SI62: The benefits of running a multi-strategy portfolio

Nov 17, 2019

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In this week’s edition, we discuss the possible benefits of running a multi-strategy portfolio, whether or not you need to have a ‘feel’ for the markets before constructing a model, the new all-time highs on the Dow, Trend Following as a viable solution to the end of the 60/40 portfolio, and the longer-term drawbacks of chasing performance from different fund managers. Questions we cover this week include: What really went wrong with LTCM? Should Trend Followers also employ Buy & Hold strategies? Is it ok to ‘leave money on the table’? How would you go about getting into the CTA industry?

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Episode TimeStamps:

00:00 – Intro

01:05 – Events review

04:00 – Weekly review of performance

17:10 – Top tweets

51:50 – Question 1: Carl; Is the stop price impacted by the cost of execution?

55:30 – Question 2: Saleh; Can you design a system that works in both trending markets and range bound markets?

01:01:55 – Question 3: Edrico; When adding new markets, do you consider correlations to existing markets in a system?

01:04:10 – Question 4: Glen; How would you break into the CTA industry?

01:13:35 – Benchmark performance update

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