Today, we are joined by Nick Baltas for conversation, where we dive deep into the use of volatility scaling and accelerators in trend following systems. Additionally, we discuss various research papers that address whether trend following CTAs are truly long vol, what the negative impact of trend breaks are, whether you can predict future trend following performance by analyzing previous trend following perfomance and the art of timing trends, why it is important to sometimes settle with “good enough” performance, the future of the 60/40 portfolio and much more. ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 
 Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Nick on Twitter. Episode TimeStamps: 01:10 - What's been on our radar recently? 05:09 - Industry performance update 06:51 - Q1, Nicolas: Can you replace price with sharpe and trend follow that input instead? 17:52 - Q2, Andrew: Is there any validity in having additional accelerators in a system and how would it be used? 25:03 - Article: Are trend following CTAs truly long volatility? 33:26 - Article: Breaking bad trends 42:19 - Know when to be long and short 45:15 - Article: Managed futures rotation 52:40 - Sometimes good enough is good enough 57:02 - The future of the 60/40 portfolio 01:03:57 - Thanks for listening Resources discussed in this Episode:LINK 274: Are TF CTAs truly long vol?<a...

SI274: Can You Time Trend Following? ft. Nick Baltas

Step into the fascinating realm of finance and investing with Niels Kaastrup-Larsen and an amazing line-up of co-hosts as your guide. Each week, we engage in captivating conversations with renowned investors, esteemed economists, skilled traders, and visionary thought leaders. Discover the wisdom derived from their journeys, embracing their triumphs and learning from their setbacks. At TTU, we strive to ignite your independent thinking, encouraging you to chart your own path to financial success. Tune in to stay informed and inspired on the ever-evolving landscape of finance and investing. Stay up-to-date with our latest episodes and blogposts at https://toptradersunplugged.com

Business

Investing

Careers

Management & Marketing

Business News

Shopping

News

In today’s episode, Alan Dunne helps us uncover the latest news and data within the global macro landscape. We also discuss the state of the quant macro space, how it compares to trend following and what allocators should consider when comparing the two. Then we break down how family offices are looking to allocate assets at the moment before we turn our attention to a potential new narrative within the trend following world - namely, how trend following can be used as an return enhancement overlay, instead of "crisis alpha". We also dive deep into fees and returns in the multi-strategy space and much more. ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 
 Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Alan on Twitter. Episode TimeStamps: 01:01 - What has been on our radar recently? 06:58 - Is OpenAI falling apart? 09:19 - U.K. and European Parliament elections - should investors care? 11:52 - What is neoliberalism? 12:54 - Unpacking the current global macro landscape 19:07 - Are central banks defeating their own purpose? 22:42 - Industry performance update 25:39 - What is going on with quant macro? 32:00 - Trend follower or quant macro fund - what is hardest to analyze? 34:39 - How are family offices looking to allocate assets currently? 37:43 - Any allocation to whiskey? 39:31 - Trend following: Return Enhancement Overlay or Crisis Alpha? 47:13 - Advice for using trend following as an enhancement overlay 49:46 -...

Si297: Trend Following as a Return Enhancement Overlay ft. Alan Dunne

In this episode we speak to Koen De Leus and Philippe Gijsels. Koen is Chief Economist at BNP Paribas Fortis and Philippe is Chief Strategist. They are co-authors of The New World Economy in 5 Trends: Investing in Times of Superinflation, Hyperinnovation and Climate Transition. We talk about how technologies like AI, 3D printing will drive economic growth and why they are likely to create more jobs than they destroy. Another important trend from a market perspective is the potential for a doubling of the gold price and possibility of a new ‘super cycle’ for industrial metals.  ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 
 Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Kevin on SubStack & read his Book. Follow Koen on LinkedIn and read his book. Follow Philippe on LinkedIn and read his book. Episode TimeStamps:  02:16 - Introduction to Koen De Leus and Philippe Gijsels 06:22 - Why haven't we seen higher productivity? 12:11 - What is the...

IL26: How New Technologies Will Shape the Economy ft. Koen De Leus & Philippe Gijsels

Mark Rzepczynski is back to discuss the latest investor sentiment survey from Societe Generale’s Capital Consulting team, to find out what strategies investors are losing interest in and which are seeing more demand right now. We also dig into how the performance of economies greatly depends on the type of government policies and how going from multilateralism to bilateralism impacts trend following, the complexity of being a systematic manager and the phalacy of consensus. Mark also explains why we need to look beyond price and consider the drivers of price, what the VUCA framework is and how/why to use it, whether trend following is becoming too complicated and much more. ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 
 Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Mark on Twitter. Episode TimeStamps: 00:39 - What has been on our radar recently? 06:59 - Which Alternative Strategies do Investors Want...latest survey? 12:17 - Discussing the data 18:30 - Industry performance update 21:26 - Is the rise of the Chinese stock market legit? 25:08 - From multilateralism to bilateralism 29:42 - The difference between the ideal vs. reality manager 36:31 - The fallacy of consensus 40:23 - Using economic data as a trend follower 43:14 - Is price truth? 47:38 - VUCA - what, why and how? 54:50 - Applying VUCA to trend following 57:46 - Is trend following becoming too complicated? Copyright © 2024 – CMC AG – All Rights...

SI296: Is Trend Following Becoming Too Complicated? ft. Mark Rzepczynski

Richard Urwin, Chair of the Investment Committee at Saranac Partners, the $6bn UK wealth manager, joins Alan Dunne in this episode to discuss how he is approaching asset allocation at the current juncture. They discuss how long term valuations and asset class return forecast help inform Saranac’s strategic asset allocation and delve into some of the structural forces that may influence the economic outlook and asset class returns in the coming decade. While shifting demographics, climate change, high deficits and rising debt levels all have the potential to contribute to higher inflation and higher bond yields, Richard is cautious about being too pessimistic about the outlook and sees good opportunity in credit and alternative assets and strategies. They also discuss how Saranac think about selecting and sizing hedge funds in their portfolios and how this has changed in a higher interest rate environment. ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 
 Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Alan on Twitter. Follow Richard on LinkedIn﻿﻿ Episode TimeStamps:  02:45 - Introduction to Richard Urwin 06:31 - A noticeable shift? 08:49 - What is Saranac's investment philosophy? 13:06 - Dealing with structural shifts as an asset allocator 18:07 - How confident are they in forecasts? 24:24 - Balancing competing forces 30:08 - How Saranac builds balanced portfolios 33:55 - Do they consider supply shocks in...

ALO24: Managing Money Through Structural Shifts ft. Richard Urwin

Together with Nick Baltas, we dive into trading signal direction and discuss if signal direction always trump signal strength in portfolio construction, based on CFM’s paper on Agnostic Risk Parity. Baltas also explains why allocating risk to where opportunity lies is prudent as well as why trend following is a powerful tool to achieve a broad risk allocation. Based on Baltas’ recent paper in the Financial Times, we also discuss equity momentum and why trend followers might be the “unwanted guests at the party”. ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 
 Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here. And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Follow Nick on Twitter. Episode TimeStamps: 00:52 - What has been on our radar recently? 12:36 - Industry performance update - how is May so far? 15:45 - New Ultimate Guide out now...How to get your Free copy! 16:38 - Q1, Peter: Should signal direction always trump signal strength in portfolio construction? 27:39 - Q1.1 Peter: Is it reasonable to aim for broadly equal risk allocations across different asset classes? 35:19 - Q1.2 Peter: If you were an institutional investor with an ultra-long time horizon, a stomach for short-term volatility and a mandate to deliver the highest possible CAGR over the long-term, how much of your portfolio would you allocate to systematic trend-following? 39:22 - Q1.3 Peter: Do you agree with Anthony Todd's description of trend alpha coming in bursts? 46:54 - Discussing Nick's paper in the Financial Times 57:48 - What kind of party guest would a trend follower be? 59:09 - Thanks for...

SI274: Can You Time Trend Following? ft. Nick Baltas

Download our free app to listen on your phone