Top Traders Unplugged

SI286: Profiting from Different Investment Regimes? ft. Rob Carver

Mar 9, 2024
Guest
Rob Carver
Rob Carver discusses choosing trading instruments, managing volatility, position sizing based on time frames, expenses for systematic traders. Deep dive into regime investing, paper by Man Institute on profitable regime identification. Analyzing trends in financial markets, effectiveness of trend following. Insights on managing risks, adjustments for volatility, and balancing risk for steady returns.
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ADVICE

Managing Low-Volatility Instruments

  • Exclude low-volatility instruments to avoid high leverage and jump risk.
  • Consider costs and potential for sudden volatility spikes.
ANECDOTE

Swiss Euro De-Pegging

  • The Swiss central bank unexpectedly removed the Swiss euro floor in 2015.
  • This caused a 20% drop in Swiss euro value within seconds, highlighting jump risk.
ADVICE

Handling Low Volatility

  • Distinguishing between benign and artificially dampened low volatility is difficult.
  • Apply a conservative approach by limiting leverage regardless of volatility’s cause.
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