Today, Rob Carver joins us for conversation on Trend Following with something for the both the individual everyday investor and the trend following nerds. We also catch up on this week's events which included news of the biggest one-week outflow of US Equity Mutual & ETF funds since April 2021 and the news that Blackstone will be limiting investor redemption's in one of their Real Estate funds. We discuss how Rob uses dynamic market selection to diversify his portfolio and how he plans out his trading year when it comes to deep dive analysis, how he implements and tests his continuous trend systems and if he believes in using tail protection strategies to manage risk. We also discuss how Rob implement his carry strategy, portfolio optimization and momentum factor investing, what the special Year-End Group episodes will bring and much more.
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Episode TimeStamps:
00:00 - Intro
03:39 - What happened this week?
20:22 - Industry performance update
22:25 - Q1, Elie: Can you run a continous system without daily vol targeting? Can you calculate signal scaling with in-sample data? More info on the mean reversion system with a high sharpe?
34:42 - Q2, Matthijs: How does Rob think about protecting/diversifying his portfolio with tail protection strategies?
42:54 - Q3, Richard: Has Rob considered conditioning his carry forecasts based on asset class? Should I account for using the spread of nearest contract to nearest plus when calculating the raw carry forecast?
49:44 - AQR Paper on Portfolio Optimization
54:26 - Article from Alpha Architect on momentum...30 years after Jegadeesh and Titman’s seminal paper
01:00:56 - What is coming up in the special Year-End Group Episodes?
01:05:43 - Thanks for listening
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