Today, Niels and Rob are joined by Nick Baltas, Managing Director at Goldman Sachs, for a conversation on systematic investment strategies. We discuss the difference between a number of systematic trading strategies and the pros and cons of each, how crowding impacts systematic investing and how the narrative created by media affects the systematic investment space, the capacity constraints for CTAs and the impact of costs. We also discuss how big an impact the trend following community has on the markets and the strength and weaknesses of different alternative markets, selective hedging and how skew can be used as a predictor of future returns. Lastly, we discuss the challenging environment of 2022 and why Trend is performing so well this year, why Trend Following is becoming an essential part of every portfolio and much more.

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Episode Timestamps:

00:00 - Intro

03:16 - Introduction to Nick Baltas

05:59 - Baltas’ findings from comparing different systematic trading strategies

12:10 - Is the CTA industry too small to have an impact?

16:44 - Blame it on the trend following people

21:42 - Baltas’ research on capacity

30:03 - The impact of trend

37:54 - Pros and cons between different alternative markets

46:10 - Using skew in your strategy

52:57 - Nick's article in Financial Times

01:05:47 - Is Trend Following becoming Essential for all investors?

01:11:55 - Thanks for listening

Resources discussed in this Episode:

Why Blame Risk-Parity & CTAs

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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

Disclaimer

Zach Noorani -- Foundation Capital