SI386: When Position Sizing Saves You ft. Rob Carver
Top Traders Unplugged
Estimating book correlation from P&L
Pedro's question prompts Rob to advise using realized P&L correlations with slow windows or EWMA estimates.
Today, we are joined by Rob Carver to unpack one of the most volatile weeks seen in commodity markets in years. The conversation centers on silver’s sharp rise and sudden collapse, using it as a case study in volatility targeting, liquidity risk, and disciplined position sizing. From Freaky Friday to broader dislocations across assets, they examine why systematic risk management matters when markets move faster than narratives. The discussion expands into diversification, correlation assumptions, alternative markets, and new research on trend portfolio construction, offering a grounded reminder that survival often matters more than precision.
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Episode TimeStamps:
00:00 - Introduction to the Systematic Investor Series
03:56 - Freaky Friday in precious metals
04:29 - How Rob trades silver in a volatility adjusted framework
10:25 - When volatility forces position reduction
12:38 - Liquidity myths in hot commodity markets
16:25 - Risk management lessons from silver’s collapse
22:28 - Dislocations across assets beyond metals
24:54 - Fed chair speculation and muted market reactions
31:33 - Discretionary versus systematic decision making
34:03 - Trend barometer and market breadth update
37:34 - Estimating portfolio correlation from PnL
41:18 - Correlation versus volatility predictability
45:13 - MAN Group paper on market selection
58:36 - What investors really want from trend following
Resources discussed in this Episode:
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