Here are the answers. But what were the questions?

Here is a challenge for you...

Rob Carver – an independent systematic investor and author of multiple books – joined me in the latest episode of the Systematic Investor podcast series. In his typical light, engaging, and quick-witted style, Rob was kind enough to share his views and on questions that our great community, had sent us.

Below are some of the excerpts from Rob’s answers. Based on these answers, can you guess what the listeners’ questions were? This “reverse questionnaire” is my challenge for you this week. ??

Let me know of your guesses in the comment section below or, better yet, tune in to this week’s episode and find out yourself.

And join the conversation each week, by sending us your questions!

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“For me, it comes down to three things – liquidity, costs, and diversification.”

“It makes my system less pure trend-following. Put another way, it makes its return profile less positively skewed. However, I still think it adds quite a lot of value and improves my system’s Sharpe Ratio.”

“There are also advantages to this strategy. First, it is strongly negatively correlated to Trend Following. Second, you trade with limit orders and this makes the strategy cheaper to trade. I implement a little bit of the strategy because it improves the Sharpe Ratio of my core Trend Following model. However, crucially, you need to have a more explicit risk management process with this strategy because, contrary to Trend Following, as you lose money it scales up risk exposure and can lead to sharp and deep losses.”

“You can also spend 2 hours on this. Personally, it has taken me 5 years because I have been working on automating the system and expanding its functionalities. So, my short answer is - anywhere between 2 hours and 5 years depending on what your skills are and what level of functionality are you aiming for.”

“The advantage of the “caveman system” is its simplicity. Tweaking that system to become more continuous will add value and improve your Sharpe Ratio. However, the question is whether it is worth the extra complexity that comes with it.”

As mentioned, if you don't know the questions, tune in to this week’s episode and find out.