Together with Richard Brennan we address the high level of volatility we have experienced this month and what airplane turbulence can teach us about periods of volatility. We also discuss why backtesting can’t predict future performance and what can be done to achieve achieve more realistic expectations of future risk and returns. We then dive into how investor behaviour drives price movement and how trend followers play a role in this, and why it may still make sense to include highly correlated assets in your trend following portfolio and more.
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Episode Summary
01:01 - What has been on our radar recently?
04:43 - What can trend followers learn from airplane turbulence?
11:48 - Industry performance update
18:24 - The limitations and pitfalls of relying solely on backtesting
33:42 - Advice for using in- and out-of-sample data
36:31 - How collective trader behaviour influences price movement
48:03 - How cocoa is the perfect example of investor behaviour and price movement
52:47 - Why highly correlated assets may still be beneficial to your portfolio
Full episode can be found here:
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21 окт 2024
