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SI238: Why Not to Trend Follow ft. Rob Carver
Description
Join us for an engaging conversation with Rob Carver, where we delve into the world of systematic trend following. We explore topics like how to forecast future market volatility and the pros and cons of using a Value at Risk methodology. We also discuss the benefits and drawbacks of tail risk hedging, and whether percentage or price differences are better for estimating standard deviation. As a surprise twist, we also explore the reasons why you should NOT be a trend follower. Tune in for a fun and thought-provoking discussion with Rob.
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Episode TimeStamps:
02:40 - What happened since last time?
09:42 - Industry performance update
10:38 - Q1, Ricardo: When are you writing a book on backtesting with Python?
13:28 - Q2, Bruno: How to best forecast volatility?
20:49 - Q3, Skip: How is overall portfolio affected by not being pure trend?
25:41 - Libor Futures being replaced
30:41 - Blogpost about estimating standard deviation
38:01 - Article by Man-AHL on trend following performance following a sharp correction
43:37 - Bloomberg article about tail risk hedging
56:22 - Reasons Not to trend follow
01:09:50 - Thanks for listening
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