This week, we discuss the current state of the Bond market, how the larger, commercial institutions affect overall CTA Trend Following performance, how to deal with the fluctuations in currencies when performing backtests, and we also give our thoughts on various Trading exit strategies. Questions answered this week include: does the majority of CTAs get out of their equity positions when the S&P500 falls below its 200-day moving average? Should you avoid trading markets that perform badly in backtests? Can a system that is working too perfectly be a bad sign? What are the implications for trading every market in the same way? What is the benchmark Sharpe Ratio for Trend Following strategies? Is there a limit to portfolio diversification?
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 “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to email@example.com
00:00 – Intro
01:45 – Macro recap from Niels
03:25 – Weekly review of performance
12:20 – Top tweets
34:40 – Question 1, Sam: What is the benchmark TF Sharpe ratio?
43:00 – Question 2, Sam: Can there be too much diversification?
53:15 – Question 3, Walter: Please discuss how you deal with foreign currency denominated futures.
58:10 – Question 4, Walter: Since most stocks don’t beat the index or T-bills, shouldn’t shorting be easy (versus the conventional wisdom shorting is hard)?
01:03:00 – Questions 5 & 6, Jeff: What are the risks of using larger (vs smaller) ATR multiples for exits? What kind of exits does DUNN use?
01:08:40 – Benchmark performance update
01:09:40 – Live event update 10/26/19-10/27/19
Copyright © 2022 – 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 Here
2. 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 Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here