“When the market turns and goes negative, strategies like Trend Following tend to do really well. They provide that hedge. So it’s completely inappropriate to compare Trend Following to a long equity portfolio, because Trend Following has different properties – it has hedging properties.”

—Cam Harvey - Tweet this quote

Check out our series on Volatility here, and our Global Macro series here.

Learn more about the Trend Barometer here.

IT's TRUE – most CIO's read 50+ books each year – get your 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.

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.

In This Episode, You'll Learn:

• How to manage a portfolio through a crisis
• The motivation behind writing his new book
• Various methods of portfolio protection
• Diversification within Trend Following systems
• Volatility targeting and why it can be a powerful tool

-

“When you have a portfolio of different assets, the noise cancels out, you reduce the volatility, and that’s good for you.”

—Cam Harvey - Tweet this quote

• The journey of volatility going from a measure to an input
• Drawdowns as an important metric to monitor
• Timing portfolio rebalances effectively
• The 60 / 40 portfolio, diversification, and inflation

Follow Cam Harvey's work:

Visit the Website: Campbell Harvey at Duke University
Follow Cam on Twitter
Papers mentioned in the Episode:
Momentum Turning Points
Bayesian Inference in Asset Pricing
Bayes vs. Resampling – A Rematch
A Backtesting Protocol in the Era of Machine Learning

-

“People don’t truly understand diversification, because it’s not just about reducing volatility, it’s also about reducing some of the tail-risks.  So when I think about a diversified portfolio, I want to reduce the noise, and reduce the variance, but I also want to reduce the skew.”

—Cam Harvey - Tweet this quote

TTU117: Strategic Risk Management ft. Cam Harvey & Rob Carver on Top Traders Unplugged.