39 The Systematic Investor Series – June 9th, 2019

Can the VIX index be traded as part of a successful Trend Following strategy?  Do CTAs have the edge over traditional Hedge Funds by being invested in the less popular markets?  Should some parameters be adjusted according to the market being traded, and can you expect returns from Long Positions & Short Positions to be equal?  We also give our thoughts on MorningStar’s recent ‘Bubble Index’ experiment, as well as Real Vision’s recent interview on the subject of ‘selling volatility’.

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Episode Summary

0:00 - Intro

2:55 - Weekly review

11:50 - Live event update 10/26/19-10/27/19

13:00 - Top tweets

45:00 - Discussion of Goldman Sachs paper on TF

52:20 - Discussion of Morningstar “bubble” portfolio article

56:10 - Discussion of Real Vision video on volatility 

57:00 - Discussion of FT article on South Korea 

1:00:00 - Question 1: Ryan; Can the VIX be traded as part of a TF strategy?

1:08:00 - Performance recap

1:09:00 - Next week’s special guest is Corey Hoffstein

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