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 [email protected]

Episode Summary

0:00 - Intro

1:15 - Weekly recap

8:30 - Discussion of recent articles

21:30 - Top tweets

36:10 - Question 1: Mohit; Discuss moving averages as a TF device; position sizing; correlations

43:20 - Question 2; Paul; How many investors are out there who use TF but their AUM doesn’t show up in the official industry AUM #s

47:10 - Question 3: John; Asked about industry jargon and definitions: alpha; smart beta, implied vol, crisis alpha, convexity

51:30 - Question 4: Mohit; Is looking at correlations in the rearview mirror fallible?

52:50 - Question 5: Dave; What is the average time in trade of winners in a medium-term system?

57:10 - Question 6: What software do you use for backtesting/system management?

1:01:40 - Performance recap

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