Top Traders Unplugged
SI274: Can You Time Trend Following? ft. Nick Baltas
Dec 16, 2023
Guest: Nick Baltas, expert in volatility scaling and accelerators in trend following systems. The podcast dives into the use of volatility scaling and accelerators in trend following systems. They discuss research papers on trend following CTAs, timing trend following performance, settling with 'good enough' performance, and the future of the 60/40 portfolio.
01:06:10
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Quick takeaways
- Timing trend following strategies is challenging and a long-term, buy-and-hold approach may be more effective.
- Rotation strategies in trend following can optimize returns, but accurately timing trend following remains a challenge.
Deep dives
The importance of alternative investments in the 60/40 portfolio
This article explores how the traditional 60/40 portfolio allocation has evolved over time, with a greater emphasis on alternative investments. It highlights the value that alternatives such as private equity, real estate, and private credit can bring to a portfolio. Additionally, it discusses the role of liquid alternatives, such as trend following, in diversifying and enhancing returns. While the 60/40 allocation has traditionally focused on equities and bonds, investors are increasingly considering the inclusion of alternative assets to enhance overall portfolio performance.
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