SI48: The state of the Bond market and do Institutions affect CTA performance
发布时间 2019-08-10 18:41:00 来源
摘要
This week, we discuss the current state of the Bond market, how the larger, commercial institutions affect overall CTA Trend Following performance, how to deal with the fluctuations in currencies when performing backtests, and we also give our thoughts on various Trading exit strategies. Questions answered this week include: does the majority of CTAs get out of their equity positions when the S&P500 falls below its 200-day moving average? Should you avoid trading markets that perform badly in backtests? Can a system that is working too perfectly be a bad sign? What are the implications for trading every market in the same way? What is the benchmark Sharpe Ratio for Trend Following strategies? Is there a limit to portfolio diversification?-----EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool-----ATTENTION TTU TRIBE : SIGN-UP for Rick Rule's Symposium: Once in a life-time natural resource insights from the BEST investors in the world via a first-class livestream or Live event!Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.Learn more about the Trend Barometer here.Send your questions to [email protected] please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:45 – Macro recap from Niels03:25 – Weekly review of performance12:20 – Top tweets34:40 – Question 1, Sam: What is the benchmark TF Sharpe ratio?43:00 – Question 2, Sam: Can there be too much diversification?53:15 – Question 3, Walter: Please discuss how you deal with foreign currency denominated futures.58:10 – Question 4, Walter: Since most stocks don’t beat the index or T-bills, shouldn’t shorting be easy (versus the conventional wisdom shorting is hard)?01:03:00 – Questions 5 &...
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