SI413: Why Trend Following Is More Than Crisis Alpha ft. Andrew Beer & Tom Wrobel

Niels Kaastrup-Larsen is joined by Andrew Beer and Tom Wrobel to examine a remarkable period for systematic investing. They discuss how CTAs have navigated volatile moves across equities, commodities, currencies and rates while preserving strong gains, and why diversification has been central to that resilience. The conversation explores leverage, the renewed interest in managed accounts and portable alpha, alongside the growing distinction between trend and non-trend strategies. They also challenge the traditional framing of CTAs as crisis alpha, debate whether greater complexity actually improves returns, and examine the difficulties investors face when selecting managers and benchmarking an industry where yesterday’s winners may not remain tomorrow’s leaders.
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Episode TimeStamps:
00:00 - Introduction and eclipse mania
02:57 - Volatility, valuations and a changing market environment
06:22 - Trend Barometer falls as opportunities narrow
08:21 - How CTAs have navigated 2026
10:10 - An extraordinary year for systematic investing
14:07 - Yen intervention and CTA resilience
17:11 - Trend versus non-trend performance
22:20 - August performance and the systematic landscape
24:48 - Active commodity strategies versus traditional CTAs
29:39 - Situational Awareness and the risks of leverage
32:14 - Managed accounts, capital efficiency and risk control
37:49 - Are systematic strategies becoming over-engineered?
42:45 - The growing divide between trend and non-trend CTAs
50:34 - Reframing trend following as all-weather alpha
55:07 - Why the crisis alpha narrative can be misleading
01:04:06 - The hidden challenges of CTA benchmarks
01:12:12 - Manager selection and diversification across CTAs
01:14:15 - Does non-trend really improve a CTA portfolio?
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