SI15: Has too much Diversification hurt performance in recent years?

Top Traders Unplugged

Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.

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Episode TimeStamps:

00:00 – Intro

01:50 – Weekly review of performance

05:50 – Top tweets

19:30 – Question 1: Michael; Are trend followers relaxed (in terms of personality) in general?

23:00 – Question 2: Michael; Why does TF not work on stocks work?

28:30 – Question 3: Michael; How do you measure single stock correlation?

33:05 – Question 4: Nick; Do you ever front run your systems?

35:00 – Question 5: David; Have you ever been through a market similar to this year (2018) and how did it turn out/what did you learn?

38:45 – Question 6: Can you give us a proven TF strategy (ex. Donchian)?

43:05 – Question 7/8: Timothy; Has too much diversification hurt TF in the last decade? Should TF focus on markets that are trending?

52:10 – Question 9: Anish; How do you identify relative strength and accordingly allocate capital between different asset classes?

59:55 – Question 10: Does the intensity of trends change over time?

01:04:30 – Question 11/12: Have the markets changed during your time as a trader and if so how? If a market has been trending is it more likely to continue trending than to reverse?

01:16:10 – Question 13: Nitesh; Is Short-term TF impossible now or does it need to be done differently from medium to long-term?

01:18:00 – Question 14: Dave; How do you select a universe of single stocks for TF?

01:21:20 – Question 15/16: Ted; What are the parameters you use around Nat Gas? With high volatility swings, how do stay in a position?

01:25:50 – Benchmark performance update

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