SI15: Has too much Diversification hurt performance in recent years?

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.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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Episode TimeStamps:

00:00 – Intro

01:50 – Weekly review of performance

05:50 – Top tweets

19:30 – Question 1: Michael; Are trend followers relaxed (in terms of personality) in general?

23:00 – Question 2: Michael; Why does TF not work on stocks work?

28:30 – Question 3: Michael; How do you measure single stock correlation?

33:05 – Question 4: Nick; Do you ever front run your systems?

35:00 – Question 5: David; Have you ever been through a market similar to this year (2018) and how did it turn out/what did you learn?

38:45 – Question 6: Can you give us a proven TF strategy (ex. Donchian)?

43:05 – Question 7/8: Timothy; Has too much diversification hurt TF in the last decade? Should TF focus on markets that are trending?

52:10 – Question 9: Anish; How do you identify relative strength and accordingly allocate capital between different asset classes?

59:55 – Question 10: Does the intensity of trends change over time?

01:04:30 – Question 11/12: Have the markets changed during your time as a trader and if so how? If a market has been trending is it more likely to continue trending than to reverse?

01:16:10 – Question 13: Nitesh; Is Short-term TF impossible now or does it need to be done differently from medium to long-term?

01:18:00 – Question 14: Dave; How do you select a universe of single stocks for TF?

01:21:20 – Question 15/16: Ted; What are the parameters you use around Nat Gas? With high volatility swings, how do stay in a position?

01:25:50 – Benchmark performance update

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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

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2. 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 Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

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