SI222: Trend Following vs Tail Hedging to Protect Your Portfolio ft. Rob Carver
发布时间 2022-12-10 21:00:00 来源
摘要
Today, Rob Carver joins us for conversation on Trend Following with something for the both the individual everyday investor and the trend following nerds. We also catch up on this week's events which included news of the biggest one-week outflow of US Equity Mutual & ETF funds since April 2021 and the news that Blackstone will be limiting investor redemption's in one of their Real Estate funds. We discuss how Rob uses dynamic market selection to diversify his portfolio and how he plans out his trading year when it comes to deep dive analysis, how he implements and tests his continuous trend systems and if he believes in using tail protection strategies to manage risk. We also discuss how Rob implement his carry strategy, portfolio optimization and momentum factor investing, what the special Year-End Group episodes will bring and much more.----------EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Rob on Twitter.Episode TimeStamps: 00:00 - Intro03:39 - What happened this week?20:22 - Industry performance update22:25 - Q1, Elie: Can you run a continous system without daily vol targeting? Can you calculate signal scaling with in-sample data? More info on the mean reversion system with a high sharpe?34:42 - Q2, Matthijs: How does Rob think about protecting/diversifying his portfolio with tail protection strategies?42:54 - Q3, Richard: Has Rob considered conditioning his carry forecasts based on asset class? Should I account for using the spread of nearest contract to nearest plus when calculating the raw carry forecast?49:44 - AQR Paper on Portfolio...
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