Rob Carver, a seasoned trader and author of systematic trading books, shares his expertise on crafting a diversified futures portfolio. He delves into crucial strategies like market selection, dynamic optimization, and the significance of capital allocation. Carver also discusses innovative methods for diversifying with limited funds, the evolution of trading practices, and the importance of volatility adjustments for effective trading. His insights on balancing risk and managing costs provide a treasure trove for traders eager to master futures.
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insights INSIGHT
Carver's Blog
Rob Carver's blog, active since 2014, covers quantitative finance and market research.
He investigates common trading beliefs, like liquidity's impact on futures performance.
insights INSIGHT
Capital and Market Breadth
Rob Carver initially traded 30-35 futures markets due to capital constraints.
AHL, with billions, traded 250-300, showcasing the impact of capital on diversification.
volunteer_activism ADVICE
Minimum Futures Capital
If you have less than $100,000, avoid futures trading due to limited diversification.
Consider stocks or ETFs for smaller capital.
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In 'Smart Portfolios,' Robert Carver provides a detailed and practical approach to portfolio management. The book covers essential topics such as selecting the best ETFs for each asset class, calculating true investment costs, and using systematic forecasting algorithms to adjust portfolio allocations. It also emphasizes the importance of smart rebalancing strategies and execution tactics to cut trading costs. The book is intended for professional investors, financial advisors, private bankers, wealth managers, and experienced private investors, offering a step-by-step process to build and maintain multi-asset investment portfolios.
The A-Z of building a systematic futures portfolio
In this episode, seasoned trader Rob Carver shared his nuanced approach to building and managing a diversified futures portfolio—a methodology that appeals to advanced, technical traders, while we also covered off some of the 'basics' of futures trading, such as rolling, back-adjusting, and so on. I did my best to break down the key elements of his strategy, from market selection to dynamic optimization and continuous trading. A couple of interesting things came up, there's a lot of detail in here, and luckily you can go to his blog and books for all the technical detail.
For the long-term futures trader with a smaller account, this is essential listening. How much diversification across markets and models is enough? How can we capture the benefits of this diversification with a limited account size? Rob has innovative approaches to both market diversification and model diversification to generate a highly capital efficient approach.
For futures data, check out Norgate on our site: https://thealgorithmicadvantage.com/tools/
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