Top Traders Unplugged10 Jun 2023

SI247: What is Smart Diversification? ft. Nick Baltas

Today, Nick Baltas return to the show for a look at some recent published research papers by our friends over at Quantica and AQR. Despite our technical difficulties with my audio and notes...we discuss the timing and speed of executing trades and the pros and cons of trend following compared to stocks and bonds, how to achieve the best protection whilst maximizing returns during times of trouble in equities or higher interest rates and why short term strategies does not necessarily give you better protection, nor better returns. We also discuss the similarities and differences between trend following and economic trend and the importance of luck, why you get what you pay for in terms of manager performance and much more.

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Episode TimeStamps:

01:10 - What happened this week?

03:24 - Industry performance update

05:07 - Q1, David: About the speed of execution

10:43 - Q2, Oliver: Trend following vs. stocks and bonds

16:08 - A discussion on smart diversification

22:21 - Shorter term strategies = more protection?

25:22 - The role of lookback

29:07 - Paper on economic trend

36:16 - Trend following vs. economic trend

45:18 - Withstanding the pain of long term trend following

54:16 - Capping equity exposure

56:08 - Is fee reduction alpha?

01:02:01 - Does CTA replication models = single manager risk?

01:04:04 - The problems with managed futures indexes

01:07:54 - Thanks for listening

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Disclaimer

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