SI130: Volatility-Targeting: The Big Debate ft. Jerry Parker & Rob Carver

Mar 7, 2021

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We have a special episode for you today featuring Turtle Trading legend Jerry Parker and renown Systematic Investor Robert Carver, who debate the topic of Volatility Targeting and how actively one should manage open trade equity risk. We also discuss the benefits of ‘Hybrid Trend Following’ versus classical Trend Following, breakouts & moving averages versus other trend indicators, whether the 2020 market crash should have caused systematic investors to update their strategies, and if short positions should still have a place in today’s Trend Following portfolios.

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In this episode, we discuss:

The level of active-management that should be involved in controlling open trade equity risk
The benefits and drawbacks of volatility-targeting
Modern Trend Following methods compared to classical Trend Following
The 2020 ‘Covid Crash’ and its possible long-term effects on systematic investing
How important are short positions in a rules-based portfolio?

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Episode TimeStamps:

00:00 – Intro

01:45 – Macro recap from Niels

03:33 – Weekly review of performance

10:10 – Jerry Parker vs Rob Carver debate

53:13 – Q1; Michael: Why do you prefer breakouts & moving average cross-overs to other signals?

56:58 – Q2; Rene: Do have preferred methods for measuring trend strength?

01:05:14 – Q3, Q4, Q5 & Q6: Doogie; How can retail investors in the UK gain access to different CTA funds? Do you trade pair spreads? Why doesn’t Rob trade Bitcoin futures yet? Are Trend Following & Market Making returns correlated?

01:09:44 – Q7, Q8 & Q9: Gustavo; How do you manage to transition from an old system to a new system? With a non-binary system, how do you reduce multi-month futures contracts? Do you adjust moving average signals according to recent volatility?

01:15:39 – Benchmark performance update

01:12:25 – Recommended listening or reading this week: The Anatomy of Bond ETF Arbitrage by the Bank of International Settlements, Pfizer's Abusive Vaccine Deals & Michael Goldstein on ‘Controlling The Bitcoin Rhetoric’

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