VOL002: Past, Present, & Future Volatility ft. Noel Smith

Today Jason Buck is joined by Noel Smith in the second of our series on Volatility. Topics discussed include: the benefits of ensemble investing, the predictability of market volatility, how certain market environments fool investors into thinking they are better than they really are, allocating between different strategies during different market environments, why nothing beats having ‘skin in the game’, balancing judgement calls versus algorithmic calls, pairs-trading VIX & bonds, determining when an asset is cheap or overpriced, and some thoughts on what might happen if markets enter a ‘stagflationary’ environment.
In this episode, we discuss:
Ensemble investing and its benefits
Whether market volatility can be predicted ahead of time
The ways in which the markets can catch investors off-guard
‘Dialling’ into and out of strategies
How Noel’s experience in prop trading and pit trading has helped him today
Finding the balance between judgement calls and algorithmic signals
Noel’s VIX and bonds pairs trade
Assessing the current real value of an asset
How to approach investing during a ‘stagflationary’ environment
Follow Niels on https://twitter.com/toptraderslive (Twitter), https://www.linkedin.com/in/nielskaastruplarsen (LinkedIn), https://www.youtube.com/user/toptraderslive (YouTube) or via the https://www.toptradersunplugged.com/ (TTU website).
Follow Jason on https://twitter.com/jasonmutiny (Twitter).
Follow Noel on https://twitter.com/jasonmutiny (Twitter), https://www.linkedin.com/in/noel-smith-chicago/ (LinkedIn), and via his https://www.convexam.com/ (website).
IT’s TRUE 👀 – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written https://bit.ly/36bzny2 (here).
And you can get a free copy of my latest book “The Many Flavors of Trend Following” https://www.toptradersunplugged.com/book (here).
Learn more about the Trend Barometer https://www.toptradersunplugged.com/resources/market-trends/ (here).
Send your questions to [email protected]
And please share this episode with a like-minded friend and leave an honest rating & review on https://itunes.apple.com/us/podcast/top-traders-unplugged-niels/id888420325?mt=2%22%20%5Ct%20%22_blank (iTunes) so more people can discover the podcast.
Episode TimeStamps:
00:00 - Intro
02:06 - Why should somebody add volatility strategies into their portfolio?
03:20 - Do you think that volatility is quite predictable around benign market periods?
04:12 - How do you apply your prop trading background to volatility strategies in general?
05:13 - Did the days of pit trading leaving a big impression on you?
06:28 - Why use ensembles?
07:33 - How do you allocate between strategies during different macro environments?
09:37 - How do you balance judgement calls versus algorithmic calls?
11:38 - How do you think about the timing of adding and removing volatility protection?
15:01 - Where did you come with the idea to pairs trade VIX and bonds?
19:28 - Is there a volatility risk premium?
21:14 - Tell us a little more about your ‘vol-arb’ strategy?
26:28 - How are you determining if something is cheap or overpriced?
27:53 - Do you put more weight on liquidity flow data as opposed to other fundamental data?
30:32 - Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?
34:30 - Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?
39:33 - How do you think about past, present and future volatility?
41:46 - How do you approach correlations across different timeframes?
43:24 - Dispersion trades seem to go in and out of fashion, do you feel that your strategies run dispersion trades when they’re popular only?
46:38 - Do you dial into and out of strategies rather than switching allocations?...

Today Jason Buck is joined by Noel Smith in the second of our series on Volatility. Topics discussed include: the benefits of ensemble investing, the predictability of market volatility, how certain market environments fool investors into thinking they are better than they really are, allocating between different strategies during different market environments, why nothing beats having ‘skin in the game’, balancing judgement calls versus algorithmic calls, pairs-trading VIX & bonds, determining when an asset is cheap or overpriced, and some thoughts on what might happen if markets enter a ‘stagflationary’ environment.

In this episode, we discuss:

Ensemble investing and its benefits Whether market volatility can be predicted ahead of time The ways in which the markets can catch investors off-guard ‘Dialling’ into and out of strategies How Noel’s experience in prop trading and pit trading has helped him today Finding the balance between judgement calls and algorithmic signals Noel’s VIX and bonds pairs trade Assessing the current real value of an asset How to approach investing during a ‘stagflationary’ environment

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

Follow Jason on Twitter.

Follow Noel on Twitter, LinkedIn, and via his website.

IT’s TRUE 👀 – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Learn more about the Trend Barometer here.

Send your questions to [email protected]

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Episode TimeStamps:

00:00 - Intro

02:06 - Why should somebody add volatility strategies into their portfolio?

03:20 - Do you think that volatility is quite predictable around benign market periods?

04:12 - How do you apply your prop trading background to volatility strategies in general?

05:13 - Did the days of pit trading leaving a big impression on you?

06:28 - Why use ensembles?

07:33 - How do you allocate between strategies during different macro environments?

09:37 - How do you balance judgement calls versus algorithmic calls?

11:38 - How do you think about the timing of adding and removing volatility protection?

15:01 - Where did you come with the idea to pairs trade VIX and bonds?

19:28 - Is there a volatility risk premium?

21:14 - Tell us a little more about your ‘vol-arb’ strategy?

26:28 - How are you determining if something is cheap or overpriced?

27:53 - Do you put more weight on liquidity flow data as opposed to other fundamental data?

30:32 - Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?

34:30 - Can you describe your ‘dispersion’ strategy and elaborate on dispersion trades for those who haven’t heard them?

39:33 - How do you think about past, present and future volatility?

41:46 - How do you approach correlations across different timeframes?

43:24 - Dispersion trades seem to go in and out of fashion, do you feel that your strategies run dispersion trades when they’re popular only?

46:38 - Do you dial into and out of strategies rather than switching allocations?

48:11 - Tell us more about the ‘bond vol-arb’ strategy

51:01 - Tell us more about the ‘macro-bats’ strategy

57:42 - What do you think will happen if markets enter a stagflationary environment?

01:03:39 - How would you combine your ensemble investments into a wider portfolio?