SI78: Tom Basso’s research on higher Trend Following returns as volatility increases

Mar 8, 2020

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This week, we discuss the potential benefits of investing in more than one systematic fund, Tom Basso’s research finding that Trend Following returns increase as market volatility increases, the process behind Moritz’s discretionary trade last week, sizing positions according to volatility, the historic rally in government bonds, and the importance of good risk management. Questions we answer include: What software do you use to manage and monitor your portfolios? How much importance do you place on pyramiding into & out of positions? Have you found that some markets trend better than others?

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Episode TimeStamps:

00:00 – Intro

01:26 – Macro recap from Niels

03:00 – Weekly review of performance

29:11 – Top Tweets

50:16 – Dante; Question 1: What software do you use to monitor your portfolios?

52:15 – Andrew; Question 2: How much importance do you place on the effect of pyramiding into & out of positions?

59:28 – Mike; Question 3: Do you size positions based on volatility, and how does this affect correlations?

01:04:12 – James; Question 4: Do you believe particular markets ‘trend’ better than others?

01:11:44 – Benchmark performance update

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