SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas

In this episode of Top Traders Unplugged, Alan Dunne fills in for Niels and is joined by Nick Baltas to discuss market trends and systematic investing. They address listener questions about trend-following as a diversifier and acceptable volatility levels, diving into a Quantica paper on crisis beta and equity exposure in trend-following strategies, and a ReSolve paper on managed futures carry strategies, implementations, and performance characteristics. They explore the hidden market timing ability of CTAs, the role of equities, and the complementarity of trend-following with carry strategies, offering insights into portfolio construction and risk management.