62 The Systematic Investor Series – November 17th, 2019

In this week’s edition, we discuss the possible benefits of running a multi-strategy portfolio, whether or not you need to have a ‘feel’ for the markets before constructing a model, the new all-time highs on the Dow, Trend Following as a viable solution to the end of the 60/40 portfolio, and the longer-term drawbacks of chasing performance from different fund managers.  Questions we cover this week include: What really went wrong with LTCM? Should Trend Followers also employ Buy & Hold strategies? Is it ok to ‘leave money on the table’?  How would you go about getting into the CTA industry?
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Episode Summary
0:00 - Intro
1:05 - Events review
4:00 - Review of returns & more
17:10 - Top tweets
51:50 - Question 1: Carl; Is the stop price impacted by the cost of execution?
55:30 - Question 2: Saleh; Can you design a system that works in both trending markets and range bound markets?
1:01:55 - Question 3: Edrico; When adding new markets, do you consider correlations to existing markets in a system?
1:04:10 - Question 4: Glen; How would you break into the CTA industry?
1:13:35 - Performance recap
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