SI284: Choosing Your Trend Following Battles ft. Nick Baltas
Top Traders Unplugged
Introduction
Neil and Nick discuss market performance, investment strategies, market uncertainty, and the impact on trend following programs, with a preview of upcoming topics on research papers and alternative markets.
Goldman Sachs's Nick Baltas joins us today, to help us uncover if it is meaningful to use factor regression to evaluate managed futures. We also weigh in on couple of articles, relating to the outlook for trend following and the state of the industry, before turning our attention to some hard core research into how to construct the optimal trend following portfolio and why it is important to be conscious of which battles you pick. Lastly, we discuss the challenge of timing an investment into trend following, the pros and cons of trading alternative markets and more.
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Episode TimeStamps:
00:23 - What has caught our interest recently?
03:04 - The Nikkei index finally comes out it its 35 year drawdown
05:35 - Industry performance update
07:37 - Q1, Oliver: Does it makes sense to use factor regression to evaluate managed futures?
14:24 - The state of the industry
18:17 - Is trend following flopping?
27:34 - Building optimal trend following portfolios
36:15 - Pick your battles
49:10 - Is there a way to time trend following?
53:34 - Is it actually an advantage to trade alternative markets?
01:04:44 - Thanks for listening
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