SI240: Trend Following... More Than Just Vol Scaling? ft. Nick Baltas

Join us for a compelling conversation with Nick Baltas on the topic of trend following, where we explore the rising appetite for institutions to buy-the-dip in fixed income markets and how the SVB event has impacted liquidity. Discover if you can time trend following by adding additional signals to your model, the academic sceptisism of timeseries momentum as a strategy and why trend following goes beyond volatility scaling. We also delve into the scientific versus practical approach to trend following, and compare narratives of different investment approaches and how we may have to come up with a better one for trend following. Don't miss out on this insightful episode!

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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:

02:21 - Looking back on the week

13:19 - Reflecting on the CTA series

19:23 - The impact of the SVB event

23:02 - Industry performance update

24:39 - Q1, Tim: Regarding backtest and timing trends

35:08 - Two Critical Views on Trend Following

40:15 - Time-series momentum: Is it there?

43:28 - Defending trend following

54:01 - The Role of Volatility...and what it predicts

57:06 - The trend following narrative

01:06:05 - Paper from Aspect Capital

01:09:34 - Thanks for listening

Resources discussed in this Episode: