Top Traders Unplugged SI27: Volatility vs Risk...What's the difference? and are CTAs useless?
Discussion points this week include, Volatility vs Risk, the differences between Trading and Investing, Zero Hedge’s comment about CTAs & Trend Followers being useless, and the NY Times article on high market skepticism while prices continue to go up. Also, should CTAs be used as a tool just for ‘Crisis Alpha’, or something more? Can Trend Following be used as a timing tool? What is the best sample size and look-back period when testing a system?
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Episode TimeStamps:
00:00 – Intro
01:35 – Weekly review of performance
05:30 – Top tweets
24:30 – TF needs a better slogan than “crisis alpha” – listeners are welcome to write in.
39:20 – Question 1: Antonio; How should TF work with traditional 60/40 stock/bond investing (and more on the podcast)?
56:20 – Question 2: Kevin; When backtesting do you have a preferred definition of what was and was not a trend or do you apply discretion?
01:03:50 – Announcement: Guest Jesse Felder coming on the show in a few weeks
01:04:35 – Benchmark Performance update
Paper Reference 1 – https://www.ahl.com/strategic-rebalancing
Paper Reference 2 – https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing
Paper Reference 3 – https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3050736
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