SI108: The case for and against the Kelly Criterion ft. Robert Carver

Oct 4, 2020

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Robert Carver joins us today to discuss the case for and against the Kelly Criterion, short vs medium vs long-term Trend Following, how closely you should be following different markets, diversification across markets vs across timeframes, how mainstream financial media is driving investors to alternative information sources, the amount of screens you need to trade successfully, and the importance of viewing returns in terms of percentage rather than monetary terms.

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Episode TimeStamps:

00:00 – Intro

01:24 – Macro recap from Niels

04:40 – Weekly review of performance

31:11 – Q1 & Q2; Roberto: Can Rob & Moritz explain the framework behind building block ‘volatility-targeting in his book ‘Systematic Trading’? Why does Rob, in his book, disagree with trading leveraged ETFs?

01:03:50 – Q3; Chris: Am I correct in avoiding the mini-futures in Silver market due to low liquidity?

01:10:08 – Trend Following: short-term vs medium term vs long term

01:18:05 – Benchmark performance update

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