SI12: What causes drawdowns and how to deal with them

Dec 3, 2018

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Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Episode TimeStamps:

00:00 – Intro

01:45 – Weekly review of performance

14:55 – Top tweets

39:40 – Referenced paper: Stock market charts you never saw by McQuarrie

40:15 – Question 1: Patrick; Longer question on notional exposure relative to actual capital

47:05 – Question 2: Brian; What causes drawdowns in TF?

56:05 – Benchmark performance update

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