Today, we are joined by Nick Baltas for conversation, where we dive deep into the use of volatility scaling and accelerators in trend following systems. Additionally, we discuss various research papers that address whether trend following CTAs are truly long vol, what the negative impact of trend breaks are, whether you can predict future trend following performance by analyzing previous trend following perfomance and the art of timing trends, why it is important to sometimes settle with “good enough” performance, the future of the 60/40 portfolio and much more.

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Episode TimeStamps:

01:10 - What's been on our radar recently?

05:09 - Industry performance update

06:51 - Q1, Nicolas: Can you replace price with sharpe and trend follow that input instead?

17:52 - Q2, Andrew: Is there any validity in having additional accelerators in a system and how would it be used?

25:03 - Article: Are trend following CTAs truly long volatility?

33:26 - Article: Breaking bad trends

42:19 - Know when to be long and short

45:15 - Article: Managed futures rotation

52:40 - Sometimes good enough is good enough

57:02 - The future of the 60/40 portfolio

01:03:57 - Thanks for listening

Resources discussed in this Episode:

LINK 274: Are TF CTAs truly long vol?

SI274: Can You Time Trend Following? ft. Nick Baltas

Top Traders Unplugged

SI274: Can You Time Trend Following? ft. Nick Baltas