Episode description
Join us for a compelling conversation with Nick Baltas on the topic of trend following, where we explore the rising appetite for institutions to buy-the-dip in fixed income markets and how the SVB event has impacted liquidity. Discover if you can time trend following by adding additional signals to your model, the academic sceptisism of timeseries momentum as a strategy and why trend following goes beyond volatility scaling. We also delve into the scientific versus practical approach to trend following, and compare narratives of different investment approaches and how we may have to come up with a better one for trend following. Don't miss out on this insightful episode!
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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:
02:21 - Looking back on the week
13:19 - Reflecting on the CTA series
19:23 - The impact of the SVB event
23:02 - Industry performance update
24:39 - Q1, Tim: Regarding backtest and timing trends
35:08 - Two Critical Views on Trend Following
40:15 - Time-series momentum: Is it there?
43:28 - Defending trend following
54:01 - The Role of Volatility...and what it predicts
57:06 - The trend following narrative
01:06:05 - Paper from Aspect Capital
01:09:34 - Thanks for listening
Resources discussed in this Episode: