Surviving and Thriving
Some argue that in the fast-paced and competitive world of hedge fund management, adaptability is paramount. Strategies must constantly evolve to maintain their edge. But does this mean that constant change is the only way to survive?
The Sydney Turtle Special
Featuring Jerry Parker, Adam Havryliv, Moritz Heiden, and Moritz Seibert. Hosted by Simon Mansell and Richard Brennan. Recorded on November 18, 2023 on Scotland Island north of Sydney.
Podcast on “The Derivative” with Jeff Malec
Featuring Jeff Malec and Moritz Seibert on The Derivative. Recorded on May 10, 2023.
RCM’s Jeff Malec, host of the popular “The Derivative” podcast, invited Moritz Seibert to his show to talk about all things trading and trend following. It’s been a fun conversation!
No Pain, No Long-Term Gain
The world and the markets are far more random than we’d like to think and can imagine. From a statistical perspective, market risks tend to be concentrated in rare but extreme market events which are impossible to predict. Black Monday 1987, negative oil prices, the stock prices of Lehman Brothers or GameStop – the list goes on. All of these are outliers.
Bloomberg Is Making Stuff Up
Authors at Bloomberg claim that a disruptive group of traders, namely trend following CTAs, have seized control of the oil market. Really?
Why We Trade Systems
We trade systems for two primary reasons: First, because trading involves emotions, we’d be our own worst enemy if we didn’t follow a rules-based approach. Second, we (and most others) are really terrible when it comes to making predictions.
R-Multiples and Expectancy
Expectancy in trading refers to the average R-multiple that a trading system generates over a series of trades. An R-multiple is a way of expressing profits and losses as a multiple of the initial risk taken on a trade (R, as R=Risk).
Volatility vs. Average True Range
The utilization of average true range (ATR) by systematic trend following CTAs to determine position sizes and stop levels is an effective and valuable means of normalizing expected P&L.