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

<p>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.</p><p><strong>-----</strong></p><p><strong>50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - </strong><a href="https://dunncapital.com/DUNN%2050-Year%20Book-TTU" rel="noopener noreferrer" target="_blank"><strong>CLICK HERE</strong></a></p><p>-----</p><p><br /></p><p>Follow Niels on <a href="https://twitter.com/toptraderslive" rel="noopener noreferrer" target="_blank"><strong>Twitter</strong></a>, <a href="https://www.linkedin.com/in/nielskaastruplarsen" rel="noopener noreferrer" target="_blank"><strong>LinkedIn</strong></a>, <a href="https://www.youtube.com/user/toptraderslive" rel="noopener noreferrer" target="_blank"><strong>YouTube</strong></a><strong> </strong>or via the <a href="https://www.toptradersunplugged.com/" rel="noopener noreferrer" target="_blank"><strong>TTU website</strong></a>.</p><p><strong>IT’s TRUE </strong>? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written&nbsp;<a href="https://www.toptradersunplugged.com/Ultimate" rel="noopener noreferrer" target="_blank"><strong>here</strong></a>.</p><p>And you can get a free copy of my latest book “<strong>Ten Reasons to Add Trend Following to Your Portfolio</strong>” <a href="https://www.toptradersunplugged.com/10-reasons-shownotes" rel="noopener noreferrer" target="_blank"><strong>here</strong></a>.</p><p>Learn more about the Trend Barometer <a href="https://www.toptradersunplugged.com/resources/market-trends/" rel="noopener noreferrer" target="_blank"><strong>here</strong></a>.</p><p>Send your questions to&nbsp;<a href="mailto:info@toptradersunplugged.com%22%20%5Ct%20%22_blank" rel="noopener noreferrer" target="_blank">info@toptradersunplugged.com</a></p><p>And please <strong>share this episode</strong> with a like-minded friend and <strong>leave an honest Rating &amp; Review</strong> on&nbsp;<a href="https://www.toptradersunplugged.com/reviewttu" rel="noopener noreferrer" target="_blank"><strong>iTunes</strong></a>&nbsp;or <a href="https://open.spotify.com/show/2OnOvLbIV3AttbFLxuoaBW" rel="noopener noreferrer" target="_blank"><strong>Spotify</strong></a> so more people can discover the podcast.</p><p>Follow Rob on <a href="https://my.captivate.fm/@InvestingIdiocy" rel="noopener noreferrer" target="_blank"><strong>Twitter</strong></a>.</p><p><strong>Episode TimeStamps:</strong> </p><p><strong>00:00 -</strong> Intro and welcome to the Systematic Investor Series</p><p><strong>00:23 -</strong> Catching up with Rob and a cold, sunny UK</p><p><strong>01:35 -</strong> Is trend following an edge or a risk premium?</p><p><strong>03:38 -</strong> Overcomplicating edges and the Cliff Asness perspective</p><p><strong>04:30 -</strong> Renaissance’s bad month and how even legends struggle</p><p><strong>09:25 -</strong> Managed futures ETFs, performance narratives, and media framing</p><p><strong>11:22 -</strong> AI, Nvidia and what an “AI bubble” might mean for trends</p><p><strong>13:10 -</strong> Trend barometer, current positioning and where returns come from</p><p><strong>18:35 -</strong> George’s question: robustness testing, overfitting and multiple testing</p><p><strong>25:45 -</strong> How often to re-fit models and when to leave parameters alone</p><p><strong>27:44 -</strong> Frederik’s question: intraday versus end of day for medium term trend</p><p><strong>32:10 -</strong> Why trend following struggles on single assets and very fast timeframes</p><p><strong>34:07 -</strong> Abraham’s question: what Rob would do differently after a decade live</p><p><strong>41:05 -</strong> Carlo’s question: static vs dynamic sizing, skew and volatility targeting</p><p><strong>46:07 -</strong> Rebalancing frequency, buffering, and asymmetric volatility risk</p><p><strong>50:49 -</strong> Dario’s question: sentiment indicators, skew and what Rob actually uses</p><p><strong>53:10 -</strong> Andreas’ question: ATR vs standard deviation and daily vs weekly data</p><p><strong>56:29 -</strong> Stops, intraday execution and combining slow trend with fast mean reversion</p><p><strong>59:27 -</strong> CalPERS adopts the total portfolio approach: what changes and why it matters</p><p><strong>01:08:12 -</strong> Boxes, sleeves and why CTAs never fit neatly anywhere</p><p><strong>01:11:55 -</strong> Could TPA be a game changer for trend following allocations?</p><p><strong>01:14:19 -</strong> ChatGPT, consultants and the future of portfolio construction language</p><p><strong>01:16:18 -</strong> Closing disclaimers and how to send in future questions</p><p>Copyright © 2025 – CMC AG – All Rights Reserved</p><p>----</p><p><strong>PLUS:</strong> Whenever you're ready... here are 3 ways I can help you in your investment Journey:</p><p><strong>1. eBooks that cover key topics that you need to know about </strong></p><p>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. <a href="https://www.toptradersunplugged.com/resources/ebooks/" rel="noopener noreferrer" target="_blank"><strong>Click Here</strong></a></p><p><strong>2. Daily Trend Barometer and Market Score </strong></p><p>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! <a href="https://www.toptradersunplugged.com/resources/market-trends/" rel="noopener noreferrer" target="_blank"><strong>Click Here</strong></a></p><p><strong>3. Other Resources that can help you</strong></p><p>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. <a href="https://www.toptradersunplugged.com/resources/" rel="noopener noreferrer" target="_blank"><strong>Click Here</strong></a></p><p><a href="https://www.toptradersunplugged.com/legal/privacy-policy/" rel="noopener noreferrer" target="_blank">Privacy Policy</a></p><p><a href="https://www.toptradersunplugged.com/disclaimer/" rel="noopener noreferrer" target="_blank">Disclaimer</a></p>