78 The Systematic Investor Series – March 8th, 2020

This week, we discuss the potential benefits of investing in more than one systematic fund, Tom Basso’s research finding that Trend Following returns increase as market volatility increases, the process behind Moritz’s discretionary trade last week, sizing positions according to volatility, the historic rally in government bonds, and the importance of good risk management. Questions we answer include: What software do you use to manage and monitor your portfolios?  How much importance do you place on pyramiding into & out of positions?  Have you found that some markets trend better than others?
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Episode Summary
0:00 - Intro
1:26 - Macro recap from Niels
3:00 - Weekly review of returns
29:11 - Top Tweets
50:16 - Dante; Question 1: What software do you use to monitor your portfolios?
52:15 - Andrew; Question 2: How much importance do you place on the effect of pyramiding into & out of positions?
59:28 - Mike; Question 3: Do you size positions based on volatility, and how does this affect correlations?
1:04:12 - James; Question 4: Do you believe particular markets ‘trend’ better than others?
1:11:44 - Performance recap
 
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