SI375: CTAs After the Walls Come Down ft. Rob Carver

Rob Carver returns for a conversation that quietly questions the foundations. Is trend following an edge - or just a reward for holding discomfort others can’t? From the role of skew in shaping outcomes to the blind spots in most robustness frameworks, Rob and Niels takes you through the mechanics with uncommon clarity. Listener questions open up the deeper layers: when volatility targeting helps, when it hurts, and why Sharpe Ratios can mislead. They end with a shift that may matter more than it seems: CalPERS moving to a Total Portfolio Approach. Not just a new framework - potentially a new lane for CTAs. ----- 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. Follow Rob on Twitter . 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 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