Today, Nick Baltas return to the show following a head scratching period for inflation and interest rates the past few weeks. We discuss the state of the environment for trend following and the best way to select a portfolio of markets to trade, the pros and cons of "trend following the trend followers". We also reflect on Katy Kaminski’s take on Crisis Alpha and discuss the evolution of trend following and how it changes the way strategies are designed, why being too concerned about the Sharpe may impact your performance in unexpected ways and why it is important to be aware of your own biases and much more.
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Episode TimeStamps:
02:04 - Market recap
04:21 - Reflecting on the TTU CTA Series
09:10 - What has caught Nick's attention recently?
13:17 - Industry performance update
15:53 - Q1, Adam: Regarding applying systems to markets
23:41 - Q2, Tim: Thought on trend following the trend followers?
30:39 - Q3, Tim: Nick's thoughts on tracking the AUM?
37:19 - Crisis alpha - lost in translation?
49:43 - How trend following has evolved
53:44 - Are we too concerned about the Sharpe?
58:55 - Changing the narrative
01:05:02 - Trend following disagreements
01:07:29 - Thanks for listening
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