Artwork for podcast Top Traders Unplugged
SI21: Why the biggest drawdown is always ahead of you or so they say
4th February 2019 • Top Traders Unplugged • Niels Kaastrup-Larsen
00:00:00 01:13:26

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Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.

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Episode TimeStamps:

00:00 – Intro

03:30 – Weekly review of performance

14:00 –  Top tweets

26:55 – Question 1: Samuel; What is a good CTA trading cost hurdle rate?

34:10 Question 2: Samuel; Why do people say your biggest drawdown is always in front of you?

41:10 – Question 3: Michael; How much has your parameter set changed (and related questions)?

50:10 – Question 4: Francois; What do you know about Renaissance Technologies (Jim Simons)?

56:30 – Miami conference review+TF thoughts

01:10:00 – Benchmark performance update