Top Traders Unplugged

SI295: Trend Followers - The Unwanted Party Guests? ft. Nick Baltas

4 snips
May 11, 2024
Guest
Nick Baltas
Expert in trading signal direction and portfolio construction, Nick Baltas talks about trend following, risk allocation, and equity momentum. He explains why trend followers might be considered the 'unwanted guests at the party' and the importance of allocating risk to where opportunity lies. The discussion delves into signal direction versus signal strength in portfolio construction and the power of trend following as a risk allocation tool.
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ANECDOTE

Cocoa's Performance

  • Cocoa's recent rally and subsequent reversal highlights the importance of broad diversification in trend following.
  • Historically, Cocoa has been a negative contributor, demonstrating that diversification can capture unexpected returns.
INSIGHT

Replication Challenges

  • Replicating a strategy depends on the underlying strategy's success and the ability to adapt to style drifts.
  • The CTA industry's focus on macro trends might allow for some successful replication.
INSIGHT

Correlation vs. Performance

  • Correlation does not equal performance; two assets can move together, but one might underperform.
  • Andrew Beer's replication strategy should be evaluated on performance, not just correlation.
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