Top Traders Unplugged

"Over the years, I have allocated to a lot of short term CTAs… but due to the alpha decay factor to short-term models, not really made any money from it." - John Fidler (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 Ranjan Bhaduri continues his conversation with John Fidler, Senior VP and Director of Alternative Investments at Commonwealth Bank and Trust, Christopher Vogt, Director of Equity Strategies at Margaret Cargill Philanthropies, and Jonathan Miles, Managing Director of Ascent Private Capital Management of U.S. Bank. Listen in as our guests talk about management fees and how they have changed over the past decade, the importance of constantly checking your assumptions, and what wisdom they would give to young up and coming investors. Subscribe on: In This Episode, You'll Learn: Why John and Jonathan don't spend much time looking at short-term CTAs How fee compression has changed management fees over the last decade When our guests choose discretionary over systematic managers The role of alternatives in a portfolio, and why Christopher doesn't call them alternatives "I would urge people to be cynical, and what I mean by that is Wall Street is about product creation, not about performance." - Christopher Vogt (Tweet) Why Christopher urges people interested in the investment space to be cynical Why in a world of complex models, John sees simplicity as a good thing The most important decisions in Jonathan's work, and why they aren't necessarily financial decisions Why many people's view of model risk can hurt them and their investments Why macro strategies will always remain strong This episode was sponsored by: Links Mentioned: The Impact of Crowding in Alternative Risk Premia Investing Hedge Funds Are Not an Asset Class: Implications for Institutional Portfolios Connect with our guests: Learn more about John Fidler and Commonwealth Bank and Trust Learn more about Jonathan Miles and Ascent Private Capital Management of U.S. Bank Learn more about Christopher Vogt and Margaret Cargill Philanthropies "Everybody understands management and incentive fees. Let's just set it in such a way that investors feel it's fair." - Jonathan Miles (Tweet)

I often see the press write that too much money is chasing the same trends, and this being the reason that Trend Following strategies have been performing a little under par in the last few years.  So who better to ask if this really is true, than my friend Kathryn Kaminski, who of course co-wrote the bible on Trend Following with Alex Greyserman… as well as a book with me, that you can find on my website.  We also discussed how they conducted their research for their book, where they went back a very long time to test if Trend Following models really do work over centuries of data… so I think you will find this part of particular interest.  I hope you enjoy these unique takeaways from my conversation with Kathryn and if you would like to listen to the full conversation, just go to Top Traders Unplugged Episode 41 & Episode 42. Return of the Trend: 'It's all about Correlation' Niels:  I had a question the other day from someone here based in Switzerland, Roman, in fact, and he asked about people's perception about Trend Following that perhaps it's performed poorly in the last couple of years because there's been too much money chasing Trend Following after the great year of 2008. When you hear something like that, what comes to mind? Katy:  Well, I actually just wrote an article which is coming out for Eurex on this exact topic, and I call it Return of the Trend: It's All About Correlation. I'll just give you a view on this. If you look at a Trend Following system, any portfolio system in general, we depend on correlation. We depend on the diversification across markets, and regardless of looking at the capacity in the industry, not even thinking about that, if you take a graph of correlations pre in the last twenty years, it almost looks like a step function. So up until 2008 the correlations are pretty low across all futures markets, and they just shot through the roof in 2008 and they stayed there until earlier this year, or until late 2013. If you think about portfolio construction, the returns of Trend Following is driven by divergence and we've had some divergence over this period of time: quantitative easing, all sorts of events like the nuclear meltdown in Japan, those are diversion events, but in this sharp ratio is also the diversification and the risk. When you construct a portfolio, it's not only the volatility, which has been low, but also the correlation across assets that allows you to have proper diversification. Correlation being high means diversification is low, which means that even though there maybe some trends, there's a lot of risk because it's sort of like a one trade world. If you look at that, that coincides with a period that has been difficult for Trend Following strategies. So they do have profits in some areas, but there was just not enough diversification across their portfolio I think to support their performance as consistent with history. Niels:  Sure, sure. The next area I want to talk about is what usually is the trading program, but today, in our conversation it will be about the trading strategy or the model, however  you phrase it, that you've used in your study that really represents the performance over this long period. Tell me about how you and Alex constructed this and feel free to go into as much detail as you want. Katy:  OK, yeah, this is a very important and good question, Niels. One of the chapters of our book that I'm most excited about is actually chapter 3, and this is one called Systematic Trend Following Basics. I found that when I looked at most other books on trend following, and those sort of descriptions, it's very hard to find a specific formula that you could use as "this is the formula" for Trend Following.  So what we did, instead, is we tried to create a framework with one formula. '..we focus on creating one formula for Position Sizing, which is a function of several key variables."

This week, we invite special guest Wayne Himelsein onto the show from Logica Capital Advisers, in Los Angeles.  Wayne explains his journey into starting a Hedge Fund, some of the lessons he has learned over the years, and some of the rules that keep him from repeating past mistakes.  He describes why he loves Trend Following, why embracing ‘uncertainty’ can have a positive effect on Trading, and how he typically constructs a portfolio.  We also discuss why Wayne prefers long trades over short trades, how he uses Options, if stop-losses are a good idea, and if volatility has an effect on the size of his positions. 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 & Wayne on Twitter: @TopTradersLive, @RJparkerjr09, @MoritzSeibert & @WayneHimelsein And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Subscribe on:

"Not all managed future strategies are created equal." - John Fidler (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 Ranjan Bhaduri speaks with John Fidler, Senior VP and Director of Alternative Investments at Commonwealth Bank and Trust, Christopher Vogt, Director of Equity Strategies at Margaret Cargill Philanthropies, and Jonathon Miles, Managing Director of Ascent Private Capital Management of U.S. Bank. With these experts on managed futures, we will discuss how managed futures is being incorporated into institutional portfolios, illiquid versus liquid investments, and what role alternative investments play in today's investment landscape. Subscribe on: In This Episode, You'll Learn: What managed future strategies John sees the more successful managers gravitating towards Why diversification isn't always the best idea, and what alternative strategies Jonathan recommends The advantages and disadvantages of having illiquid versus liquid investments "What is proven in behavioral finance is that people tend to underestimate the value of liquidity." - Ranjan Bhaduri (Tweet) The heuristic crutch of private equity Why Christopher is wary to always choose emerging managers over more established ones The importance of a strong operational due diligence in managing portfolios "Quant processing is so cheap. We can all buy computers for almost nothing, and I think that might make it much more challenging as we go forward, given that there's so much easy and inexpensive quant processing to search for anomalies or alpha opportunities." - Christopher Vogt (Tweet) How trend following will need to evolve amid machine learning and changing markets How Jonathan's risk premia strategies transformed how his firm looked at managed futures This episode was sponsored by: Links Mentioned: The Impact of Crowding in Alternative Risk Premia Investing Hedge Funds Are Not an Asset Class: Implications for Institutional Portfolios Connect with our guests: Learn more about John Fidler and Commonwealth Bank and Trust Learn more about Jonathan Miles and Ascent Private Capital Management of U.S. Bank Learn more about Christopher Vogt and Margaret Cargill Philanthropies "Diversification for the sake of diversification isn't actually worth it for us." - Jonathon Miles (Tweet)

Are CTAs giving the wrong message by charging low performance fees? Is there a perfect amount of AUM to aim for?  Can Systematic Trading keep you happy?  How accurately can we predict future returns?  We discuss whether Trend Following  is easy enough to do at home, or if you should do it through a reputable fund instead.  What sort of things can be found in a ‘Research Graveyard’?  Should you use Stop Losses, and if so, how and where should you place them?  We answer the question of what makes a strategy robust, as well as how to avoid over-complicating a Trading System. 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 And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro 2:00 - Weekly review 5:55 - Top tweets 50:00 - Announcement: Next week’s guest Wayne Himelsein 50:50 - Question 1: George; What are the operational realities of running a TF business? 56:55 - Question 2+: Craig; Please discuss the research that didn’t become part of the system. 1:02:20 - Question 3+: Carl; Series of questions about stop loss mechanics (initial, ATR, trailing, etc.) 1:10:15 - Question 4+: Michael; What are your thoughts on variable count in robust systems? Do you tailor models to specific markets/sectors? 1:24:40 - Question 5: Uncle Mike; What works best for stops? 1:28:25 - Performance recap Subscribe on:

For those of us who have been on the manager side for a while, you'll know that investors love to analyse decades of performance data before deciding which manager they are going to invest with, and that makes a lot of sense.  But we also come across investors who subsequently redeem based on just a year or two after they invested, which is usually just down to bad luck and unfortunate timing.  This does not seem logical, but it does relate to the short conversation I want to share with you today, where I discuss the role and importance of track-records & back-tests with Scot Billington.  We also ended up discussing an interesting twist to their research, which led them to abandon taking any Short Trades in their model.  So enjoy these unique insights from Scot, and if you would like to listen to the full conversation, just go to Top Traders Unplugged Episode 25 & Episode 26. The Long side vs the Short side Niels:  Now, track record...we've touched a little bit upon the track record. What I'd love to do is to ask you how one should read your track record because we all know that strategies evolve over time, and, therefore, in a sense, one could say that actually a track record...sure it shows that you survived. It shows that you have had some innovation, but I think sometimes people maybe get fooled to believe that a track record is a great indication of what the future is going to look like because they really don't know what changes have happened along the way in the model. So in some ways one could say that maybe it's better to look at the backtest of the current model when you look at a manager, maybe that would say more about the future, I don't know, but I'd love to hear about what your view and what your observation is about your own track record, because you mentioned the short side of things, and I know there was a period where I think you didn't take any short trades at all, so I'd love to hear your philosophical view about short trades, because I don't think many people realize that there is a big difference between the long side and the short side in terms of success and profitability, but also generally maybe putting that into context about your own track record and why you made the changes along the way? Scot:  Well I think you make an excellent point about track records. I think people look at them as some kind of a one loss record in a sporting event, and they miss the enormous amounts of variance and randomness that happened to have lined up and occurred to produce whatever monthly return is shown, or daily return. I think that most groups don't do enough qualitative analysis of the trading method, and simply crunch performance numbers as though they're the end all be all of what the future is going to be. You make an interesting point. I would probably argue that a backtest of the current running model is probably the best, except that it is also going to...if you are hoping to be a 5 or 10 year investor, there're going to be future changes. And so what I might say is, as we've progressed, our changes have been successful, and therefore perhaps one would conclude that our future changes would also be successful. That's a different discussion. Our first major change to the model was in early 2002, was basically eliminating short trades and using a volatility filter for long trades. 'Niels: So why did you make a change to eliminate Short trades back in 2002? Scot: Well, a Short trade is bounded by zero, so it's going to face several hurdles' Niels:  Were the short trades the cause of your drawdown back in the beginning? Scot:  No, no. Niels:  So why did you make a change to eliminate short trades back in 2002? Scot:  Well, short trades, and this is particularly appropriate in our timeframe, on a shorter timeframe I don't think this would not hold as much. Let's imagine in our timeframe we're trying to hold a good winner fo...

Does Systematic Trading completely eliminate all emotions from the process?  Is it wise to use Stop-Losses?  Should CTAs target low-volatility & average returns, or high returns with higher possible volatility?  Can a finely-crafted Trading System be considered in the same way as a fine piece of art?  Are all Trend Following systems essentially the same?  We also discuss if intricate rules are better than ‘broader brush-strokes’, if it really is ‘difficult times’ for Trend Following or simply Recency Bias, as well as touching on the value of managing and owning your emotions throughout a trade.  Also, we discuss how to deal with an upcoming Futures contract rollover, and answer the question: just how important is the ‘Execution Desk’ at a Trading Firm? 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 And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro 1:50 - Weekly review 5:30 - Top tweets 1:12:00 - Questions 1&2: John; If a trade signal comes just before a roll date, do you move the roll forward to avoid trading twice? Do you ever try to “game” a roll to make a profit? 1:17:30 - Question 3: Michael; When the system designer and the executive are not the same person, how does the executive have confidence in the system/work of the system designer? 1:23:30 - Performance recap   Subscribe on:

Kathryn Kaminski is one of my favorite people to discuss Trend Following with, because she has a great way of simplifying and explaining some of the key concepts of the strategy.  Today, we talk about the phrase Crisis Alpha, and how it may be better to think about these strategies as Divergent strategies, because in reality we don’t need a crisis in order for Trend Following to do well. Years like 2014 and 2017 are great examples of this.  Q1 of 2019 is perhaps a more recent example too. We also touch on Convergent strategies, which, in my mind, are 'short volatility' strategies- even if not all investors realize this. I think 2018 gave us a taste of what is to come when volatility starts to re-emerge in the markets.  So enjoy these unique takeaways from my conversation with Kathryn, and if you would like to listen to the conversation in full, just go to Top Traders Unplugged Episode 41 & Episode 42. Is Trend Following just a hedge for bad Equity markets? Niels:  Absolutely. Now, I want to stick with the cover of your book and especially the last part of the title: The Search for Crisis Alpha. Now, I know you are responsible for coining this term ‘Crisis Alpha’ and I want to talk to you about this. Before I do so, I also want to offer a slight concern that I have about the perception of the role of Trend Following in a crisis and it goes something like this. The way I see Trend Following being positioned, and this is not new. This is something that has happened for many, many years. It's kind of a hedge against equity markets if and when they run into trouble, and that always gets labeled as we're in some kind of crisis and that's obviously where the crisis alpha is linked to, but there are far more bonds than equities in the portfolios of investors and I never really hear any debate about trend following as "a hedge, or a protection" against periods where bonds might run into trouble. Especially in a time where bond prices are, to say the least, very high, how do you think about that and is there a concern that when we hear the word 'Crisis Alpha' and trend following, that people automatically think that this is relating to equities? Katy:  So now going back to your point about bonds and commodities. That's something that really bothered me as well, because I kept getting that question all the time. So in the book we talked about crisis alpha for commodity indices. We talked about bond crisis alpha. We talk about commodity crisis alpha, but over the course of writing this book I actually had moved more towards a new idea, and this is the idea of divergence. What we do in the book is we explain that trend following strategies are long divergence. What that means is that the most divergent moment in history is always crisis, wherever it comes from. Yeah, so crisis alpha is part of that. That's extreme divergence. The story is a little bit more clear to me now that it's really about being long divergence in markets, and divergence can be driven by many things. The reason that equity is the central point is that most of us have a home biased equity markets. Our focal point from an emotional standpoint, are equity markets, so they have a little bit more impact on the psychology of the general marketplace, and that's why they can be more extreme, but they're in no way the only thing that drives divergence. "Convergent risk-taking strategies are used when we believe that the world is somewhat stable, knowable, understandable, and quantifiable.  Divergent on the other hand.." Niels:  Sure. I want to talk about the convergent and divergent strategies, and I'd love for you to explain this, but I have to say, I think certainly that many investors are perhaps not... and maybe we don't have enough data, but it will be interesting to see how trend following may actually also be very, very useful in a period where we get a massive crisis in the bond markets, which,

Is it wise to adjust position-size according to recent volatility? Can back-testing a Trend Following strategy end up as just being a form of curve-fitting? We discuss the merits of Long-Term evidence over Recency Bias, the importance of Sharpe Ratios, the significance of price gaps, and whether leverage is a necessity for all CTAs. You will hear our thoughts on the idea of risking 1% per trade and how diversification affects this, the pros and cons of a crowded Trend Following market, and we touch on the topic of whether or not a trade can be held for too long. 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 And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro 1:45 - Review of last week’s episode with Jesse Felder 6:45 - Weekly review 11:00 - Top tweets 32:20 - Question 1: John; Are you always fully invested? 41:00 - Question 2: John; Across all trades, how much total risk is there in a TF system? 46:30 - Questions 3/4/5/6: Woody; What are the pros and cons of using managed futures in ETFs vs mutual funds vs other vehicles? Will liquid alts suffer from a big bank crisis? Do you need leverage and concentrated positions to get the benefits of managed futures? Is there a disadvantage of using 'blue chip' managed futures mutual funds? 1:07:30 - Question 7: Brian; Why do investors use Sharpe ratios? 1:15:50 - Question 8: Sam; What are your thoughts on price gaps? 1:19:30 - Questions 9/10: Andrew; Do you use Trend Following signals to manage your cash positions? How does DUNN use swaps in relation to fees? 1:26:50 - Question 11: Sam; Is there a time period that is too long-term for a trade? 1:31:00 - Performance recap Subscribe on:

Often, a Trend following strategy is described as being a 'Black Box', as if something bad was going on.  So it was refreshing to hear Scott Foster talk about Trend Following as being in fact, a 'White Box', or a 'Transparent Box', in comparison to other algorithmic strategies, which are often embraced by investors to a much larger degree... so I’m delighted to share this blog post with you, from a conversation I had with Scott Foster, where he also touched on the essential question: Why are there trends, and why ought there be trends in the future?If you would like to listen to the full conversation just go to Top Traders Unplugged Episode 27 and Episode 28. Will Trends Always Exist In The Market? Niels:  But that was a very important explanation and it ties into so many other things and want to go further than this but I want to actually ask you a question that actually doesn't relate to short-term trading, but it's my kind of trying to understand what it is you are saying and putting it into a slightly different perspective and that relates to more generally speaking about trend following because, obviously, as we know, you mentioned 1994 and I remember seeing all the great guys sitting lined up at a conference in Chicago and talking about a very difficult period, but they were convinced that this was just a difficult period and things would come back. But let me ask you this, trends in markets in general, not necessarily short term, but just generally, is that kind of based on universal truth, because at the end of the day trends reflect human behavior and human behavior will never change, and what we are seeing now then, where perhaps there have been a lack of trends for a period of time is just part of a normal cycle. Scott:  Absolutely. I often express my- I won't say unhappiness, but, I think trend followers could do a much better job of explaining what they're doing. Everybody seems to want to be a scientist. There's nothing wrong with that it's just that...I gave a talk a few years ago in Monaco on this about the difference between what we would call black box and what I would call white box. I was trying to make a differentiation between some forms of systematic trading and some forms of systematic/algorithmic trading and the fact that the best majority of people outside, they're in the alternative industry and won't invest in systematic strategy because they don't feel like they have the expertise to understand them or the mathematical skills to, and I was trying to make a case that, well, as it pertains to the vast majority of managed futures, they're not black box, and the reason being is what are they going after? I tried to make a case that they're going after a universal. When you ask a trend follower why do you make money? If they start talking about formulas and all of this type of stuff, the question is (really the only way they can make money is if there are trends)...the question is why are there trends and why ought there to be trends in the future? A trend follower asked, how are you going to make money in the future? I think they should respond because trends cannot not exist. 'If a Trend Follower is asked, how are you going to make money in the future? I think they should respond: 'because Trends cannot not exist.'' What exactly in particular does that mean? Well, it's what you said, it's the fact that at least in a free society, markets exist to create efficiencies for the greater good and if the price of wheat...if we start running out of wheat, the price has to go higher...it has to ration the remaining supply, it has to ration the remaining demand, it has to increase the supply. It has to incentivize people to plant more wheat because we are running out of it and if we didn't have... futures markets were created for that purpose, and without them the prices of food would be fluctuating all over the place. At the end of the day,

In this episode, we’re joined by special guest, Jesse Felder, from The Felder Report & the SuperInvestor Podcast.  Jesse describes his journey into the markets, if he uses Trend Following strategies in his portfolio, why he thinks we’re in a Bear Market, and in the middle of a major ‘topping process’, what he thinks about Passive Investing, his go-to timing tools, and if Value Investing can be applied to non-equity markets such as Gold.  We also ask Jesse: does he use the VIX index for hedging? What is a normal day is like for him?  Jesse tells us why he considers Trend Following a good forecasting tool, gives us his thoughts on predicting versus reacting to price moves, and also lets us know what he’s currently reading. 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 And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro 1:50 - Weekly review 5:20 - Jesse reviews his background/influences 8:00 - Jesse describes his process 12:45 - Question from Francois: Would Jesse discuss his view we’re in/entering a bear market? 19:30 - Jerry asks Jesse’s opinion on passive indexing 25:40 - Niels asks how float reduction impacts passive investing 28:00 - Jerry asks if ZIRP impacts valuation-based investing 30:10 - Niels asks Jesse how a transition to an inflationary environment will impact investing 34:40 - Moritz asks if/how Jesse applies the value approach to all asset classes 36:50 - Moritz asks if Jesse trades the VIX or otherwise hedges tails Book reference: The Tao of Capital by Spitznagel 40:10 - Jerry asks Jesse’s thoughts on TF as a tool benefitting diversification 42:00 - Jerry asks Jesse’s opinion on the market not broadly recognizing the evidence supporting Trend Following 47:20 - Jerry/Jesse/Niels discuss forecasting and TF 50:00 - Question from George: Why is knowing what’s happening fundamentally better than just responding to price (i.e. trend following)? 56:20 - Niels asks Jesse’s view on Tesla 1:00:20 - Moritz asks how Jesse spends a typical day 1:01:30 - Niels asks what Jesse is reading now 1:03:20 - Moritz asks about Jesse’s interests/hobbies 1:04:40 - Niels asks about following Buffett/Munger and shifts in markets today 1:08:45 - Niels asks if Jesse applies analog analysis to markets 1:11:50 - Niels asks Jesse’s recommendations on things to read/listen to to learn about investing 1:14:00 - Performance recap Subscribe on:

  "This is where the populism intercedes with the market risks. I think people look at these risks as independent risks, so they're not looking at them and how they interrelate with the ecosystem of financial products, as well." - Chris Cole (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 guest host Chris Solarz continues his conversation with Chris Cole, the Founder and CIO of Artemis Capital Management, Matthew Sargaison, co-CEO of MAN AHL at Man Group, and Dan Stone, co-founder of Ionic Capital. Our guests today go over the changing markets and why despite trend following's recent underperformance, their clients still look to it as protection for their portfolio. They will also continue their discussion on the intersection of populism, politics, and quantitative easing, as well as the relationship between corporate debt and GDP and its long term trends. Subscribe on: In This Episode, You'll Learn: How the recent quantitative easing could be moving into quantitative tightening, and what that means for investors The intersection of populism, politics, and quantitative easing How opportunities in the markets are changing managers behavior "I think big institutions are so hedge fatigued, that they don't want to pay up for volatility of volatility. They are essentially saying, 'why do I need to buy fire insurance when the FED will put out my fire for me?'." - Chris Cole (Tweet) Why Matthew is happy with the current market environment Which asset classes currently offer a cheap volatility What the recent huge spikes in VIX meant for long vol and short vol traders "Is there a strategy out there that still gives you a positive expectation but has a meaningful negative correlation? Because it's so hard to find negative correlation in the hedge fund world or in the investment world more broadly right now." - Dan Stone (Tweet) Who in the investing space is looking for the protection of hedging for their portfolio Why trend following is still successful despite it's recent difficulties in the market The meaning of the recent change of Growth outperforming Value This episode was sponsored by CME Group and Managed Funds Association:   Connect with our guests: Learn more about Chris Cole and Artemis Capital Management Learn more about Matthew Sargaison and Man AHL Learn more about Dan Stone and Ionic Capital "It's going to be a wonderful time to make opportunity from change, as opposed to the last 10 years, which has been trying to squeeze juice out of a short vol trade." - Chris Cole (Tweet)

On today’s show, we give our thoughts on ‘Evidence-Based Investing’, David Harding’s latest comments on Trend Following, how much is too much ‘Open Risk’, as well as answering: what are some of the ‘Trend Commandments’?  Also, we discuss whether it’s safe or not to buy after a big upside price break or sell after a big gap down, whether Volatility should be ‘targeted’ in your portfolio, and if a system can be designed handle 'parabolic moves' better. 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 And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode Summary 0:00 - Intro 2:00 - Weekly review 6:30 - Top tweets 34:40 - Question 1: Michael; Have any of you backtested 2009 trades onward with one size fits all position sizing? 47:15 - Question 2: Dave; What represents too much open risk as a percentage of AUM? 56:55 - Question 3: Brian; How does a Trend Following system trade a parabolic market? 1:06:15 - Question 4: George; What are the commandments of Trend Following you reference in earlier episodes? 1:10:00 - Question 5: George; Could Moritz discuss why he dislikes a simple Trend Following system on just the S&P 500 when Meb Faber’s research shows it is effective. 1:12:40 - Question 6: George; Is Jerry’s infrequent overall risk reduction built into his system? 1:15:10 - Question 7: George; Most Trend Followers use stops, why doesn’t DUNN? 1:19:10 - Performance recap Subscribe on:

  "I think the idea is that the math of quantitative easing really matters. It's all about the shift at the margin." - Dan Stone (Tweet) Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group and the Managed Funds Association. On today's episode, which took place at the MFA's Network 2019 conference in Miami, guest host Chris Solarz speaks with Chris Cole, founder and CIO of Artemis Capital Management, Matthew Sargaison, co-CEO of MAN AHL at Man Group, and Dan Stone, co-founder of Ionic Capital. With these three world class volatility experts on the show, we'll be going deep into the current state of volatility, the ramifications of United States quantitative easing, as well as the economic effects on the market of various social movements around the world. Subscribe on: In This Episode, You'll Learn: How our guests got interested in the financial industry and data analytics The state of the market now and where it is headed in the future Why Dan sees the Quantitative Easing and its effect on market changes hurting long-term volatility "I think this period where we've had excessively low volatility driven by central bank quantitative easing and expansion of the monetary base has resulted in a build up in many of these strategies, and presents both an opportunity and a risk to the system." - Matthew Sargaison (Tweet) The hidden risks to the markets from the rise of populism Dan's "top five longball macro themes" and what we can learn from them Where Matthew sees opportunities in volatility today "What's the biggest risk to markets? It's if markets get the sense that central banks have lost control." - Dan Stone (Tweet) What it has been like as a long-vol trader for the last ten years, when you are up against the World's Central Banks Why you don't have to put your "end-of-the-world" hat on...just yet This episode was sponsored by CME Group and Managed Funds Association:   Connect with our guests: Learn more about Chris Cole and Artemis Capital Management Learn more about Matthew Sargaison and Man AHL Learn more about Dan Stone and Ionic Capital "You do not create 15 trillion dollars out of thin air supporting the longest bull market in history and expect to wind that back without some disruption in risk assets. That is the dominant macro theme going forward." - Chris Cole (Tweet)

Discussion points this week include, Volatility vs Risk, the differences between Trading and Investing, Zero Hedge’s comment about CTAs & Trend Followers being useless, and the NY Times article on high market skepticism while prices continue to go up.  Also, should CTAs be used as a tool just for ‘Crisis Alpha’, or something more? Can Trend Following be used as a timing tool?  What is the best sample size and look-back period when testing a system? 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 1:35 - Weekly review 5:30 - Top tweets 24:30 - TF needs a better slogan than “crisis alpha” – listeners are welcome to write in. 39:20 - Question 1: Antonio; How should TF work with traditional 60/40 stock/bond investing (and more on the podcast)? 56:20 - Question 2: Kevin; When backtesting do you have a preferred definition of what was and was not a trend or do you apply discretion? 1:03:50 - Announcement: Guest Jesse Felder coming on the show in a few weeks 1:04:35 - Performance recap Paper Reference 1 - https://www.ahl.com/strategic-rebalancing Paper Reference 2 - https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing Paper Reference 3 - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3050736 Subscribe on: