21 The Systematic Investor Series – February 4th, 2019

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. Please send your questions to [email protected]

Episode Summary
0:00 - Intro
3:30 - Weekly review
14:00 -  Top tweets
26:55 - Question 1: Samuel; What is a good CTA trading cost hurdle rate?
34:10 Question 2: Samuel; Why do people say your biggest drawdown is always in front of you?
41:10 - Question 3: Michael; How much has your parameter set changed (and related questions)?
50:10 - Question 4: Francois; What do you know about Renaissance Technologies (Jim Simons)?
56:30 - Miami conference review+TF thoughts
1:10:00 - Performance recap
Subscribe on: