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Systematic Investor

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Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Rob on LinkedIn.

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 and welcome to the Systematic Investor Series
00:23 – Catching up with Rob and a cold, sunny UK
01:35 – Is trend following an edge or a risk premium?
03:38 – Overcomplicating edges and the Cliff Asness perspective
04:30 – Renaissance’s bad month and how even legends struggle
09:25 – Managed futures ETFs, performance narratives, and media framing
11:22 – AI, Nvidia and what an “AI bubble” might mean for trends
13:10 – Trend barometer, current positioning and where returns come from
18:35 – George’s question: robustness testing, overfitting and multiple testing
25:45 – How often to re-fit models and when to leave parameters alone
27:44 – Frederik’s question: intraday versus end of day for medium term trend
32:10 – Why trend following struggles on single assets and very fast timeframes
34:07 – Abraham’s question: what Rob would do differently after a decade live
41:05 – Carlo’s question: static vs dynamic sizing, skew and volatility targeting
46:07 – Rebalancing frequency, buffering, and asymmetric volatility risk
50:49 – Dario’s question: sentiment indicators, skew and what Rob actually uses
53:10 – Andreas’ question: ATR vs standard deviation and daily vs weekly data
56:29 – Stops, intraday execution and combining slow trend with fast mean reversion
59:27 – CalPERS adopts the total portfolio approach: what changes and why it matters
01:08:12 – Boxes, sleeves and why CTAs never fit neatly anywhere
01:11:55 – Could TPA be a game changer for trend following allocations?
01:14:19 – ChatGPT, consultants and the future of portfolio construction language
01:16:18 – Closing disclaimers and how to send in future questions

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Katy on LinkedIn.

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 – Introduction and catching up from Boston
02:00 – Life without economic data and what markets really need
04:20 – Price as the only truth and the limits of official data
05:45 – CalPERS, total portfolio thinking and what it means for trend
08:20 – AI, data centers and the inflation story hiding in electricity
10:30 – Inflation regimes, unstable prices and why trend cares about change
12:40 – Year to date trend review across equities, metals, FX and bonds
15:10 – Why short term traders struggled in a headline driven year
20:00 – Picking “the best strategy” and why robustness matters more than Sharpe
24:10 – Parameters, speed of response and treating markets differently
26:20 – Liberation Day: three consecutive shock days and what CTAs learned
33:40 – Economic trend, price trend and the blurry line with global macro
39:00 – Crisis alpha, convexity and when fundamentals stop mattering
44:50 – The rise of alternatives and why “core” portfolios are changing
48:20 – How the industry can tap private wealth and model portfolios
52:00 – Trend in target retirement funds and the sequence of returns problem
56:40 – Looking ahead, volatility forecasting and next week’s guest
58:25 – Wrap up, disclosures and final reflections

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Yoav on LinkedIn.

Follow Alan on X.

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:

00:00:01 – Voiceover introduction to the Systematic Investor series
00:00:23 – Opening and agenda for the discussion
00:01:05 – Math education in the UK and XTX’s push to fund young talent
00:03:39 – Market performance recap for early November
00:04:49 – Reflections on volatility and fixed income trading conditions
00:05:13 – Introduction to the “Inelastic Markets Hypothesis”
00:05:53 – Supply, demand, and elasticity explained in market terms
00:10:30 – Instrumental variables and how economists measure elasticity
00:14:51 – The debate: if markets clear, how can flows move prices?
00:15:44 – Why equities are more inelastic than bonds
00:21:04 – Questioning the 5x effect and how flows follow prices
00:23:48 – Policy and moral hazard implications of inelastic markets
00:26:07 – How elasticity differences shape trend-following speeds
00:29:57 – Should all markets use the same trading models?
00:36:19 – “Best Strategies for Inflationary Times” revisited
00:38:30 – Why the paper predicted 2022 so accurately
00:42:03 – The nature of trend following: slow losses, fast wins
00:44:24 – Inflation mandates and the overlooked role of CTAs
00:48:33 – Why TIPS and real estate can fail as inflation hedges
00:50:05 – Examining “Quantifying Backtest Overfitting” in QIS
00:53:59 – The 60% haircut between backtests and live returns
00:56:00 – How CTAs add value beyond bank QIS products
01:00:40 – QIS as a low-cost, capital-efficient exposure
01:01:15 – Closing thoughts and next week’s preview
01:01:59 – Outro and disclaimer

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Nick on LinkedIn.

Follow Moritz on LinkedIn.

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:

00:23 – Moritz opens the show and introduces Nick
01:16 – Nick’s quick life update and setting the tone
02:45 – Market resilience vs. fragility in 2025
04:18 – Performance rundown: CTAs, trend, equities, bonds
06:10 – October reversals: metals and livestock giveback
07:32 – What’s working: equities, gold, copper; sugar shorts
08:58 – Trend speed, April V-shape, and dispersion
10:40 – Position exits, re-entries, and neutral zones
11:55 – How QIS differs and why it’s opaque from the outside
14:40 – How big is QIS? Asset class split and caveats
18:05 – Who uses QIS: from asset owners to hedge funds
21:30 – What QIS really provides: rules, access, and efficiency
28:05 – The four pillars of product design (research, clients, tech, markets)
30:20 – Why thousands of indices exist (customization, wrappers)
33:22 – Delta-1 vs. options on indices: when each makes sense
36:58 – Vol targeting trade-offs for optionality and recovery
38:55 – Built for scale, but with capacity discipline
42:00 – Innovating without data-mining traps
47:12 – Crowding: congestion, vol carry, and trend mechanics
56:35 – Wrap-up and what to expect next week

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Richard on Twitter.

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:

00:00:01 – Welcome to the Systematic Investor Series
00:00:23 – Niels’ intro, show setup, and warm welcome to Rich
00:00:57 – Heatwave down under: context and small talk
00:02:10 – Rich: divided brain, AI vs embodiment, and markets needing rules
00:07:50 – AI’s edge shrinks prediction windows; why that helps trend following
00:10:35 – Gold’s violent selloff; electricity vs oil as the new macro lens
00:14:51 – “Trend heaven”: why the backdrop now looks robust
00:18:12 – Post-GFC compression vs today’s decoupling and trends
00:22:43 – Impact and reflexivity: trades reshape the next trade
00:28:23 – Non-ergodic markets: path dependence beats Gaussian assumptions
00:35:48 – Volatility ≠ risk: compression warehouses latent tail risk
00:40:08 – Engineer robustness, don’t optimize to statistics
00:49:41 – From micro impulses to structure: feedback builds trends
00:50:06 – Patterns vs structure; outliers as phase transitions
00:55:00 – Ensemble design: behavioral (not correlational) diversification
01:03:05 – Survival first: closed-equity sizing in a non-ergodic world
01:05:43 – Niels’ counterpoints: dynamic sizing, flows, and “cutback” debate
01:12:20 – Rich: why he frames it as outlier hunting
01:16:30 – Wrap-up, programming notes, and disclaimer

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Nigol on LinkedIn.

Follow Alan on LinkedIn.

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:

00:32 – Introduction to our special guest
01:57 – How did the economy end up the way it is today?
09:15 – Is it just a cycle?
19:46 – What is the end game?
23:47 – A short masterclass on skew and convexity
31:45 – How trend following has changed over time
39:18 – Should you optimize your portfolio from a short or long term perspective?
45:19 – How Nigol navigates the strong headwinds for CTAs
53:04 – Turning the risk of pod shops into opportunities
56:06 – When will we revert to a more “normal” environment?

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Mark on LinkedIn.

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:

01:34 – What has been on our radar recently?
05:43 – Is this time different for gold?
14:13 – Just a gold story?
16:38 – Should we redefine the definition of safe assets?
19:45 – The Fed has to change
26:08 – An overbearing uncertainty
30:25 – Our thoughts on meme stocks
35:30 – Not every innovations are good
39:02 – How narratives impact how products are sold
46:21 – Industry performance update
49:39 – Alternative vs traditional assets
01:00:43 – Every CTA is a short term trader
01:05:59 – The power of seeing the connection between markets
01:14:32 – What is up for next week?

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Cem on X

Follow Alan on X

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:

00:23 – What has been on our radar recently?
02:00 – Industry performance update
03:07 – Are current valuations a sign of a bubble?
12:13 – The importance of reflexivity
18:59 – The move towards non correlation is upon us
22:55 – What is driving up asset prices?
26:34 – When will the supply/demand imbalance normalize?
31:56 – Reaching an uncontrollable situation
35:47 – What are markets showing us about options?
39:38 – Precious metals is the place to be
42:26 – Is AI actually the game changer that we all expect it to be?
52:07 – Will better technology = better performance?
56:03 – A timeline for possible risk dates

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Andrew on X

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:

01:04 – What has caught our attention recently?
05:38 – The tension between talents
11:08 – Is the popularity of certain alternative strategies just a sign of the times?
22:07 – Industry performance update
27:46 – Q1, Michael: Why shouldn't I sell Andrew's product when it's outperforming single managers and vise versa?
30:15 – The evolution of replication strategy performance
37:44 – The storytelling behind hedge fund losses
41:04 – Do all markets have the ability to trend?
48:57 – The rise of multi strategy hedge funds
57:47 – It shouldn't work but it does, so why?
01:04:27 – A reminder for Andrew's generous book offer

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Rob on LinkedIn.

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:

01:14 – What has been on our radar recently?
12:09 – Industry performance update
19:23 – Q1, John: What are your recommendations for adapting a continuous forecast-based position sizing for a cash-only portfolio?
23:15 – Q2, Absolute: Is short/long symmetry optimal for a strategy in which the price of the traded instruments is measured in units (fiat currencies) that are inflated (devalued)?
30:19 – Q3, Lin: Got any ideas for trading a crypto portfolio?
32:04 – Why investors are losing money on 42% gain ETFs
39:50 – The difference between percentage return and cash return
43:24 – Debunking the persistent score card
46:19 – How the world has changed for CTAs

by

Get Your FREE Copy of the latest Research Paper from DUNN Capital .

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Katy on LinkedIn.

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:

01:12 – What has caught our attention recently?
06:44 – Industry performance update
12:01 – How different can managers really be in the trend following space?
22:30 – Is Andrew Beer onto something about the sharpe ratio of trend indices?
24:26 – Why Katy and Alex are obsessed with return dispersion
30:34 – What drives dispersion the most?
32:41 – Designing a trend following benchmark
35:46 – Quantifying turbulence in CTAs
39:46 – The importance of simplicity as a CTA
42:30 – Every asset is an opportunity for trend
47:41 – Do we actually have enough data to evaluate the performance of alternative markets?
52:34 – Potential papers for the future

by

Get your free copy of the latest paper from DUNN Capital discussed in this episode 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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Moritz on LinkedIn.

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:

01:34 – What has caught our attention recently?
06:26 – Industry performance update
13:20 – Building the perfect portfolio composition
17:18 – Insights on carbon markets
21:39 – Should we start to rethink how we approach markets?
28:54 – Removing complexities from a trend system
34:02 – The key aspects of designing a trend system
47:27 – More diversified = more risk?
49:00 – What is the Most Valuable Alternative Investment?
57:50 – Is trend following losing the battle against hedge funds?
01:02:49 – Trend following fees are changing
01:10:14 – What is up for next week?