SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas

This week, Alan Dunne chats with Nick Baltas about CTAs' negative crisis beta and their hidden market timing skills. Nick and Alan tackle the question of how to build an effective trend-following program as part of a larger multi-asset portfolio, in relation to the markets traded and speed of system and tie in insights from a recent Quantica paper. They weigh the benefits of unconstrained trend-following programs versus those with capped equity beta. Plus, they discuss the ideal level of volatility for running an investment program and take a closer look at a Resolve Asset Management paper on the best ways to construct carry strategies.-----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 “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to [email protected] 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 Alan on Twitter.Episode TimeStamps:01:23 - What has caught our attention recently?03:00 - Industry performance update05:32 - Reversions incoming?07:06 - Q1: Regarding how to choose instruments in your trend following algorithm14:20 - Getting the speed right17:37 - Q2: At what point does volatility put an investor in a danger zone?24:32 - Discussing the paper "Negative Crisis Beta" from Quantica38:16 - Capping the beta45:17 - The hidden market timing of CTAs50:23 - The benefits of adding carry to your portfolioCopyright © 2024 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about...