TTU15: Model Decay & How Best to Handle It ft. Karsten Schroeder of Amplitude Capital – 1of2

This week, we discuss the importance of process over outcome, how sports can be related to Trading, and whether mistakes are to be avoided completely or something we should look forward to learning from. Questions answered this week include: is Ray Dalio’s suggestion of 15 uncorrelated return streams the ultimate way to diversify your portfolio? Are some markets more tradable for Trend Followers than others? Is market ‘noise’ making it harder for Trend Followers, or is the volatility a good thing? How do you deal with strategic retirement decisions as a Trend Follower? Is it in a Hedge Fund’s best interests to stay relatively small and private?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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.Episode TimeStamps:00:00 – Intro02:30 – Weekly review of performance10:15 – Live event update 10/26/19-10/27/1911:30 – Top tweets40:30 – Question 1: Jack; When/how do you decide to change a losing TF system?49:20 – Question 2: Werner; How do you decide not to add a specific market to a TF system?57:15 – Question 3: Sam; Should investors decrease risk as they near retirement?, and if so…How?01:24:30 – Discussion of noise vs volatility paper by Michele Cocchiglia & Stefan Martinek of Kelonia Capital Management: Deconstructing Noise – A closer look at the notion of noise, its definition and potential impact in today’s market environment.01:29:00 – Benchmark performance updateCopyright © 2025 – CMC AG – All Rights...

2 Kesä 20191h 32min

I get a lot of questions about ideas to help build the best Trading Model, and I understand why many aspiring managers feel that this is critical to their future success. There is though, a lot of truth in the saying: “Most people overvalue ideas and underestimate execution”. What I mean by that is, when you want to start and build a business such as a Hedge Fund or CTA, I’m not so sure that the real challenge lies within the design of your investment approach. Nowadays, I think that raising the initial funds from Seed or Early investors have actually become the biggest obstacle for new managers. This is something I have a long experience with, and this is why I wanted to focus on it, in today’s post. So I thought that Kim Bang, who spent many years at a big firm like Bloomberg before starting his own CTA firm, is the perfect person to talk about this. So enjoy these unique takeaways from my conversation with Kim.Listen to the full episode here. Part 1 & Part 2.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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.Copyright © 2025 – 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 In my eBooks, I put together some key discoveries and things I have...

28 Touko 201919min

Is ‘Buy & Hold’ the S&P500 index the perfect investment strategy? Should you apply Equal-Weighting across all of your Trading positions? Are long-term strategies the only way to avoid market noise? Also, we give our thoughts on why you should avoid ‘Fat-Tail Distributions’, Volatility versus Risk, how Trend Following strategies tend to ‘melt-up’ rather than crash down, and our upcoming Systematic Investor Series Live Event.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREFollow 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 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.-----Episode TimeStamps:00:00 – Intro01:55 – Weekly review of performance06:30 – Live event update 10/26/19-10/27/19; 12 people09:30 – Top tweets52:20 – Question 1: Sam- Please discuss equal weighting positions.01:00:30 – Benchmark performance update01:01:50 – Final thoughtsCopyright © 2025 – 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 In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here2. Daily Trend Barometer and Market Score One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend...

25 Touko 20191h 6min

Regardless of the investment strategy that you apply to the markets, your strategy or approach needs to evolve over time. The way we did Trend Following back in the 1970s, 1980s & 1990s is not exactly the way we do it today, and I think this can be said about most, if not all strategies. Now with some strategies, the model decay is so rapid, that if you don’t adapt quickly you can lose your edge. I think short-term strategies are good examples of this. Trend Following, being a longer-term strategy is, in my opinion, a lot slower when it comes to Model Decay… so you need to have been around for a really long time in order to have witnessed this evolution. So when I looked through my list of guests to pull a few golden nuggets from on this theme, I thought that Marty Lueck, the co-founder of AHL and Aspect Capital would be the perfect person for this. So enjoy these unique takeaways from my conversation with Marty.Listen to the full episode here. Part 1 & Part 2.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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.Copyright © 2025 – 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 In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the...

21 Touko 201922min

In today’s episode, we discuss whether or not Trend Following is more effective with Volatility Targeting, how cautious you should be of outlier events, how to use stress-levels as an indicator of how good your trading strategy is, and we give our thoughts on the concept of ‘Risk of Ruin’, in relation to the plight of Long-Term Capital management in the late 1990s. Questions this week include: Should you trade in a style that suits your personality? Can 10 years of financial data still be classified as ‘noise’? Should the fundamental causes of market movements affect how you trade? Should you reduce your position in a trade if it goes in your direction far quicker than expected? We also touch on Howard Mark’s comments regarding the skill of catching a ‘falling knife’.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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.Copyright © 2025 – 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 In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here2. Daily Trend Barometer and Market Score One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend...

19 Touko 20191h 8min

Today, we discuss how to go from managing personal money to third-party money, in this current regulatory environment. We clear up some confusion surrounding the VIX market, touch on stocks vs commodities & how they affect on Trend Following strategies differently, as well as how to avoid a single driver from overly correlating your portfolio. We also answer the questions: how do you define long-term versus short-term? Did Richard Dennis’s Turtles ever add to winning positions? Are CTAs underrepresented at investing conferences, and are investors losing out by only choosing the most common names?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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.Copyright © 2025 – 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 In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here2. Daily Trend Barometer and Market Score One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here3....

12 Touko 20191h 25min

In today’s episode, we discuss how much central banks or political events, can prevent or create market trends in the future. We also discuss AQR Capital Management’s recent study on Trend Following performance in the current decade, and whether or not we have seen the end of large market trends. We wonder if technology prevents Commodities from having bull runs like Equities have had in the last decade, and we answer questions on scaling in and out of trades, where to get back-adjusted data, and if the US stock market will eventually stagnate like Japan’s in the 1990s.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----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 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.Episode TimeStamps:00:00 – Intro01:50 – Weekly review of performance08:45 – Top tweets37:30 – Question 1: Todd; What are your thoughts on adjusting stops based on price changes/volatility?45:50 – Question 2: Paul; Have you considered the strength of a trend in your models?53:05 – Question 3: Brian; How do you scale position sizes up and down based on performance?01:02:15 – Questions 4/5/6: Sanjay; Aside from central bank (CB) action are there other reasons for the lack of trends in the last decade? If CB action is to blame and continues, will a lack of trends persist? What are indicators to watch to measure overall market trendiness?01:22:45 – Question 7: George; What are your thoughts on data (back adjusting, roll methods, cleaning, etc.)?01:30:15 – Benchmark performance updateCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment...

5 Touko 20191h 33min

On today’s episode, guest host Ranjan Bhaduri continues his conversation with John Fidler, Senior VP and Director of Alternative Investments at Commonwealth Bank and Trust, Christopher Vogt, Director of Equity Strategies at Margaret Cargill Philanthropies, and Jonathan Miles, Managing Director of Ascent Private Capital Management of U.S. Bank. Listen in as our guests talk about management fees and how they have changed over the past decade, the importance of constantly checking your assumptions, and what wisdom they would give to young up and coming investors.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:Why John and Jonathan don’t spend much time looking at short-term CTAsHow fee compression has changed management fees over the last decadeWhen our guests choose discretionary over systematic managersThe role of alternatives in a portfolio, and why Christopher doesn’t call them alternativesWhy Christopher urges people interested in the investment space to be cynicalWhy in a world of complex models, John sees simplicity as a good thingThe most important decisions in Jonathan’s work, and why they aren’t necessarily financial decisionsWhy many people’s view of model risk can hurt them and their investmentsWhy macro strategies will always remain strong-----Links Mentioned:The Impact of Crowding in Alternative Risk Premia InvestingHedge Funds Are Not an Asset Class: Implications for Institutional PortfoliosFollow 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 info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or <a...

2 Touko 201930min