Building the Optimal Trend Following Portfolio | Systematic Investor 284

Goldman Sachs's Nick Baltas joins us today, to help us uncover if it is meaningful to use factor regression to evaluate managed futures. We also weigh in on couple of articles, relating to the outlook for trend following and the state of the industry, before turning our attention to some hard core research into how to construct the optimal trend following portfolio and why it is important to be conscious of which battles you pick. Lastly, we discuss the challenge of timing an investment into trend following, the pros and cons of trading alternative markets and more.
#toptraders #investing #trendfollowing
Episode Summary
00:23 - What has caught our interest recently?
03:04 - The Nikkei index finally comes out it its 35 year drawdown
05:35 - Industry performance update
07:37 - Q1, Oliver: Does it makes sense to use factor regression to evaluate managed futures?
14:24 - The state of the industry
18:17 - Is trend following flopping?
27:34 - Building optimal trend following portfolios
36:15 - Pick your battles
49:10 - Is there a way to time trend following?
53:34 - Is it actually an advantage to trade alternative markets?
01:04:44 - Thanks for listening
Full episode can be found here:
toptradsersunplugged.com/{{EPISODE SHORT URL PATH}}
Subscribe to our podcast:
iTunes: itunes.apple.com/us/podcast/t...
Spotify: open.spotify.com/show/2OnOvLb...
Follow us on social media:
TWITTER: / toptraderslive (@TopTradersLive)
FACEBOOK: / toptradersunplugged
INSTAGRAM: / toptradersunplugged
SOUNDCLOUD: / toptradersunplugged-com
Nick Baltas: / nbaltas