SI21: Why the biggest drawdown is always ahead of you or so they say
Episode description
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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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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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
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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.