does the intensity of trends change over time? 1:04:30 - Question 11/12: Have the markets changed during your time as a trader and if so how? If a market has been trending is it more likely to continue trending than to reverse? 1:16:10 - Question 13: Nitesh; Is Short-term TF impossible now or does it need to be done differently from medium to long-term? 1:18:00 - Question 14: Dave; How do you select a universe of single stocks for TF? 1:21:20 - Question 15/16: Ted; What are the parameters you use around Nat Gas? With high volatility swings, how do stay in a position? 1:25:50 - Performance recap Subscribe on:

A while back I had a very memorable time talking with Anders Lindell, discussing many trading related topics.  There was one part in particular that I want to share where Anders shared his understanding on US institutions and how they deal with asset allocation and position sizing.  If you would like to find out then read on! If you would like to listen to the full conversation just go to top traders episode 23 and Episode 24. US institutions Dealing with Asset Allocation, Position Sizing Niels: Now before we jump into the first topic more specifically to IPM, I want to ask you... you mentioned the traditional 60/40 bond stock, or stock bond, depending on whether you were European or whether you were a US institution - they seem to have a little bit of a different asset allocation, as far as I remember. The world has changed in the last 10, 20, 30 years of course, and I just wonder, from a really big picture point of view, how do you see them dealing with this asset allocation, not from what you do, but from what they do and how they may interact with firms like you. Are they becoming more open, so it's not just 48/52 that they changed to or whatever it might be, are they starting to take bolder decisions in their own asset allocation? Anders:  There's a whole range of answers to that. I think, generally, the answer will be yes, on sort of a global basis. "In Europe, finding a long term institution having a hedge fund allocation exceeding 3%, 4%, 5% would be unusual. " I think if you look at US institutional investors; they probably come further than their European counterparts in allocating very significant parts of the risk budgets to folks like ourselves, and generally hedge funds. Whereas, in Europe, finding a long term institution having a hedge fund allocation exceeding 3%, 4%, 5% would be unusual. Finding the same in the US would be the norm, being north about even up to 10%, 15% that would be the norm. But then you have, obviously, various examples. If you look at your own native country and the big pension fund there, ATP they instituted, I believe about 10 years ago, a radically different asset allocation structure from the traditional, where they basically, and you can correct me if I'm wrong here, but basically what they do is they sort of equal weight their risk budget across 10, 15 different asset classes ranging from infrastructure to traditional markets. So people are doing a large number of different things, but I think the general observation holds true that North Americans, generally speaking, are much more into seeking alternative sources and allocating significant parts of the risk budget to those alternative sources of returns, than Europeans are. Obviously this also has something to do with the state, generally, of the pension systems. If you look at US pensions, corporate and state, they are generally underfunded to a very large degree - 60%, 70% funding ratio, whereas most European countries that have funded pension systems, would have significantly higher funding ratios. Many of them actually 100% or better. So this obviously changes your long term strategic allocation. Yes, you have to match liabilities, but if you are underfunded, and if you are running something at 70% funding ratio, than you better seek methods to make up for the shortfall pretty quickly. Another major point that I want to mention is a time horizon or investment horizon. People may trade in or out, or create trends and prices may deviate, you know that's noise of the shorter time spans. We're trying to step back and avoid that by explicitly trading and holding positions a longer period of time Niels:  A couple of things that come to mind when you say that. In one sense, it actually is a great injustice, not just to your strategy,

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 1:30 - Weekly review 11:50 - Top tweets and much more 45:50 - Performance recap Subscribe on:

At the very beginning of my podcasting career, I had a great conversation with Mike Dever covering many trading related topics, one of which were the different approaches to trading. And there was One segment I really liked in particular, and which I would like to share with you today.  It was a segment where Mike shared his own systematic approach to trading and as you listen to it, we need to keep in mind that Mike was not always a systematic trader.  If you would like to listen to the full conversation just go to top traders episode 3 and Episode 4. From Discretionary Trading to a Systematic Approach Niels: And the Benchmark program, was that systematic and completely without discretion? Or did you keep sort of your discretionary trading in there? Mike: No, we didn't. It was fully systematic. But what we did was look at a lot of types of trading that I did through the '80s and try to capture that in a systematic fashion. So, for example, we had a number of strategies that were based on market reaction to news events or reports. Because I traded a lot of that type of event reaction in my discretionary trading. So, we systematized the approach, captured it in the best way we possibly could and included that in the Benchmark program. So, there were a number of strategies in Benchmark that were based on sort of that intuitive or discretionary feel. "We had a number of strategies that were based on market reaction to news events or reports " But instead of relying on the black box of the brain to interpret everything correctly each day, it followed a rigid set of rules to be able to repeat the process every time it reoccurred. Niels: And so, in that sense, just to be clear, were you convinced, even at that time early on, that if you were going to be successful from an investment management point of view, you had to be systematic? Was that something that just was obvious at that time? Or was it more of an operational issue where you say "Okay, it's actually easier if I can do it systematically." Because the systematic side of things is partly, I think, an operational issue, but it's also an emotional issue, in my opinion. Mike: Absolutely. The one thing you get from systematic...the one main thing I think would benefit the majority of traders out there is the discipline that it brings to the trading. You can sit there and say as much as you want as a discretionary trader "I'm going to cut my losses at these levels, I've got a bad trade, I'm going to get out when it does this." But not everybody does that. And you may do that for a while, but at some point, there's that constant battle where you're sitting there saying "But it's a great position. I've got a great position." And I've been reading some books about the financial crisis. And one the things that you see there that's the same as what you had with long-term capital, is just that utter breakdown in risk management discipline. And it's easy for a person to sit and rationalize why "You know what? The risk management wasn't designed for this scenario." Or "This was a great trade 10% loss ago. It's even better now." So, I'm certainly not going to get out of it today and just ride it into the ground. So, the one thing, if there's nothing else that you get from systematic trading, is the disciplined risk management approach to trading. Related to risk management comes draw downs. I'd love to know how you or whether you do predict in your testing and analysis a level of expected draw down for the way the portfolio operates. Is that how you come up with the overall balance to say, "We're happy to do this, because we expect it to have," as you say, "a certain level of return, a certain level of standard deviation?" I don't know whether you relate that standard deviation to draw downs as well or how you look at that. Mike: Yeah,

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:

"I would say that 90% of the people I've talked to that have made investments have actually used the term 'picks and shovels', and I'm starting to worry about whether the picks and shovels trade is the crowded trade, not the crypto trade." - Roy Niederhoffer (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group where guest host Chris Solarz continues his conversation with Tim McCourt, the Global Head of Equity Index and Alternative Investment Products at CME Group, James Koutolas, CEO of Typhon Capital Management, and Roy Niederhoffer, President of R.G. Niederhoffer Capital Management. Listen in to learn more about the future of cryptocurrency technologies, the unprecedented strength of the blockchain in Bitcoin, and how the SEC and world economies are looking into cryptocurrencies. Subscribe on: In This Episode, You'll Learn: How pick-and-shovel plays are faring in the crypto market Why Roy is hesitant to make any judgments about the future of cryptocurrency technologies What people are calling the "inconsistent trinity of crypto" The future of scalability in crypto "To me, [the blockchain] is the most secure electronic security ever created." - Tim McCourt (Tweet) Why the cost of trading crypto is not an issue to worry about What makes the blockchain one of the most secure things ever created What makes Bitcoin "anti-fragile" Where the SEC stands now on regulation of Bitcoin "That's one of the most interesting things about the blockchain, is that it's a living breathing digital organism." - James Koutolas (Tweet) Why James worries about ICO's and the security behind them What makes Bitcoin such a unique trading commodity Why James sees new all-time highs in Bitcoin in 2019 This episode was sponsored by CME Group: Connect with our guests:   Learn more about James Koutolas and Typhon Capital Management Learn more about Tim McCourt and CME Group Learn more about Roy Niederhoffer and R.G. Niederhoffer Capital Management   "The barriers represent opportunities, the negative feelings represent bearish sentiment. As they say with the stock market, the S&P climbs a wall of worry; there has never been a wall of worry as high as the crypto wall of worry." - Roy Niederhoffer (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 0:00 - Intro 1:45 - Weekly review 14:55 - Top tweets 39:40 - Referenced paper: Stock market charts you never saw by McQuarrie 40:15 - Question 1: Patrick; Longer question on notional exposure relative to actual capital 47:05 - Question 2: Brian; What causes drawdowns in TF? 56:05 - Performance recap Subscribe on:

"The reason that I'm so bullish on crypto is that it's the first fixed supply asset that has ever existed in human history, with all of the characteristics of money, but without the vice of overcreation, which has happened 100% of the time in human history." - Roy Niederhoffer (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group. On today's episode, guest host Chris Solarz speaks with Tim McCourt, the Global Head of Equity Index and Alternative Investment Products at CME Group, James Koutolas, CEO of Typhon Capital Management, and Roy Niederhoffer, President of R.G. Niederhoffer Capital Management. Our guests today are at the forefront of cryptocurrency investment and their views give insight on where it is headed, from public acceptance to their integration in managed futures. Listen in to today's episode to learn what makes cryptocurrency unique in human history, the long-term effects of investment, and the new developments that change how we invest them. Subscribe on: In This Episode, You'll Learn: What makes Bitcoin so unique among the history of currencies The differences between Ethereum and Bitcoin What challenges CME faced in creating a futures on something virtual "The challenge [in making the Bitcoin futures] was making sure that as we brought this product to market, that we implemented all the proper risk controls, credit controls, and clearing protocols to give people the confidence and safety to transact something as new as Bitcoin." - Tim McCourt (Tweet) How interest in cryptocurrency has changed over the last couple of years Why the guests disagree about the public long-term interest in cryptocurrency The historical precedent for the benefits of futures in the economy "The amount of venture capital money going in to [the cryptocurrency space] is just overwhelming." - James Koutolas (Tweet) Why it takes various kinds of traders to make the financial system work so well The trading strategies around cryptocurrency and how it has evolved This episode was sponsored by CME Group: Connect with our guests:   Learn more about James Koutolas and Typhon Capital Management Learn more about Tim McCourt and CME Group Learn more about Roy Niederhoffer and R.G. Niederhoffer Capital Management   "I think that the one thing investors really better be cautious about is when they invest in a 'crypto hedge fund', that they're investing in something that's not just long crypto." - James Koutolas (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 0:00 - Intro 1:30 - Weekly review 26:50 - Top tweets 35:50 - Question 1: Brian; How do you onboard clients? 43:40 - Question 2: Mike; If you could only choose one word to describe the key benefit of TF what would it be/how would you describe TF in a minute or less? 50:10 - Question 3: George; Since TF rules are known, why hire a manager (vs build my own TF strategy)? 1:00:30 - Question 4: George; How should an investor select a specific TF manager? 1:05:20-  Question 5: George; Why hire an active TF manager with higher fees vs hiring a lower fee TF “beta” manager? 1:09:30 - Question 6: Francois; Are there CTAs/HFs still using point and figure charts? 1:13:00 - Performance recap Subscribe on:

"What is your edge? Why do you think you have it? Why do you think it will persist?" (Tweet) Moritz Seibert and I continue our conversation with Doug Greenig, talking about the many different ways risk can manifest in your firm, how best to minimize it, and why building a strong team is one of the most important elements in staying ahead in the trend following space. Listen in to learn the many benefits of getting into exotic markets, how to best manage your risk, and what all investors should be asking themselves to better their portfolio. Thanks for listening and please welcome our guest Doug Greenig. Subscribe on: In This Episode, You'll Learn: What makes the exotic market space so good to trade in right now How Doug knows there is still a lot of room left for trading in the exotic market space The difficulties Doug has had in attracting investors to investing in exotic markets Why momentum should be your key signal when investing in exotic markets "When things break and start moving quickly, if you're trading momentum as opposed to other kinds of signals, you're very likely to be going in the right direction. Then, when the peak of the crisis occurs, that's when liquidity 'dries up'." (Tweet) The role cash equities play in Doug's portfolio Why Doug has reservations in trading VIX The different varieties of risk and how to minimize them The importance of focusing on model risk "I don't want to spend a lot of my time having to worry about, or explaining our position in volatility, because the VIX can positively explode." (Tweet) Benefits of building and maintaining a good team What questions investors should be asking themselves Connect with Florin Court Capital: Visit the Website: Florin Court Capital Call Florin Court Capital: +44 207-016-3473 E-Mail Florin Court Capital: info@florincourt.com Follow Doug Greenig on LinkedIn "The [exotic market] space has a fair bit of room to grow. The CTA space has about 300-350 billion in AUM, and we're talking about a number in the neighborhood of ten for the exotic markets." (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 0:00 - Intro 0:45 - Weekly review 9:15 - Top tweets 14:20 - Paper from Jim O'Shaughnessy from 1987 29:50 - Question 1: Andrew; How do you get the TF message across to advisors? 39:40 - Question 2: George; Please discuss position sizing. 39:40 - Question 3: George; Please discuss how far stops should be from entry (5%, etc.) 39:40 - Question 4: George; Do you think the future is a hybrid of TF and discretionary? 52:10 - Question 5; Francois; Long question about correlations 57:15 - Performance recap 58:00 - Additional discussions of systems trading Subscribe on: