SI370: Sharpe Ratios, Tail Risks, and the Cost of Comfort ft. Nigol Koulajian & Alan Dunne

I often see the press write that too much money is chasing the same trends, and this being the reason that Trend Following strategies have been performing a little under par in the last few years. So who better to ask if this really is true, than my friend Kathryn Kaminski, who of course co-wrote the bible on Trend Following with Alex Greyserman… as well as a book with me, that you can find on my website. We also discussed how they conducted their research for their book, where they went back a very long time to test if Trend Following models really do work over centuries of data… so I think you will find this part of particular interest. I hope you enjoy these unique takeaways from my conversation with Kathryn.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 Trend Following industry, which I hope you will find useful. Click Here2. Daily Trend Barometer...

30 Huhti 201934min

This week, we invite special guest Wayne Himelsein onto the show from Logica Capital Advisers, in Los Angeles. Wayne explains his journey into starting a Hedge Fund, some of the lessons he has learned over the years, and some of the rules that keep him from repeating past mistakes. He describes why he loves Trend Following, why embracing ‘uncertainty’ can have a positive effect on Trading, and how he typically constructs a portfolio. We also discuss why Wayne prefers long trades over short trades, how he uses Options, if stop-losses are a good idea, and if volatility has an effect on the size of his positions.-----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...

29 Huhti 20191h 51min

On today’s episode, guest host Ranjan Bhaduri speaks 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 Jonathon Miles, Managing Director of Ascent Private Capital Management of U.S. Bank. With these experts on managed futures, we will discuss how managed futures is being incorporated into institutional portfolios, illiquid versus liquid investments, and what role alternative investments play in today’s investment landscape.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HEREIn This Episode, You’ll Learn:What managed future strategies John sees the more successful managers gravitating towardsWhy diversification isn’t always the best idea, and what alternative strategies Jonathan recommendsThe advantages and disadvantages of having illiquid versus liquid investmentsThe heuristic crutch of private equityWhy Christopher is wary to always choose emerging managers over more established onesThe importance of a strong operational due diligence in managing portfoliosHow trend following will need to evolve amid machine learning and changing marketsHow Jonathan’s risk premia strategies transformed how his firm looked at managed futures-----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 href="https://open.spotify.com/show/2OnOvLbIV3AttbFLxuoaBW" rel="noopener

24 Huhti 201931min

Are CTAs giving the wrong message by charging low performance fees? Is there a perfect amount of AUM to aim for? Can Systematic Trading keep you happy? How accurately can we predict future returns? We discuss whether Trend Following is easy enough to do at home, or if you should do it through a reputable fund instead. What sort of things can be found in a ‘Research Graveyard’? Should you use Stop Losses, and if so, how and where should you place them? We answer the question of what makes a strategy robust, as well as how to avoid over-complicating a Trading System.-----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 – Intro02:00 – Weekly review of performance05:55 – Top tweets50:00 – Announcement: Next week’s guest Wayne Himelsein50:50 – Question 1: George; What are the operational realities of running a TF business?56:55 – Question 2+: Craig; Please discuss the research that didn’t become part of the system.01:02:20 – Question 3+: Carl; Series of questions about stop loss mechanics (initial, ATR, trailing, etc.)01:10:15 – Question 4+: Michael; What are your thoughts on variable count in robust systems? Do you tailor models to specific markets/sectors?01:24:40 – Question 5: Uncle Mike; What works best for stops?01:28:25 – 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 Journey:1. eBooks that cover key topics that you need to...

22 Huhti 20191h 32min

For those of us who have been on the manager side for a while, you’ll know that investors love to analyse decades of performance data before deciding which manager they are going to invest with, and that makes a lot of sense. But we also come across investors who subsequently redeem based on just a year or two after they invested, which is usually just down to bad luck and unfortunate timing. This does not seem logical, but it does relate to the short conversation I want to share with you today, where I discuss the role and importance of track-records & back-tests with Scot Billington. We also ended up discussing an interesting twist to their research, which led them to abandon taking any Short Trades in their model. So enjoy these unique insights from Scot.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 Trend Following industry, which I hope you will find useful. Click...

15 Huhti 201921min

Does Systematic Trading completely eliminate all emotions from the process? Is it wise to use Stop-Losses? Should CTAs target low-volatility & average returns, or high returns with higher possible volatility? Can a finely-crafted Trading System be considered in the same way as a fine piece of art? Are all Trend Following systems essentially the same? We also discuss if intricate rules are better than ‘broader brush-strokes’, if it really is ‘difficult times’ for Trend Following or simply Recency Bias, as well as touching on the value of managing and owning your emotions throughout a trade. Also, we discuss how to deal with an upcoming Futures contract rollover, and answer the question: just how important is the ‘Execution Desk’ at a Trading Firm?-----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 performance05:30 – Top tweets01:12:00 – Questions 1&2: John; If a trade signal comes just before a roll date, do you move the roll forward to avoid trading twice? Do you ever try to “game” a roll to make a profit?01:17:30 – Question 3: Michael; When the system designer and the executive are not the same person, how does the executive have confidence in the system/work of the system designer?01:23:30 – 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 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...

15 Huhti 20191h 26min

Kathryn Kaminski is one of my favorite people to discuss Trend Following with, because she has a great way of simplifying and explaining some of the key concepts of the strategy. Today, we talk about the phrase Crisis Alpha, and how it may be better to think about these strategies as Divergent strategies, because in reality we don’t need a crisis in order for Trend Following to do well. Years like 2014 and 2017 are great examples of this. Q1 of 2019 is perhaps a more recent example too. We also touch on Convergent strategies, which, in my mind, are ‘short volatility’ strategies- even if not all investors realize this. I think 2018 gave us a taste of what is to come when volatility starts to re-emerge in the markets. So enjoy these unique takeaways from my conversation with Kathryn. 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 Trend Following industry, which I hope you will find useful. <a href="https://www.toptradersunplugged.com/resources/ebooks/" rel="noopener noreferrer"...

10 Huhti 201921min

Is it wise to adjust position-size according to recent volatility? Can back-testing a Trend Following strategy end up as just being a form of curve-fitting? We discuss the merits of Long-Term evidence over Recency Bias, the importance of Sharpe Ratios, the significance of price gaps, and whether leverage is a necessity for all CTAs. You will hear our thoughts on the idea of risking 1% per trade and how diversification affects this, the pros and cons of a crowded Trend Following market, and we touch on the topic of whether or not a trade can be held for too long.-----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 – Intro01:45 – Review of last week’s episode with Jesse Felder06:45 – Weekly review of performance11:00 – Top tweets32:20 – Question 1: John; Are you always fully invested?41:00 – Question 2: John; Across all trades, how much total risk is there in a TF system?46:30 – Questions 3/4/5/6: Woody; What are the pros and cons of using managed futures in ETFs vs mutual funds vs other vehicles? Will liquid alts suffer from a big bank crisis? Do you need leverage and concentrated positions to get the benefits of managed futures? Is there a disadvantage of using ‘blue chip’ managed futures mutual funds?01:07:30 – Question 7: Brian; Why do investors use Sharpe ratios?01:15:50 – Question 8: Sam; What are your thoughts on price gaps?01:19:30 – Questions 9/10: Andrew; Do you use Trend Following signals to manage your cash positions? How does DUNN use swaps in relation to fees?01:26:50 – Question 11: Sam; Is...

7 Huhti 20191h 34min