SI274: Can You Time Trend Following? ft. Nick Baltas
Top Traders Unplugged
Introduction
Nick and Neil discuss the recent asset price moves and their impact on trend following strategy. They also touch on the macro environment and the efficiency of markets.
Today, we are joined by Nick Baltas for conversation, where we dive deep into the use of volatility scaling and accelerators in trend following systems. Additionally, we discuss various research papers that address whether trend following CTAs are truly long vol, what the negative impact of trend breaks are, whether you can predict future trend following performance by analyzing previous trend following perfomance and the art of timing trends, why it is important to sometimes settle with “good enough” performance, the future of the 60/40 portfolio and much more.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode TimeStamps:
01:10 - What's been on our radar recently?
05:09 - Industry performance update
06:51 - Q1, Nicolas: Can you replace price with sharpe and trend follow that input instead?
17:52 - Q2, Andrew: Is there any validity in having additional accelerators in a system and how would it be used?
25:03 - Article: Are trend following CTAs truly long volatility?
33:26 - Article: Breaking bad trends
42:19 - Know when to be long and short
45:15 - Article: Managed futures rotation
52:40 - Sometimes good enough is good enough
57:02 - The future of the 60/40 portfolio
01:03:57 - Thanks for listening
Resources discussed in this Episode:
- LINK 274: Are TF CTAs truly long vol?
- LINK 274: Breaking Bad Trends
- LINK 274: Managed Futures Rotation
- LINK 274: What Is the Future of the 60/40 Portfolio?
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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
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