SI104: Inconvenient truths about Trend Following ft. Roberto Osorio
September 7, 2020
59 min
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369 of 941
September 7, 2020
SI104: Inconvenient truths about Trend Following ft. Roberto Osorio
0:00 / 59:39
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The Sharpe Exchange Episodes Around September 7, 2020
Episode 369 of 941 — walk the feed in the order it was published.
59:45SI101: Howard Mark’s comments on managing risk and market cycles ft. Moritz Seibert
59:39This episodeSI104: Inconvenient truths about Trend Following ft. Roberto Osorio
Summary
Today, we’re delighted to welcome Roberto Osorio, Vice President, Trading Systems at DUNN Capital, onto the show. Niels pitches Roberto some of our most fiercely debated topics so far, such as the optimal amount of markets to trade, diversification in all of its forms, the pros & cons of Volatility Targeting, how to accurately recognise model decay, Black Swan strategies and why they maintain popularity regardless of performance, the best look-back period for Trend Following strategies, and if today’s speed of information flow has led to stock market crashes & fast recoveries being the new normal.
Check out previous episodes with Niels & Roberto (featuring Alex Greyserman & Katy Kaminski) here, and here.
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Episode Summary
0:00 - Intro3:07 - Macro recap from Niels8:49 - Weekly review of returns9:26 - Interview with Roberto Osorio12:03 - Niels: Can you help settle the debate of how many markets are optimal to trade?19:00 - Niels: What are your thoughts on Volatility-targeting?30:41 - Niels: How do you recognise model decay?36:23 - Niels: What do you think is the best look-back period for Trend Following models?44:40 - Niels: What is your view on the most effective ‘type’ of Trend Following model?50:43 - Niels: What makes DUNN Capital so unique?55:52 - Performance recap
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