SI43: Cliff Asness on the difficulty on sticking to a strategy through volatile periods

In this episode, we discuss the recent article from AQR Capital’s Cliff Asness on the difficulty of sticking to a strategy through volatile periods, why we may never know if a particular system is broken, the differences between different Trading timeframes, and we give an update on the upcoming live event in New York in October.  We also answer some questions such as:  Is there a ‘Holy Grail’ of Stop Losses?  What is a good way to backtest a Trading system?  Is there a point where too much Diversification begins to negatively affect the return profile in a portfolio?  What are the possible causes that would move a person to Trade a longer timeframe?

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Episode TimeStamps:

00:00 – Intro/Macro recap from Niels

02:45 – Weekly review of performance

11:30 – Top tweets

20:30 – Question 1: James; Where can one find more information on stop losses/risk mgmt?

28:00 – Question 2: Brian; What software do you recommend for backtesting?

31:50 – Question 3: Paul; Discussion of the multiple facets of diversification

38:00 – Question 4: James; Can there be too much diversification?

51:15 – Question 5: Sam; What made Jerry decide to shift to longer-term trading?

55:20 – Benchmark performance update

56:30 – Live event update

Other resources discussed:

AQR Paper Reference: Quant Cassandra

Article Reference: Wes Gray-