65 The Systematic Investor Series – December 9th, 2019 - a podcast by Niels Kaastrup-Larsen

This week, we discuss how doing less can ensure bigger & better results over time, average client holding periods versus the recommended amount of time, why short trades might be the essential part of a winning system, and why uniqueness is now a key requirement for today’s emerging managers.  Questions we cover this week include: How far should your backtest go? Can emerging Hedge Fund managers still succeed in today’s environment?  Should you adjust past data for volatility?

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Episode Summary

0:00 - Intro

1:21 - Macro recap from Niels

4:11 - Weekly review of returns

7:27  - Top tweets

51:16 - Questions 1: Dane; How far should your backtest go?

54:38 - Question 2: Neal; Do you have a minimum average daily volume when trading stocks?

56:24 - Questions 3/4: James; When using multiple entry signals, do you also use multiple exit signals?  When setting up systems & doing testing, should you adjust past data for intended volatility-weighted position sizing?  Can emerging managers within the hedge fund space still succeed, among pressure for low fees, the cost of running business, & the popularity of indexing?

1:05:18 - Performance recap

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