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.

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Introduction

00:00 • 3min

Discussion on Recent Market Moves, Trend Barometer, and Performance of Indices

03:00 • 4min

Trend Following, Wall Scaling, and the Sharp Ratio

07:19 • 18min

Quantifying Asset Class Returns and Performance in Different Volatility Regimes

24:51 • 14min

Using Signal Combination and Dynamic Position Sizing in Market Trend Analysis

38:35 • 4min

Timing Trend Following Strategies

42:13 • 21min

Discussion on Trend Following and Outlook for the 6040 Strategy

01:02:53 • 3min

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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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:

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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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