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The Negative Crisis Beta and CTA's Hidden Market Timing Skills | Systematic Investor 302

This week, Alan Dunne chats with Nick Baltas about CTAs' negative crisis beta and their hidden market timing skills. Nick and Alan tackle the question of how to build an effective trend-following program as part of a larger multi-asset portfolio, in relation to the markets traded and speed of system and tie in insights from a recent Quantica paper. They weigh the benefits of unconstrained trend-following programs versus those with capped equity beta. Plus, they discuss the ideal level of volatility for running an investment program and take a closer look at a Resolve Asset Management paper on the best ways to construct carry strategies. #toptraders #investing #trendfollowing Episode Summary 01:23 - What has caught our attention recently? 03:00 - Industry performance update 05:32 - Reversions incoming? 07:06 - Q1: Regarding how to choose instruments in your trend following algorithm 14:20 - Getting the speed right 17:37 - Q2: At what point does volatility put an investor in a danger zone? 24:32 - Discussing the paper "Negative Crisis Beta" from Quantica 38:16 - Capping the beta 45:17 - The hidden market timing of CTAs 50:23 - The benefits of adding carry to your portfolio Full episode can be found here: https://toptradsersunplugged.com/si302 Subscribe to our podcast: iTunes: https://itunes.apple.com/us/podcast/t... Spotify: https://open.spotify.com/show/2OnOvLb... Follow us on social media: TWITTER:   / toptraderslive   (@TopTradersLive) FACEBOOK:   / toptradersunplugged   INSTAGRAM:   / toptradersunplugged   SOUNDCLOUD:   / toptradersunplugged-com   Follow Nick on LinkedIn:   / nbaltas   Follow Alan on Twitter:   / alanjdunne