SI79: A historical volatile week put into perspective ft. Robert Carver

Mar 15, 2020

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We’re joined on the show today by special guest Robert Carver, to discuss another historically volatile week in the markets, the differences between today’s bear market and 2008, how Robert defines portfolio diversification, how many markets a profitable Trend Following system should trade, the different types of strategies that Robert currently uses, the amount of truly uncorrelated assets available, and volatility scaling as a part of risk management. Questions answered this week include: What causes you to modify your system over time, and how do you go about this? What have you learnt from trading through previous crisis periods? What are your thoughts on AI technology?

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Episode TimeStamps:

00:00 – Intro

01:09 – Macro recap from Niels

04:03 – Weekly review of performance

08:09 – Niels: How have you dealt with the recent volatility?

19:44 – Niels: What does diversification mean to you?

28:35 – Niels: How many markets can be considered too many for a diversified Trend Following system to trade?

41:10 – Moritz: What type of different strategies do you currently trade?

46:27 – Niels: What has helped you to do well during recently, especially during the recent market turmoil?

51:17 – Niels: Why have you chosen to trade different markets differently, rather than treating all markets the same?

01:03:18 – Seth; Question 1: How do you incorporate correlations into building a Trend Following program?

01:09:40 – Moritz; Question 2: What causes you modify your system over time, and how do you go about this?

01:14:37 – Niels: What, in your opinion, is a good risk management framework? What have you learnt from trading previous crisis periods?

01:22:09 – Niels: What are your thoughts on AI technology?

01:27:20 – Moritz: What are your thoughts on the possibility of Trend Following becoming too crowded?

01:36:12 – Benchmark performance update

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