56 The Systematic Investor Series – October 7th, 2019 - a podcast by Niels Kaastrup-Larsen

This week, we discuss the potential risks of aiming for smooth & steady returns, the pitfalls of having to make predictions, the higher-than-expected appearances of tail events, why it’s dangerous to look at the ‘average performance’ of an industry, and why aiming to trade in a style that suits your personality can actually turn out to be a bad idea.  Questions we cover this week include: Have you encountered any CTAs with unusually low-frequency trading strategies? Should the optimization of your strategy come from an ideas-based approach or a data-based approach?  How do you feel about the integration of Value Investing into a Trend Following strategy?  What does discipline mean to you, and how do you stay disciplined?

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Episode Summary

0:00 Intro

1:05 Request for podcast reviews

1:30 Macro recap from Niels

4:00 Weekly review of returns

11:10 Top tweets

43:25 Live event update 10/26/19-10/27/19; Special Guest: Denise Shull

44:20 Question 1: Chris; What should an individual pay in fees (data, commissions, etc.)?

47:45 Question 2: Chris; Do you follow front month or highest open interest contracts/continuous contracts or the month you are trading?

54:30 Question 3: Jacob; Have you encountered extremely low frequency CTAs?

1:00:20 Question 4: Jacob; What is your opinion on optimizing using ideas (vs data) first?

1:03:50 Question 5: Jacob; How do you feel about TF meets value investing?

1:08:30 Question 6: Adrian; What does discipline mean to you and how do you stay disciplined?

1:15:00 Performance recap

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