SI109: Investing like a legend ft. Perry Kaufman

In this episode of the Systematic Investor Series, hosts Niels Kaastrup-Larsen and Moritz Siebert are joined by Perry Kaufman, a trend following and systematic trading expert. They begin with a market wrap-up where Moritz discusses his trend-following system's recent losses in crude oil and lean hogs, while Niels reports a flat performance for the week. The conversation then shifts to a deep dive into systematic trading strategies with Perry, discussing risk management, volatility targeting, and the selection of markets for trend-following systems. Perry emphasizes the importance of managing risk through position sizing and volatility stabilization, advocating for focusing on returns rather than risk-adjusted metrics when selecting markets, and shares his approach to ranking and re-evaluating markets in a portfolio based on recent performance. The discussion also covers profit targets, stop losses, the impact of market maturity on trend following, and the differences between long and short-sided trades.