SI43: Cliff Asness on the difficulty on sticking to a strategy through volatile periods

In this episode, we discuss the recent article from AQR Capital’s Cliff Asness on the difficulty of sticking to a strategy through volatile periods, why we may never know if a particular system is broken, the differences between different Trading timeframes, and we give an update on the upcoming live event in New York in October. We also answer some questions such as: Is there a ‘Holy Grail’ of Stop Losses? What is a good way to backtest a Trading system? Is there a point where too much Diversification begins to negatively affect the return profile in a portfolio? What are the possible causes that would move a person to Trade a longer timeframe? ----- 50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE ----- Follow Niels on Twitter , LinkedIn , YouTube or via the TTU 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 “ Ten Reasons to Add Trend Following to Your Portfolio ” here . Learn more about the Trend Barometer here . Send your questions to info@toptradersunplugged.com And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast. Episode TimeStamps: 00:00 – Intro/Macro recap from Niels 02:45 – Weekly review of performance 11:30 – Top tweets 20:30 – Question 1: James; Where can one find more information on stop losses/risk mgmt? 28:00 – Question 2: Brian; What software do you recommend for backtesting? 31:50 – Question 3: Paul; Discussion of the multiple facets of diversification 38:00 – Question 4: James; Can there be too much diversification? 51:15 – Question 5: Sam; What made Jerry decide to shift to longer-term trading? 55:20 – Benchmark performance update 56:30 – Live event update Other resources discussed: AQR Paper Reference: Quant Cassandra Article Reference: Wes Gray- Trend Following A Decade of Underperformance & The Epitome of No Pain, No Gain Basso Research: How This Random Entry Method Beat The Market Book 1: Van Tharp’s Definitive Guide to Position Sizing Strategies Book 2: Van Tharp’s Trade Your Way to Financial Freedom Copyright © 2025 – CMC AG – All Rights Reserved ---- PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey: 1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here 2. Daily Trend Barometer and Market Score One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here 3. Other Resources that can help you And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here Privacy Policy Disclaimer