SI278: Trend Following Risk Premium...is it there & could it go away? ft. Rob Carver

Rob Carver returns to the show to discuss whether there is a risk that the Trend Following risk premium could one day disappear and how he manages exogenous and endogenous risks in a trend following system, how he thinks of trading single stocks instead of stock indices in a diversified multi-asset trend program and what the minimum lookback period would be, in order to be considered “long term”. We also discuss the irony of the newly approved crypto ETF, how the nature of bitcoin has changed and much more.

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Episode TimeStamps:

00:23 - What has caught our attention recently?

10:14 - Industry performance update

11:26 - Q1, Norbert: What is the long-term expectation for the trend-following risk premium as measured by the SG Trend Index after costs and its stability or sustainability?

19:46 - Q2, Bruno: What is Rob's method for balancing endogenous and exogenous risk management and controls in a system

29:36 - Q3, Oliver: What is Rob's take on trading single stocks instead of stock indecies in a diversified multi-asset trend program

37:57 - Q4, Critter: What would the minimum lookback period be to be considered "long term"?

41:59 - Q5, Chris: Can you share a couple names of software companies that do robust backtesting of trade strategies

45:57 - Cypto ETFs have been approved!

52:42 - Allocating to bitcoin

01:04:31 - Looking into 2024

01:08:38 - Thanks for listening

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