Top Traders Unplugged

We’re joined today by Rob Carver to discuss how to approach position-sizing and risk-per-trade, mean reversion trading strategies, how to invest in globally diversified systematic Trend Following CTAs, ‘buying the dip’ in the S&P 500, static and dynamic optimisation when trading smaller accounts, and the inclusion of more obscure markets into a Trend Following system.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• How to effectively approach position-sizing
• Some methods for investing in Trend Following CTAs
• If 'buying the dip' in the S&P 500 is a good strategy
• Portfolio optimisation
• Trading lesser-known markets

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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 [email protected]

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 Rob on Twitter.

Episode TimeStamps:

00:00 - Intro

01:12 - A big thank you to those who have left a rating or review on iTunes. Feel free to share this podcast with like-minded friends using this link:

https://top-traders-unplugged.captivate.fm/listen

02:23 - Macro recap from Niels

04:24 - Weekly review of returns

09:12 - How do you approach position-sizing and risk-per-trade?

18:42 - Check out my new blog post: How to Invest with the Best

20:01 - Q1 & Q2; Abbey: Should I switch to a mean-reversion strategy when my Trend Following strategy is in a downtrend? Is buying the dip in Trend Following funds an accepted investment strategy, and can I also do this with the S&P 500?

32:28 - Rob, what was it like meeting Campbell Harvey for the first time?

42:08 - Static and dynamic optimisation when trading smaller accounts

01:09:41 - How does your backtest look before and after using the methodologies just described?

01:13:06 - What are some of the more obscure markets you can now trade with this newer approach, Rob?

01:20:11 - Benchmark performance update

01:21:09 - This week, we record the first of our 2-part end of year special, featuring all of my regular co-hosts on the Systematic Investor Podcast

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

How should you protect your portfolio against large losses, but without giving up its upside potential? To answer this question, and many more, I invited back professor of finance at Duke University, Campbell Harvey to the show. I also thought it would be fitting if Rob Carver, could also join us, considering Rob and Cam used to work together at Man AHL. Enjoy the show as we discuss how to navigate a crisis in the markets, and what to expect in terms of the global outlook for investing.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In This Episode, You’ll Learn:

• How to manage a portfolio through a crisis
• The motivation behind writing his new book
• Various methods of portfolio protection
• Diversification within Trend Following systems
• Volatility targeting and why it can be a powerful tool
• The journey of volatility going from a measure to an input
• Drawdowns as an important metric to monitor
• Timing portfolio rebalances effectively
• The 60 / 40 portfolio, diversification, and inflation

-----

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 [email protected]

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 Rob on Twitter.

Follow Cam on Twitter.

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

Richard Brennan returns today to discuss the misconception of volatility as risk, thoughts on the various measures of risk, drawdowns as an opportunity ‘buy the dip’ in Trend Following strategies, how Richard thinks about risk, the relationship between volatility and risk, and the differences between convergent and divergent traders.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• Why volatility might not always mean that a model is risky
• The best way to measure true risk
• How to 'buy the dip'
• What Richard thinks about risk
• The relationship between volatility and risk
• Convergent versus divergent trading

-----

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 [email protected]

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 Rich on Twitter.

Episode TimeStamps:

00:00 – Intro

01:58 – Announcement of very special Systematic Investor episodes over Christmas featuring Niels, Jerry, Moritz, Rob & Rich together for the first time

02:23 – A huge thank you to listeners of the show, such as Dave W, for leaving your 5-star reviews on iTunes, and feel free to share this link with 3 of your like-minded friends:

https://top-traders-unplugged.captivate.fm/listen

02:57 – Macro recap from Niels

06:04 – Weekly review of performance

16:19 – Drawdowns as an opportunity ‘buy the dip’ in the Trend Following strategies

23:10 – Check out our upcoming midweek-episode with guests Cam Harvey and Rob Carver

24:25 – How Richard thinks about ‘risk’

43:41 – The relationship between volatility and risk

59:20 – Convergence versus divergence

01:06:51 – Benchmark performance update

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

If we could gather all of the famous investing pioneers from world history into one room and ask them to build the perfect portfolio, what would it look like?  Well Steve Foerster and his co-author (and previous guest on the show) Andrew Lo, set out to do just that, with their new book called 'In Pursuit of the Perfect Portfolio'. I thought I'd invite Steve onto the show to discuss his new book, go through some of the 'golden threads' of investing that he came across, his journey in the world of finance, and of course, get his opinion on how close Trend Following is to 'the Perfect Portfolio'.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In This Episode, You’ll Learn:

• Steve's journey to becoming a Professor of Finance and how he ended up co-authoring a book with Professor Andrew Lo
• Some of the concepts from the legendary financial experts they interviewed for the book
• How closely linked the academic world of finance really is
• About some of the most important findings in investment research over the decades
• About the "untold" story of an early 20th-century mathematician, Louis Bachelier
• Harry Markowitz' story
• What Eugene Fama's Perfect Portfolio looks like
• About William Sharpe and his now famous 'Sharpe Ratio'
• How the phrase 'beta' came about
• How computers enabled researchers to access deeper insights into the world of investing
• About the debate between active and passive investing
• Whether volatility should still be considered as a measure of risk
• About the progression of volatility data into today's investment models
• About the story of Eugene Fama
• How Steve views the question of 'what is the perfect portfolio?'
• Whether Steve considers Trend Following investing as, essentially, a perfect portfolio

-----

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 [email protected]

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.

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

Mark Rzepczynski joins us today to discuss how markets will react to the likely upcoming tapering policies of central banks around the world, how Trend Followers overcome uncertainty, the reasons for and against overriding trading models, the historically optimum balance between bonds, stocks, and Trend Following, how trading non-correlated assets usually results in profitable long-term performance, and why longer-term trading systems tend to achieve the highest returns over time.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• Overcoming the uncertainty in markets
• When to override your system, if ever
• Balancing between difference asset classes
• The need to trade non-correlated assets
• Why longer-term systems achieve higher win percentages

-----

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 [email protected]

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:

00:00 – Intro

02:03 – A huge thank you to listeners of the show for leaving your 5-star reviews on iTunes, and feel free to share our link with 3 of your like-minded friends:

https://top-traders-unplugged.captivate.fm/listen

02:26 – Macro recap from Niels

03:50 – Weekly review of performance

09:12 – Q1; Glen: Can you give me some feedback on my equities Trend Following system?

18:00 – Discussion on Central bank tapering

42:15 – Clearing up some of the current discourse around inflation

55:19 – Discussion on overriding models

01:07:52 – Discussion on overriding models

01:11:46 – Benchmark performance update

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

Jason Buck is joined today by Zed Francis to discuss the benefits of adding volatility strategies to your portfolio, achieving a negative a correlation to equities during market downturns, what Zed calls the ‘3 trading levers’, profiting from institutional volatility players, problems with some long-volatility strategies, when a discretionary approach is needed, how to adjust a portfolio if volatility is persisting, some thoughts on the VIX ETF, helping clients to achieve capital efficient accounts, maintaining liquidity for rebalancing during a selloff, and the deeper insight into the global macro landscape that being a volatility expert gives you.

-----

50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• The benefits of volatility strategies to a portfolio
• How to profit from large stock market selloffs
• Some of Zed Francis’s unique approaches to volatility trading
• Profiting from institutional volatility traders
• When to apply a discretionary approach
• The VIX ETF
• Helping clients to be cash efficient in their portfolios
• The need for liquidity during large market moves

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 [email protected]

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 Jason on Twitter.

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Episode TimeStamps:

00:00 - Intro

01:41 - Why should somebody add volatility or tail-risk strategies into their portfolio?

03:10 - Seeking a negative correlation to equities

06:16 - Can you explain what you call your ‘3 trading levers’?

08:11 - Can you breakdown your approach to combining ‘long gamma’ and ‘short Vega’?

13:40 - Do you aim to profit off institutional volatility sellers?

15:16 - Tell us about the short-vega side of your approach?

28:34 - The problems with some common long-volatility strategies?

36:24 - How do you think about the ratio between your long-gamma trades and your short-Vega trades?

38:02 - Do you want to explain your ‘Price is Right’ gameshow anology for long gamma strategies?

40:57 - Do you think that a discretionary approach is always needed at times?

50:27 - How do you adjust if volatility persists longer-term?

55:36 - What are your thoughts on the VIX?

57:50 - How to help clients to achieve capital efficient accounts?

59:37 - How do you maintain capital efficient overlays and also maintain liquidity for rebalancing during a selloff?

1:04:18 - Does being a volatility expert give you a deeper insight into the global macro landscape?

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

Jerry Parker joins us today to discuss trading single stocks while maintaining a systematic approach, the benefits of trading a broad universe of assets, how investors naturally gravitate toward strategies with lesser returns, but hidden risks, why you need volatility in order to gain maximum returns, what to do with dividends as a Trend Follower, and diversifying Trend Following models versus diversifying look-back periods.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• A systematic approach to trading single stocks
• Why you should trade a broad universe of assets
• Why the best thing to do is often the hardest thing to do as investors
• Why volatility is our friend, especially when it's directional
• How to manage dividends as a Trend Following trader
• The best methods of diversification

-----

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 [email protected]

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 Jerry on Twitter.

Episode TimeStamps:

00:00 - Intro

01:41 - Feel free to share this podcast with like-minded friends using this link:

https://top-traders-unplugged.captivate.fm/listen

02:03 - Macro recap from Niels

03:10 - Weekly review of returns

06:44 - Q1; Robert: How does Jerry select his single stocks to trade?

16:27 - Q2; Brian: What does Jerry do with the dividends from the singles stocks he trades?

20:20 - Discussion on recent New York Times article, ‘The Risk-Return Trade-Off Is Phony’

31:34 - Trend Following and asset selection

37:40 - Why the right thing to do is often the hardest thing to do

45:36 - The need for asymmetry rather than low-volatility 

48:48 - Diversifying Trend Following models versus diversifying TF look-back periods

57:57 - How Trend Following thrives during inflationary environments

01:01:10 - Benchmark performance update

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

Special guest, Bastian Bolesta, joins Jason Buck today to discuss why volatility strategies should be added to our portfolios, how to keep improving as a trader while not over-optimising your systems, how recent large equity selloffs have affected Bastian’s approach to the markets, the average duration of his long volatility trades, how to weight recent data versus long-term data, trading VIX contracts intra-day, shorter-term Trend Following, momentum trading, mean-reversion strategies, and the cash efficiency of intraday models.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• Why we should be invested in volatility strategies
• Improving over time but not over-tinkering
• How much markets may have changed in recent years
• The average duration of volatility trades
• Recent data versus long-term data
• Shorter-term Trend Following
• The benefits of cash-efficiency within intraday models

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 [email protected]

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 Jason on Twitter.

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Episode TimeStamps:

00:00 - Intro

02:09 - Why should somebody add volatility strategies into their portfolio?

04:09 - How do you overcome the problem of getting better but not wanting to tinker too much?

11:03 - How has recent market behaviour affected your approach to volatility trading?

22:05 - What is the average duration of your long volatility trades?

28:02 - How do you weight recent data versus long-term data?

31:07 - How do you look at trading intra-day VIX contracts?

37:39 - What gave you the confidence to be able to execute short-term Trend Following?

48:58 - How do you approach momentum trading?

56:16 - Why do you take some of the long-sided trades during equity selloffs?

01:01:38 - Tell us about the mean-reverting products you deal with?

01:07:52 - Talk to us about the cash efficiency of intraday strategies

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

We’re joined by Hari Krishnan today, to discuss the ways in which Volatility strategies can complement Trend Following as a source of portfolio protection, how to manage expectations of investors, some experiences and thoughts from the large volatility events of 2018 and 2020, how to best protect yourself from large market selloffs, how to allocate between Trend Following and Volatility across different timeframes, and the possible effects of sustained inflation may have on volatility strategies.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• Complementing Trend Following portfolios with Volatility strategies
• Maintaining composure during different market environments
• The sharp selloffs of 2018 and 2020
• Sound approaches for re-allocating money at appropriate times
• The resilience of Trend Following
• Volatility strategies during long periods of sustained inflation

-----

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 [email protected]

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 Hari on Twitter.

Episode TimeStamps:

00:00 - Intro

02:28 - Feel free to share this podcast with like-minded friends using this link:

https://top-traders-unplugged.captivate.fm/listen

02:38 - Macro recap from Niels

05:11 - Weekly review of returns

11:09 - The ways in which Volatility strategies complement a Trend Following portfolio

21:33 - Managing investors’ expectations

27:57 - Some experiences and thoughts from the large volatility events of 2018 and 2020

29:44 - Look out for Hari’s new book

30:34 - How to protect yourself from large market selloffs

42:17 - How to allocate between different strategies across different timeframes

44:35 - The relative strength of Trend Following during flash crashes

54:55 - How the landscape and returns dispersion for volatility strategies looks like in 2021 

58:06 - The possible effects of sustained inflation on volatility strategies

01:05:28 - Benchmark performance update

Copyright © 2025 – CMC AG – All Rights Reserved

----

PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Privacy Policy

Disclaimer

In today’s episode, Jason Buck is joined by Stefan Wintner of DUNN Capital, to discuss volatility as an asset class, the evolution of the VIX from its inception until now, some of the mechanics behind the VIX, the relationship between the VIX and the S&P 500, some thoughts on ‘volatility relative-value’ trading, the reliability of the VVIX, building and running models during different market environments, thoughts on kurtosis and skew, and volatility as a necessary component for a large Trend Following firm. 

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• Volatility as an asset class of its own
• The journey of the VIX from its early days until now
• Analysing the relationship between the VIX and the S&P 500
• What’s known as volatility relative-value trading
• The usefulness of the VVIX
• Operating models during different market and economic environments
• Kurtosis and skew
• The need for Volatility strategies as part of a diversified investment portfolio

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 [email protected]

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 Jason on Twitter.

-----

Episode TimeStamps:

00:00 - Intro

02:05 - Why should somebody add volatility strategies into their portfolio?

04:48 - Do you consider Volatility to be an asset class of its own?

05:58 - What was it like during the early days of the VIX market?

08:28 - What is the VIX, and what is the calculation that goes into the VIX?

14:07 - Tell us a little bit about the relationship between the VIX and S&P 500

19:37 - How does volatility risk premium relate to other datasets you use?

25:03 - What is ‘volatility relative-value’ trading?

27:37 - How do you think about the ratio that you combine between the S&P 500 & the VIX?

30:31 - Is it true that if you see a spike in the VIX, you’ll look to take advantage via the front-month volatility in that spike?

33:29 - Do you think VVIX is a good measure for the volatility of volatility?

35:09 - How do you use options in a creative way in your portfolio?

37:22 - How do you identify and think about possible mispricings in the market?

40:40 - Do you try to track both the normal price and OTC prices?

42:00 - How do you approach building & running volatility models during different market environments?

47:22 - Describe what volatility traders experienced during the ‘volmaggedon’ of February 2018

55:06 - How did you trade through the ‘known risks’ 2020 election?

59:15 - How much can you rely on market history as a predictor for the future?

01:02:49 - Is it true you’re likely to experience long periods of flat to negative performance while waiting for those huge, profitable moves in volatility?

01:06:09 - How do you think about kurtosis and skew, and how they relate to other strategies?

01:08:56 - Do you view what you do as a necessary component of a large Trend Following firm?

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