SI130: Volatility-Targeting: The Big Debate ft. Jerry Parker & Rob Carver

Published: March 7, 2021, 10:31 a.m.

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We have a special episode for you today featuring Turtle Trading legend Jerry Parker and renown Systematic Investor Robert Carver, who debate the topic of Volatility Targeting and how actively one should manage open trade equity risk. We also discuss the benefits of \\u2018Hybrid Trend Following\\u2019 versus classical Trend Following, breakouts & moving averages versus other trend indicators, whether the 2020 market crash should have caused systematic investors to update their strategies, and if short positions should still have a place in today\\u2019s Trend Following portfolios.

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In this episode, we discuss:

  • The level of active-management that should be involved in controlling open trade equity risk
  • The benefits and drawbacks of volatility-targeting
  • Modern Trend Following methods compared to classical Trend Following
  • The 2020 \\u2018Covid Crash\\u2019 and its possible long-term effects on systematic investing
  • How important are short positions in a rules-based portfolio?

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Episode TimeStamps:

00:00 \\u2013 Intro

01:45 \\u2013 Macro recap from Niels

03:33 \\u2013 Weekly review of performance

10:10 \\u2013 Jerry Parker vs Rob Carver debate

53:13 \\u2013 Q1; Michael: Why do you prefer breakouts & moving average cross-overs to other signals?

56:58 \\u2013 Q2; Rene: Do have preferred methods for measuring trend strength?

01:05:14 \\u2013 Q3, Q4, Q5'